A 10-year Treasury note is a debt obligation issued by the United States government that matures in 10 years. 

The 10-year Treasury note is a debt obligation issued by the United States government with a maturity of 10 years upon initial issuance. Although the Treasury issues new T-notes of shorter maturities every month, the new 10-year T-notes are issued only in February, May, August, and November (the origination months), with re-openings in the remaining months of the year. Treasury notes (T-notes) are offered up to 10-year terms, making the 10-year T-note the one with the longest maturity. The U.S. Treasury sells 10-year T-notes and notes of shorter maturities, as well as T-bills and bonds, directly through the TreasuryDirect website via competitive or noncompetitive bidding, with a minimum purchase of $100 and in $100 increments. 1:34
The U.S. government issues three different types of debt securities to investors that are defined by the length of maturity, in order to fund its obligations: Treasury bills, Treasury notes, and Treasury bonds.

10-Year Treasury Note

The 30-Year Treasury, formerly the bellwether U.S. bond, is a U.S. Treasury debt obligation that has a maturity of 30 years.

Treasury Inflation-Protected Securities (TIPS)

S&P U.S. Treasury Bond Current 30-Year Index

The 30-Year Treasury is a U.S. Treasury debt obligation that has a maturity of 30 years. Other securities issued by the U.S. government include Treasury bills, notes, and Inflation-Protected Securities (TIPS).
30-year Treasuries pay interest semiannually until they mature and at maturity pay the face value of the bond.
The U.S. government borrows money from investors by issuing debt securities through its Treasury department. The 30-year Treasury used to be the bellwether U.S. bond but now most consider the 10-year Treasury to be the benchmark.
30-year Treasuries are bonds issued by the U.S. government and have a maturity of 30 years. The S&P U.S. Treasury Bond Current 30-Year Index is a one-security index comprising the most recently issued 30-year U.S. Treasury bond. U.S. Treasury securities with longer-term maturities can be purchased as U.S. Savings bonds or Treasury bonds.

30-Year Treasury

Bill announcement is a notice informing investors about the time, date and terms of the upcoming Treasury bill auction.

Bill announcements are published by the U.S. Treasury to announce the terms of the next bill auction and must contain the date and time of the auction, as well as the amount of bills to be tendered. Bill announcements are published by the U.S. Treasury to announce the terms of the next bill auction and must contain the date and time of the auction, as well as the amount of bills to be tendered. Bill announcements are published weekly by the U.S. Treasury to announce the terms of the next bill auction, which is the manner in which all U.S. Treasury bills are issued. A bill auction is a public auction for Treasury bills that is held weekly by the U.S. Treasury. An investor who submits a non-competitive bid agrees to accept whatever discount rate is decided at the auction, determined by the competitive side of the auction which is handled as a Dutch auction.

Bill Announcement

Treasury bills are issued in electronic form through a bill auction bidding process, which is conducted every week.

A bill auction is a public auction, held weekly by the U.S. Treasury, of federal debt obligations—specifically, Treasury bills (T-bills), whose maturies range from one month to one year. All bill auctions are open to the public through Treasury Direct or the Treasury Automated Auction Processing System (TAAPS).
Participants in any Treasury auction consist of retail investors and institutional investors who submit bids categorized as either competitive or non-competitive tenders. Unlike the non-competitive bidders, competitive bidders are not guaranteed to receive any T-bills—as approval of their bid depends on the discount yield that they offered to accept. A bill auction is a public auction, held weekly by the U.S. Treasury, of federal debt obligations—specifically, Treasury bills (T-bills), whose maturies range from one month to one year. An investor who submits a non-competitive bid agrees to accept the final discount rate, which is determined by the competitive side of the auction.

Bill Auction

A bund, German for "bond," is a debt instrument issued by Germany's federal government that is similar to the U.S. Treasury bond.

A bund is a sovereign debt instrument issued by Germany's federal government to finance outgoing expenditures. Like all German government debt instruments, they are issued by making a claim in the government debt register, as opposed to producing paper certificates. Bunds account for about 50% of the German government's outstanding debt, underscoring their importance in government funding. A bund is a sovereign debt instrument issued by Germany's federal government to finance outgoing expenditures. A bund is issued by Germany's federal government to finance outgoing expenditures, much like the U.S. does when it issues T-bonds.

Bund

Certificate Of Accrual On Treasury Security (CATS) was a zero-coupon bond, privately issued, but backed by the U.S. Treasury, between 1982 and 1986.

