Swap curveHong Kong marketThis paper investigates the extent of swap curve dynamics across USD and HKD markets. We find that US Treasury curve invokes significant positive responses on HKD swap curve due to the existence of the currency peg system. Our work also indicates that Hong Kong swap ...
Treasury bill- a short-term obligation that is not interest-bearing (it is purchased at a discount); can be traded on a discount basis for 91 days T-bill Treasury obligations,Treasury- negotiable debt obligations of the United States government which guarantees that interest and principal payments...
CONSTANT MATURITY TREASURY CONVEXITY CORRECTION In a Constant Maturity Treasury (CMT) swap the exotic leg pays, for a given tenor, the yield-to-maturity computed out of a reference bond curve. This paper... M Pucci - 《International Journal of Theoretical & Applied Finance》 被引量: 0发表:...
Since I explored the relationship between theJapanese Yen and the US 10y Treasury Yield on Friday, I thought it might be worthwhile to extend the exploration to a much broader range of currencies. I personally am most interested on how Asian Central Bank manipulation has affected the US 10y yi...
The S&P 500 gained 2.5%, bringing it to 5,929, while US Treasury yields climbed +16bps to 4.43%. At the time of writing, Trump has secured 295 electoral votes, compared to Vice President Harris’s 226, ensuring his victory. Republicans have also g...
The First Bank of the United States (1791 to 1811): The First Bank of the United States was established through the work of Alexander Hamilton, the first secretary of the Treasury, as a part of his plan to stabilize and improve the nation’s credit and to improve how the financial busine...
US Treasury yields were stable on Thursday with markets broadly muted ahead of the jobs report due later today. Markets await the jobs report later today where an increase of 175k is expected on the Non-Farm Payrolls, while the unemployment rate and average hourly earnings YoY are both, expec...
dollar swap spread curve flattened in November 2008. It attributes the market gap to an announcement by Treasury Secretary Henry Paulson that the Troubled Asset Relief Programme will no longer be used to buy back assets. Details on series of pressurized swap spreads are also discussed. Also noted...
A number of primary dealers found it especially difficult to make markets in off-the-run Treasury securities and reported that this segment of the market had ceased to function effectively. This disruption in intermediation was attributed, in part, to sales of off-the-run Treasury securities and...
I think there is some credence to the argument that markets clear information and form expectations much more readily around endless central bank communications today. For instance, most of the rise in the two-year and 10-year Treasury yields was baked in by late 2...