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Always buy in auction. If you buy in secondary market you pay offered side. The Treasury auction process provides the best opportunity to get the best price. The Treasury dealers usually bid the auctions so the pricing is cheap to the existing curve.

When you purchase treasuries outright you can review the maturity date and confirm the date you prefer to have principal repayment. Since Bills mature on Tuesday or Thursday normally they are a bit easier to manage maturities and reinvestments.

Treasury bills mature on Tuesday and Thursday. Coupon securities can mature on ANY day of the week on the 15 mid month or at monthend. On a Saturday maturity the Treasury pays coupon interest and principal repayment on the next business day so for August maturities payment will be Tuesday...

Thank you for the post. We cant have the market-makers BOTS loosing money now can we. lol

This morning on BB says it all

Leverage funds are all in basis trades. Long cash treasuries short futures. Asset mangers are just long futures in their books. The leverage funds repo their cash Treasury positions daily overnight. Say the implied repo rate is 5.85% to be long cash short futures until the delivery date. The...

Interesting Treasury just delayed todays buyback till tomorrow Lets see how the 20 yr auction goes

I would think of it as buying on the bid side of the market vs paying the offer side when you purchase from a dealer/broker. During the normal Treasury auction process dealers hit the new issue market so that the auction issues price at levels where dealers are mostly likely able to make money...

It was reported that this trade was a new long in the market. Open interest increased from 1.196M on April 8 to 1.251M on April 9 a 55,000 increase. @ $25 per tick works out to $46,000,000 loss My guess not a straight bet but sure is painful

https://www.zerohedge.com/markets/your-short-has-been-rejected-massive-stock-lending-firm-processing-over-2tn-transactions ICBC was hacked in November they cleared 25% of UST market now they clear zero. I'm sure the same fate awaits these guys.

Front month TYZ3 Micro YQTV23

Yes ZQ = Daily Fed Effective SR1 = Daily SOFR Rate At the moment setting @ 3bps spread. Also ZQ a bit better liquidity out the curve and ZQ a slightly larger sized contract

CQG ? Has nice spreading abilities across assets

ZQ SR1

That would be the normal conservative approach... Schwab Bank extended out the yield curve and purchased long duration Treasuries. Now these securities are underwater & they have to be funded with higher yielding CD's. That's why Schwab Bank is keeping there CD rates as low as possible.

I would also look at 17 week TB (4 Month). They are the cheapest TB on the curve consistently.

I say good riddance ! I was always on the wrong side. Lol But I will say SOFR is much more in my wheelhouse.

I'm just very thankful that's for sure. I do think more hedging has shifted to ois swaps. We are also in a much higher volatility environment so the liquidity in the stack is MUCH lower. You can see the stack build at slow times then poof it's gone. I would also suggest watching the block flows...

With the conversation of euros to sofr it's the new 3 month stir of choice for hedging or outright exposure.

How about bidding noncomp in Treasury Bill auctions with your broker ? So the securities stay in your account.