Treasury Debt Management Under the Rubric of Regular and Predictable Issuance: 1983-2012

Timeline of Separate Trading of Registered Interest and Principal Securities (STRIPS)

Form 10-Q: Salomon Smith Barney Holdings Inc

Committee on Uniform Securities Identification Procedures (CUSIP)

Certificates of Accrual on Treasury Securities (CATS) were a type of bond invented by the bank Salomon Brothers. The difference between the amount the investor paid for the bond and its actual face value was meant to represent the interest that would have accrued in the years before the bond’s maturity. However, these bonds became obsolete when the U.S. government began directly issuing zero-coupon bonds through the Separate Trading of Registered Interest and Principal of Securities (STRIPS) program. Due to conglomeration and bank mergers over time, many people holding CATS bonds now have a difficult time figuring out how to redeem them.

Certificate Of Accrual On Treasury Security (CATS)

The one-year constant maturity Treasury is the interpolated one-year yield of the most recently auctioned 4-, 13-, and 26-week U.S. Treasury bills.

Consumer Handbook on Adjustable -Rate Mortgages

The one-year constant maturity Treasury (CMT) is the interpolated one-year yield of the most recently auctioned 4-, 13-, and 26-week U.S. Treasury bills (T-bills); the most recently auctioned 2-, 3-, 5-, and 10-year U.S. Treasury notes (T-notes); the most recently auctioned U.S. Treasury 30-year bond (T-bond); and the off-the-run Treasuries in the 20-year maturity range.
The one-year constant maturity Treasury (CMT) represents the one-year yield of the most recently auctioned Treasury securities.
The one-year CMT is linked to an interpolated yield curve (I-curve), which can provide a yield for a one-year security although no existing debt security matures in exactly one year.
The monthly one-year CMT value is a popular mortgage index to which many adjustable-rate mortgages (ARMs) are tied. The one-year constant maturity Treasury (CMT) is the interpolated one-year yield of the most recently auctioned 4-, 13-, and 26-week U.S. Treasury bills (T-bills); the most recently auctioned 2-, 3-, 5-, and 10-year U.S. Treasury notes (T-notes); the most recently auctioned U.S. Treasury 30-year bond (T-bond); and the off-the-run Treasuries in the 20-year maturity range.
The one-year constant maturity Treasury (CMT) represents the one-year yield of the most recently auctioned Treasury securities.
The one-year CMT is linked to an interpolated yield curve (I-curve), which can provide a yield for a one-year security although no existing debt security matures in exactly one year.
The monthly one-year CMT value is a popular mortgage index to which many adjustable-rate mortgages (ARMs) are tied. When the average yields of Treasury securities are adjusted to the equivalent of a one-year security, the term structure of interest rates results in an index known as the one-year constant maturity Treasury. The U.S. Treasury interpolates the constant maturity yields from the daily yield curve, based on the closing market bid yields of the actively traded Treasury securities in the over-the-counter (OTC) market and calculated from the composites of quotations obtained by the Federal Reserve Bank of New York. The U.S. Treasury publishes the one-year CMT value daily, along with the respective weekly, monthly, and annual one-year CMT values.

One-Year Constant Maturity Treasury (CMT)

Constant maturity is an adjustment for equivalent maturity, used by the Federal Reserve Board to compute an index based on the average yield of various Treasury securities maturing at different periods.

Constant maturity is an adjustment for equivalent maturity, used by the Federal Reserve Board to compute an index based on the average yield of various Treasury securities maturing at different periods. The one-year constant maturity Treasury (CMT) is the interpolated one-year yield of the most recently auctioned 4-, 13-, and 26-week U.S. Treasury bills (T-bills); the most recently auctioned 2-, 3-, 5-, and 10-year U.S. Treasury notes (T-notes); the most recently auctioned U.S. Treasury 30-year bond (T-bond); and the off-the-run Treasuries in the 20-year maturity range. While the relative positions of a constant maturity rate payer and a fixed rate payer are more complex, in general, the fixed rate payer in any swap will benefit primarily from an upward shift of the yield curve. In general, a flattening or an inversion of the yield curve after the swap is in place will improve the constant maturity rate payer's position relative to a floating rate payer. To take advantage of this change in the curve, the investor buys a constant maturity swap paying the six-month LIBOR rate and receiving the three-year swap rate.

Constant Maturity

Certificates of Government Receipts are one of several synthetic stripped Treasury securities.

