Some major leakage on those numbers.
Anybody else short US 30 Bond
- Thread starter richard_m
- Start date
This is probably my most favorite thread on the forum. Many great posters and contributions here. As you know, there really is nowhere on the web to discuss this kind of subject matter in quality or substance like context.
So I hope you don't mind as I am not trying to get off subject, but I wanted to put out an inquiry with respect to corporate notes; if you want to boot my post that is fine.
This would be under the simple investment context. You buy the note, get the annual coupon interest each year, hold it all the way through, its redeemed, and repeat.
This has been the trend, but especially the last couple weeks as the markets have tanked further, you really can no longer find super high investment grade corporate bonds with 5% or 6% notes that are not trading at or under par. Forget about short term and even medium term as this has been the case for awhile now. But now I am seeing long term corp notes trading over par too.
I have been programmed to buy these bonds at or below par, because in some cases I am fearful of them possibly being called at some point, and also just dont like the feeling that at redemption I am being taken out at technically speaking a loss on what I paid for them in the first place.
Is this just silly thinking?? I have been really wanting these long term Pfizer notes that have like a 7.20% coupon, but they are trading at $132.00 right now. Which takes the annual yield down to 5.07%.
Now mind you I completely understand the arithmetic function here and what drives bond prices up/yields down and vice versa. I am just wondering what you all think about paying over par for a note and if I am just making a big deal out of nothing?
Thanks.................................
So I hope you don't mind as I am not trying to get off subject, but I wanted to put out an inquiry with respect to corporate notes; if you want to boot my post that is fine.
This would be under the simple investment context. You buy the note, get the annual coupon interest each year, hold it all the way through, its redeemed, and repeat.
This has been the trend, but especially the last couple weeks as the markets have tanked further, you really can no longer find super high investment grade corporate bonds with 5% or 6% notes that are not trading at or under par. Forget about short term and even medium term as this has been the case for awhile now. But now I am seeing long term corp notes trading over par too.
I have been programmed to buy these bonds at or below par, because in some cases I am fearful of them possibly being called at some point, and also just dont like the feeling that at redemption I am being taken out at technically speaking a loss on what I paid for them in the first place.
Is this just silly thinking?? I have been really wanting these long term Pfizer notes that have like a 7.20% coupon, but they are trading at $132.00 right now. Which takes the annual yield down to 5.07%.
Now mind you I completely understand the arithmetic function here and what drives bond prices up/yields down and vice versa. I am just wondering what you all think about paying over par for a note and if I am just making a big deal out of nothing?
Thanks.................................
once you are a long only investor in corporate bonds - effectively trying to get a sweeter yield on your money in exchange for more risk - you should only focus on yield to maturity (or yield to call - whichever is lower). the default impact is clearly higher for bonds trading above par but you will obviously invest less in these premium bonds (and vice versa for discount bonds).
premium bonds will also have slightly lower duration and less convexity than discount bonds...
it makes the difference only if you pay different tax on coupon and on capital gains...
premium bonds will also have slightly lower duration and less convexity than discount bonds...
it makes the difference only if you pay different tax on coupon and on capital gains...
Hi,
Probably should have been looking into Bonds previously, but am interested in some arbitrage information. I think I have created with some EOD data a pretty good looking system, just by first glance. Still in a spreadsheet.
I know I probably should have read the thread - but unfortunately don't have the attention span.
I have created some charts that basically show historical vix. (in bonds) vs. a factor of the 10 Year Note and 30 Yr. Bond.
What / if anything are you guys using for arbitrage? I mean from what I am seeing you can create some very complex situations and these instruments always seem to "reflect" referring to vix..
It is almost amazing. I am having a mental block on actually putting this into a format I can trade on. Do some of you continually try to buy/sell ticks? Is EOD data not reliable for these sorts of situations? **not from a broker, but just some information I copy & pasted into excel.
I see a shitload of opportunity in Bonds / Notes and I do not know why I was wasting my time with so much other nonsense.
To me, right now with the data I have up until June 30, FWIW, it seems like to me you gotta be short 30 year and be long 10 year note right? Or maybe I just didn't create these charts right and I might as well just go hang myself
Interested on opinion either way -
thanks
Probably should have been looking into Bonds previously, but am interested in some arbitrage information. I think I have created with some EOD data a pretty good looking system, just by first glance. Still in a spreadsheet.
I know I probably should have read the thread - but unfortunately don't have the attention span.
I have created some charts that basically show historical vix. (in bonds) vs. a factor of the 10 Year Note and 30 Yr. Bond.
What / if anything are you guys using for arbitrage? I mean from what I am seeing you can create some very complex situations and these instruments always seem to "reflect" referring to vix..
It is almost amazing. I am having a mental block on actually putting this into a format I can trade on. Do some of you continually try to buy/sell ticks? Is EOD data not reliable for these sorts of situations? **not from a broker, but just some information I copy & pasted into excel.
I see a shitload of opportunity in Bonds / Notes and I do not know why I was wasting my time with so much other nonsense.
To me, right now with the data I have up until June 30, FWIW, it seems like to me you gotta be short 30 year and be long 10 year note right? Or maybe I just didn't create these charts right and I might as well just go hang myself
Interested on opinion either way -
thanks
Good luck with this... Personally, don't think it's something I'd wanna do right about now.Quote from Algo_Design_Kid:
To me, right now with the data I have up until June 30, FWIW, it seems like to me you gotta be short 30 year and be long 10 year note right? Or maybe I just didn't create these charts right and I might as well just go hang myself
Interested on opinion either way -
thanks
What is your play?
Or is it no play?
How many of you purely just play volatility the other way?
Although not at a historically high mark, 30 yr vs 10 yr note is at an extremely high ratio and to me personally seems like a good play. Not that I would be a short term investor in this case, unless this is the "new normal"?
Where could I find the forward rate structure for US government debt (bonds/notes/etc)?
I am not too active in USTs at the mom. On balance, I would expect the curve to flatten, given my view of the US economy.