Forward Rolls
July 2nd, 2009 8:07 am | by John Jansen |As I mentioned in initial post of the day the Treasury will announce the details of the coupon offerings of next week at 1100AM New York time.
The three year will be a new issue and the roll from the current three year into the WI will be about 7.5 basis points.
WI for those who do not know means “when issued”. The security trades on a yield basis until it is actually issued at auction next week. Once the auction process establishes a coupon rate for the bond the wonders of bond math transform that yield into a dollar price.
The 10 year note and the 30 year bond are reopenings of current issues. Consequently the only component of the roll there is the carry.
2 Responses to “Forward Rolls”
By BL on Jul 2, 2009 | Reply
Why would the Treasury “re-open” an issue? Why not just a new issue?
BL
By John Jansen on Jul 2, 2009 | Reply
Smaller issues are subject to manipulation in repo.
Bigger issues easier to trade and more liquid.
However,I do not want to be around when they mature the current 10 year note in May 2019. It will be in the $ 60 billion zone. Add 3s and 30s to that and you have alot of securities to bid on