A Certificate of Government Receipts (COUGR) is a U.S. Treasury bond that was marketed by A.G. Becker Paribas stripped of its coupon payments. Normally, when an investor buys a U.S. Treasury bond, they expect to receive regular, semi-annual coupon payments at a fixed interest rate until maturity, at which point the bond pays back its principal. Stripped bonds derive from an interest-bearing bond, whereas zero-coupon bonds simply offer the difference between discounted and face value in lieu of coupon payments. In other words, when an investor purchases a stripped bond they do so expecting only to receive the face value of the bond at maturity. A Certificate of Government Receipts (COUGR) is a U.S. Treasury bond that was marketed by A.G. Becker Paribas stripped of its coupon payments.

Certificate Of Government Receipts (COUGRs)

A curve steepener trade uses derivatives to profit from rising yield differences due to yield curve increases between T-bonds of differing maturities.

A curve steepener trade is a strategy that uses derivatives to benefit from escalating yield differences that occur as a result of increases in the yield curve between two Treasury bonds of different maturities. If the yield curve steepens, this means that the spread between long- and short-term interest rates increases—i.e. yields on long-term bonds are rising faster than yields on short-term bonds. In other words, the yields on long-term bonds are rising faster than yields on short-term bonds, or short-term bond yields are falling as long-term bond yields are rising. Sometimes, the yield curve may be inverted or negative, meaning that short-term Treasury yields are higher than long-term yields. A curve steepener trade is a strategy that uses derivatives to benefit from escalating yield differences that occur as a result of increases in the yield curve between two Treasury bonds of different maturities.

Curve Steepener Trade

A direct bidder is an entity that purchases Treasury securities at auction for a house account rather than on behalf of another party.

Wall Street Banks Held for Rigging Treasury Bond Auctions

A direct bidder is an entity or individual that purchases Treasury securities at auction for a house account rather than on behalf of another party. After an auction has ended, the Treasury Department announces the dollar amount of securities purchased by primary dealers and other direct bidders, as well as indirect bidders. Direct bidders include primary dealers, non-primary dealers, hedge funds, pension funds, mutual funds, insurers, banks, governments, and individuals. Direct bidders include primary dealers, non-primary dealers, hedge funds, pension funds, mutual funds, insurers, banks, governments, and individuals. The online systems used for bidding are Treasury Automated Auction Processing System (TAAPS), Treasury Direct, and Legacy Treasury Direct.

Direct Bidder

Primarily operating in the United Kingdom, a discount house bought, sold, and negotiated bills of exchange or promissory notes.

The Bank of England as Lender of Last Resort: New Historical Evidence from Daily Transactional Data

In the financial world, a discount house is a firm that specializes in trading, discounting, and negotiating bills of exchange or promissory notes. There were 12 discount houses, all based in the City (London's financial district), and they had a monopoly on daily dealings with the Bank of England in bills of exchange and, to a lesser extent, in gilts (British government securities, similar to U.S. Treasury bills and bonds).
Electronic trading, the launch of derivatives markets, and the growth in the repo market began to provide competition for discount houses' services in the early 1980s. By providing a ready market for short-term government-guaranteed securities and other money market instruments, and discounting short-term obligations for other financial institutions in need of funds, they provided liquidity in the secondary money market. A discount house specialized in discounting short-dated financial securities and acted as an intermediary between a lender and a borrower, negotiating the purchase of various certificates of deposit (CDs), commercial paper, and other money market instruments mentioned above at less than par value. The discount houses used the loans to purchase money market securities from commercial banks, thereby enabling these banks to meet their temporary needs for loanable funds or for cash reserves.

Discount House Defined

Federally guaranteed obligations are debt securities issued by the United States government that are considered risk-free.

Federally guaranteed obligations are debt securities issued by the United States government and considered risk-free because they receive the full faith and credit of the federal government. Federally guaranteed obligations take several forms, but the best-known are U.S. Treasury bonds, Treasury notes, and Treasury bills (T-bills). Treasury bonds (T-bonds) is a marketable, fixed-interest U.S. government debt security with a maturity of more than ten years. Treasury Direct is the online platform which investors may use to purchase federal government securities directly from the U.S. Treasury. Federally guaranteed obligations are debt securities issued by the United States government and considered risk-free because they receive the full faith and credit of the federal government.

Federally Guaranteed Obligations

The flat yield curve is a yield curve in which there is little difference between short-term and long-term rates for bonds of the same credit quality. 

The flat yield curve is a yield curve in which there is little difference between short-term and long-term rates for bonds of the same credit quality. A flattening yield curve may be a result of long-term interest rates falling more than short-term interest rates or short-term rates increasing more than long-term rates. The flat yield curve is a yield curve in which there is little difference between short-term and long-term rates for bonds of the same credit quality. If the yield curve is flattening, it indicates the yield spread between long-term and short-term bonds is decreasing. One way to combat a flattening yield curve is to use what's called a Barbell strategy, balancing a portfolio between long-term and short-term bonds.

Flat Yield Curve

Freedom shares are original issue discount bonds issued by the U.S. Treasury from May 1967 to October 1970 with a 30-year maturity. 

Second Supplementary Appropriations for Fiscal Year 1967, Hearings before the Committee on Appropriations, United States Senate, First Session on H.R. 9481

Title 31, Subtitle B, Chapter II, Subchapter A, Part 342: Offering of United States Savings Notes

The Volunteer Program and Series E Savings Bonds

The President Announces: U.S. to Offer Freedom Shares Bearing 4.74% Interest

Freedom shares, also known as savings notes, are original issue discount bonds issued by the U.S. Treasury between May 1967 and October 1970 with a 30-year maturity. Freedom shares, also known as savings notes, are original issue discount bonds issued by the U.S. Treasury between May 1967 and October 1970 with a 30-year maturity. In addition, Freedom shares could only be bought with a simultaneous purchase of Series E Bonds, and buyers were limited to purchasing $1,350 in maturity value each year. Freedom shares were issued at 81% of face value and sold in denominations of $25, $50, $75 and $100 with a 30-year maturity. Like the Series E Bond, the sale of Freedom shares were tied to U.S. war efforts.

Freedom Shares

A government bond is issued by a government at the federal, state, or local level to raise debt capital. Treasuries are issued at the federal level.

Table of Contents
What Is a Government Bond?
Government Bonds Explained
U.S. vs. Foreign Gov't Bonds Pros
Pay a steady interest income return
Low risk of default for U.S. bonds
Exempt from state and local taxes
A liquid market for reselling
Assessable through mutual funds and ETFs
Offer low rates of return
Fixed income falls behind with rising inflation
Carry risk when market interest rates increase Fixed-rate government bonds can have interest rate risk, which occurs when interest rates are rising, and investors are holding lower paying fixed-rate bonds as compared to the market. However, government-backed bonds, particularly those in emerging markets, can carry risks that include country risk, political risk, and central-bank risk, including whether the banking system is solvent. Because of their relative low risk, government bonds typically pay low interest rates.

Government Bond

Government securities are bonds issued by a government. Government securities can also pay interest. U.S. Treasury bonds are an example.

20 Years of Russian Default, A Plan to Seize "Superprofits," What Russia Is Doing in Africa

Table of Contents
What Is Government Security? Government securities can offer a steady stream of interest income
Due to their low default risk, government securities tend to be safe-haven plays
Some government securities are exempt from state and local taxes
Government securities can be bought and sold easily
Government securities are available through mutual funds and exchange-traded funds
Cons As a result, fixed-rate government securities can pay a lower rate than other securities in a rising rate environment, which is called interest rate risk. Government securities offer low rates of return relative to other securities
The interest rates of government securities don't usually keep up with inflation Although U.S. government securities or Treasuries are risk-free investments, they tend to pay lower interest rates as compared to corporate bonds.

Government Security

An indirect bidder, commonly a foreign entity, purchases Treasury securities at auction through an intermediary, such as a primary dealer or broker.

Fiscal Year 2020 Q2 Report, Summary Statistics for Fiscal Year 2020 Q2 Auctions

An indirect bidder, commonly a foreign entity, purchases Treasury securities at auction through an intermediary, such as a primary dealer or broker. During each auction, the Treasury department accept bids through its automated system called the Treasury Automated Auction Processing System (TAAPS).
A direct bidder is an individual or organization that purchases Treasury securities during an auction for themselves or their house account. Treasury security purchases by indirect bidders are a proxy for investments made by foreign investors helping to gauge foreign demand for U.S. Treasury securities. During the Treasury auction, 59.3% of the bidders were indirect bidders for the 10-year Treasury note. At the auction's end, the Treasury Department announces the dollar amount of securities bought by primary dealers, direct bidders, and indirect bidders.

Indirect Bidder

Inflation-linked savings bonds are U.S. government-issued debt securities similar to regular savings bonds, but with inflationary protection.

Inflation-linked savings bonds (I-bonds) are U.S. government-issued debt securities similar to regular savings bonds but with protection against inflation. Adjusting for inflation can result in higher returns for Series-I bonds over a 30-year period, relative to regular savings bonds.﻿﻿ However, it's worth noting that Series I bonds do not work like TIPS, which actually pay more or less interest based on the movements of CPI. Inflation-linked savings bonds (I-bonds) are U.S. government-issued debt securities similar to regular savings bonds but with protection against inflation. Inflation-linked savings bonds (I-bonds) are U.S. government-issued debt securities similar to regular savings bonds but with inflationary protection. Inflation-linked savings bonds (I-bonds) differ from Treasury Inflation Protected Securities (TIPS), although, like TIPS, the amount of interest paid adjusts based on the rate of inflation.

Inflation-Linked Savings Bond (I Bond)

A Lehman Investment Opportunity Note (LION) was a type of zero-coupon Treasury bond issued by the U.S. government through Lehman Brothers.

Statement on Proposed Lehman Brothers, Inc. Acquisition by Barclays

A Lehman Investment Opportunity Note (LION) was a type of zero-coupon Treasury bond issued by the U.S. government through the Lehman Brothers brokerage from the mid-1980s until the bankruptcy of Lehman Brothers in 2008. A Lehman Investment Opportunity Note (LION) was a type of zero-coupon Treasury bond issued by the U.S. government through the Lehman Brothers brokerage from the mid-1980s until the bankruptcy of Lehman Brothers in 2008. Between 1982 and 1986, LIONs were issued by Lehman Brothers, TIGRs (Treasury Investment Growth Receipts) were issued by Merrill Lynch, and CATS (Certificates of Accrual on Treasury Security) were issued by Salomon Brothers. A Lehman Investment Opportunity Note (LION) was simply a U.S. Treasury bond issued through the brokerage Lehman Brothers. The brokerage house held the actual Treasury bond in escrow, took the interest payments and used them to separate the bonds, and issued new bonds with zero-coupon to investors.

Lehman Investment Opportunity Note (LION)

Long bond is usually designated as the longest maturity offering from an issuer. For the U.S. Treasury this is the 30-year bond.

Treasury To Issue New 20-Year Bond In First Half of 2020

Interest rate risk — When Interest Rates Go Up, Prices of Fixed-Rate Bonds Fall

Long bonds refer to the longest maturity bond offering from the U.S. Treasury. The U.S. Treasury’s 30-year long bond pays interest semi-annually.﻿﻿﻿ Like all U.S. Treasury bonds, it is backed by the full faith and credit of the U.S Treasury, which leads to a very low default risk.
Long bond is often a term used to refer to the longest maturity bond offering from the U.S. Treasury, the 30-year Treasury bond. Historical yields on the 30-year U.S. Treasury have included the following:
![Image](data:image/gif;charset=utf-8;base64,R0lGODlhCgAGAPEAAMTDxsfHyufi2+7q5SwAAAAACgAGAEEIGQAFCAQgsKCAAQgDIFzIUCHDhg8hRpyIMCAAOw==)
In a healthy economy, yield curves on bonds are typically normal with longer-term maturities paying higher yields than shorter-term maturities. Long bonds offer one advantage of a locked-in interest rate over time. The bond market can generally be broken into five categories:
Investment-grade bonds
Intermediate-grade bonds
High-yield junk bond
Each category of bonds comes with its own characteristics and risks. Investing in the long bond Treasury and other corporate long bonds comes with a focus on investing for long-term yield which has its own risks as well as higher rewards.

Long Bond

A note against bond spread (NOB) is a pairs trade with offsetting positions between 30-year treasury bond futures and ten-year treasury notes.

Interest Rate Futures Inter-Commodity Spreads

A note against bond spread (NOB), also known as a note over bond spread, is a pairs trade created by taking offsetting positions in 30-year Treasury bond futures with positions in ten-year Treasury notes. The note against bond spread (NOB) or, as it is more commonly known, the note over bond spread allows futures traders to bet on expected changes in the yield curve, or the difference between long-term and short-term interest rates. A note against bond spread (NOB), also known as a note over bond spread, is a pairs trade created by taking offsetting positions in 30-year Treasury bond futures with positions in ten-year Treasury notes. A note against bond spread, or a note over bond spread (NOB), is a pairs trade created by taking offsetting positions in 30-year Treasury bond futures with positions in ten-year Treasury notes. If futures traders are overwhelmingly going short on the 30-year bond and long on the ten-year note, this is an indication that the prevailing market sentiment expects longer-term interest rates to rise.

Note Against Bond Spread (NOB)

Off-the-run treasuries refer to all but the most recently issued Treasury securities issued in the market.

Off-the-run treasuries are all Treasury bonds and notes issued before the most recently issued bond or note of a particular maturity. Off-the-run treasuries can be contrasted with on-the-run treasuries, which refer to the newest issues only.
Off-the-run treasuries refer to any Treasury security that has been issued, except for the newest issue, which are called on-the-run.
Off-the-run treasuries tend to be somewhat less liquid than on-the-run securities, although they are still actively traded on the secondary market.
The price difference between on-the-run and off-the-run Treasuries is often referred to as the liquidity premium, as the more liquid Treasuries are obtained at a higher cost.
When the U.S. Treasury issues securities – Treasury notes, and bonds – Although on-the-run treasury yield can be used to construct an interpolated yield curve, which is used to determine the price of debt securities, some analysts prefer to use the yield of off-the-run Treasuries to draw the yield curve. Since off-the-run Treasuries have a higher yield and lower price than on-the-run Treasuries, there is a notable yield spread between both offerings. For example, if the U.S. Treasury newly issued 5-year notes in February, these notes are on-the-run and replace the previously issued 5-year notes, which become off-the-run.

Off-The-Run Treasuries

Off-the-run treasury yield curve graphs the maturities and yields of U.S. Treasury securities that were issued prior to the most recent issuance.

Examining Liquidity in On-the-Run and Off-the-Run Treasury Securities

Off-the-run treasury yield curve graphically depicts the maturities and yields of U.S. Treasury securities that were issued prior to the most recent issuance. Off-the-run treasuries are particularly useful as their yields are more stable than their newer brethren, thus the off-the-run treasury yield curve tends to smooth the distortions inherent in the on-the-run treasury yield curve.
Off-the-run Treasuries refer to U.S. government bonds of a given maturity that are not the most recently issued. Off-the-run treasuries are particularly useful as their yields are more stable than their newer brethren, thus the off-the-run treasury yield curve tends to smooth the distortions inherent in the on-the-run treasury yield curve. Off-the-run means that they are not part of the most recently issued treasuries, which are called on-the-run treasuries and the corresponding yield curve is termed on-the-run treasury yield curve. Off-the-run means that they are not part of the most recently issued treasuries, which are called on-the-run treasuries and the corresponding yield curve is termed on-the-run treasury yield curve.

Off-The-Run Treasury Yield Curve

On-the-run treasuries are the most recently issued U.S. Treasury bond or note of a particular maturity.

If another set of Treasury notes get issued in the next month, those become the new on-the-run Treasuries, and the previously issued Treasuries are considered off-the-run. The price difference between on-the-run and off-the-run Treasuries is often referred to as the liquidity premium, as the more liquid Treasuries are obtained at a higher cost. Thus, on-the-run Treasuries trade with that liquidity premium, but if investors don't need the newest issue, they will likely find a better deal with off-the-run Treasuries. Some traders successfully exploit this price differential through an arbitrage strategy that involves selling, or going short, on-the-run Treasuries, and buying off-the-run Treasuries.

On-The-Run Treasuries

The on-the-run Treasury yield curve graphically depicts the current yields versus maturities of the most recently sold U.S. Treasury securities.

The on-the-run Treasury yield curve graphically shows the current yields versus maturities of the most recently sold U.S. Treasury securities and is the primary benchmark used in pricing fixed-income securities. The on-the-run Treasury yield curve graphically shows the current yields versus maturities of the most recently sold U.S. Treasury securities and is the primary benchmark used in pricing fixed-income securities.
On-the-run Treasury yield curve is the opposite of the off-the-run Treasury yield curve, which refers to U.S. treasuries, of a given maturity, which are not part of the most recent issue.
On-the-run treasury yield curve is less accurate than off-the-run treasury yield curve as the volatility of current demand for recent supply tends to lead to price distortions. The on-the-run Treasury yield curve is the opposite of the off-the-run Treasury yield curve, which refers to U.S. treasuries, of a given maturity, which are not part of the most recent issue. Simply put, the on-the-run treasury yield curve is the U.S. Treasury yield curve that is derived using on-the-run Treasuries and it plots the yields of these instruments, of similar quality, against their maturities. On-the-run treasury yield curve is less accurate than off-the-run treasury yield curve as the volatility of current demand for recent supply tends to lead to price distortions.

On-The-Run Treasury Yield Curve

A par yield curve is a graphical representation of the yields of hypothetical Treasury securities with prices at par.

A par yield curve is a graphical representation of the yields of hypothetical Treasury securities with prices at par. Since duration is longer on the spot yield curve, the curve will always lie above the par yield curve when the par yield curve is upward sloping, and lie below the par yield curve when the par yield curve is downward sloping. The par yield curve can be compared with the spot yield curve and the forward yield curve for Treasuries. On the par yield curve, the coupon rate will equal the yield to maturity (YTM) of the security, which is why the Treasury bond will trade at par. When the yield curve is spoken of, this usually refers to the spot yield curve, specifically, the spot yield curve for risk-free bonds.

Par Yield Curve

Pledging Requirement refers to a legal stipulation that securities be pledged as collateral for public fund, or other specific, deposits.

Discount Window Margins and Collateral Guidelines

Pledging Requirement refers to a legal, or bureaucratic, stipulation that marketable and actively traded securities be pledged as collateral for public fund, or other specific, deposits. According to frbdiscountwindow.org, the following types of instruments can used to satisfy pledging requirements:
Obligations of U.S. government agencies and government-sponsored enterprises
Obligations of the United States Treasury
Obligations of states or political subdivisions of the U.S.
Collateralized mortgage obligations (CMO)
Asset-backed securities (ABS)
Corporate bonds
Money market instruments
Residential real estate loan
Commercial, industrial, or agricultural loans
Commercial real estate loans
Consumer loans.
The full value of the loan needn't be pledged. Pledging Requirement is one reason why banks generally prefer to borrow from other banks since the rate is cheaper, and the loans do not require actual collateral.
Pledging banks usually keep pledged securities in some sort of separate account. The Federal Reserve and other central banks maintain discount windows, referring to the loans they make at an administered discount rate to commercial banks and other deposit-taking firms. The pledging of collateral is one reason why banks generally prefer to borrow from other banks since the rate is cheaper, and the loans do not require collateral.

Pledging Requirement

A risk-free asset is an asset which has a certain future return such as Treasurys (especially T-bills) because they are backed by the U.S. government.

A risk-free asset is one that has a certain future return—and virtually no possibility of loss. A risk-free asset is one that has a certain future return—and virtually no possibility they will drop in value or become worthless altogether.
Risk-free assets tend to have low rates of return, since their safety means investors don't need to be compensated for taking a chance.
Risk-free assets are guaranteed against nominal loss, but not against a loss in purchasing power.
Over the long-term, risk-free assets may also be subject to reinvestment risk.
When an investor takes on an investment, there is an anticipated return rate expected depending on the duration the asset is held. Investors that purchase a security with some measure of risk higher than that of a risk-free asset (like a U.S. Treasury bill) will naturally demand a higher level of return, because of the greater chance they're taking. In other words, the return on a risk-free asset is added to a risk premium to measure the total expected return on an investment. The risk-free rate represents the interest on an investor's money that would be expected from a risk-free asset when invested over a specified period of time.

Risk-Free Asset

Treasury Automated Auction Processing System (TAAPS) is developed by the Federal Reserve to process the tenders received for treasury securities.

Treasury Automated Auction Processing System (TAAPS) is a computer network system developed by the Federal Reserve Bank to process bids and tenders received for Treasury securities. Treasury Automated Auction Processing System (TAAPS) is a computer network system developed by the Federal Reserve Bank to process bids and tenders received for Treasury securities. Below is an explanation of some of the steps involved in a Treasury auction in which TAAPS is responsible for the following:
Receiving bids
Separating competitive and non-competitive bids
Ranking of competitive bids by increasing yield or discount rate
Preparing a summary of the auction results. Treasury Automated Auction Processing System (TAAPS) is a computer system used developed to auction Treasury securities. The Treasury Automated Auction Processing System (TAAPS) was developed to become the heart of the operational process for the auctioning of Treasury securities.

TAAPS

Taper tantrum is the term used to refer to the 2013 upswing in U.S. Treasury yields.

The phrase, taper tantrum, describes the 2013 surge in U.S. Treasury yields, resulting from the Federal Reserve's (Fed) announcement of future tapering of its policy of quantitative easing. Tapering, which gradually reduces the amount of money the Fed pumps into the economy, should theoretically incrementally reduce the economy's reliance on that money and allow the Fed to remove itself as the economy's crutch. The phrase, taper tantrum, describes the 2013 surge in U.S. Treasury yields, resulting from the Federal Reserve's (Fed) announcement of future tapering of its policy of quantitative easing. Many pundits believed that the stock market could follow suit, since the money flowing into the economy from the Fed through bond purchases was also widely understood to be supporting stock prices. This prospective policy of reducing the rate of Fed asset purchases represented a massive negative shock to investor expectations, as the Fed had become one of the worlds biggest buyers.

Taper Tantrum

A tax anticipation bill was a type of short-term Treasury debt sold in periods when tax receipts did not cover the cost of short-term government spending.

A tax anticipation bill (TAB) was a short-term debt obligation backed by the U.S. Department of the Treasury. Like today’s cash-management bills, tax anticipation bills usually found investor demand, even when issued on very little notice, partly because they tended to pay higher interest than T-bills.
Tax anticipation bills typically worked like this: Say it’s October 15, 1970, six months from then the U.S. government next expects a significant cash inflow from corporate tax payments in April 1971. Like other T-bills, tax anticipation bills were interest-bearing securities, promising periodic interest payments for the duration of the bond’s life, as well as principal repayment at the end of the term. A tax anticipation bill (TAB) was a short-term debt obligation backed by the U.S. Department of the Treasury. A tax anticipation bill (TAB) was a short-term debt obligation backed by the U.S. Department of the Treasury.

Tax Anticipation Bill (TAB)

The TED spread is the difference between the interest rate on short-term U.S. government debt and that of interbank loans.

The TED spread is the difference between the three-month Treasury bill and the three-month LIBOR based in U.S. dollars. Following this construct, the TED spread can be understood as the difference between the interest rate that investors demand from the government for investing in short-term Treasuries and the interest rate that investors charge large banks. The TED spread is a relatively simple calculation:
**TED Spread = 3-month LIBOR – 3-month T-bill rate**
Of course, it is far easier to let the St. Louis Fed calculate and chart it for you. To put it another way, the TED spread is the difference between the interest rate on short-term U.S. government debt and the interest rate on interbank loans. It is calculated as the difference between the interest rate banks can lend to each other over a three-month time frame and the interest rate at which the government is able to borrow money for a three-month period.

TED Spread

A thirty-year treasury is a U.S. Treasury bond that matures in 30 years.

A thirty-year treasury is a U.S. Treasury debt obligation that matures after 30 years. High demand for longer maturity bonds at reasonable present rates and low demand for short-term debt that bondholders expect to reinvest into a falling interest rate environment can cause a rise in short-term rates and a fall in long-term rates. That shifts the demand away from longer maturity bonds and toward shorter maturity bonds as investors park their funds in anticipation of better-yielding longer-term bonds down the road. The more the demand imbalance, the steeper the yield curve as the high demand for short maturity bonds depresses yields and bond issuers raise yields on longer-term bonds in an attempt to attract more investors. Under certain economic conditions, the yield curve may become flatter or even inverted, with shorter maturity bonds paying better interest rates than longer maturity bonds.

Thirty-Year Treasury

TIPS spread is the difference in yields between U.S. Treasury bonds and Treasury Inflation-Protected Securities and forecasts future CPI inflation.

Inflation Expectations and Inflation Realities: A Comparison of the Treasury Breakeven Inflation Curve and the Consumer Price Index Before, During, and After the Great Recession

Why Does the Federal Reserve Aim for Inflation of 2 Percent Over the Longer Run?

TIPS spread is the difference in the yields between U.S. treasury bonds and Treasury Inflation-Protected Securities (TIPS) and is a useful measure of the market’s expectation of future Consumer Price Index (CPI) inflation. TIPS spread is the difference in the yields between U.S. Treasury bonds and Treasury Inflation-Protected Securities (TIPS) and is a useful measure of the market’s expectation of future CPI inflation. TIPS spread is the difference in the yields between U.S. treasury bonds and Treasury Inflation-Protected Securities (TIPS) and is a useful measure of the market’s expectation of future Consumer Price Index (CPI) inflation. For example, if a U.S. Treasury security that matures in ten years has a yield of 5% and a TIPS security with the same maturity date has a yield of 3%, the difference in yield, 2%, is the TIPS spread. The TIPS spread compares the yield of TIPS and the yield of regular U.S. Treasury securities with the same maturity dates.

TIPS Spread

Investors can purchase federal securities—U.S. Treasury bills, bonds, and TIPS—directly from the government via the online platform TreasuryDirect.

TreasuryDirect is the online platform through which investors can purchase federal government securities directly from the U.S. Treasury. The types of Treasury securities available through TreasuryDirect include:
Treasury bills
Treasury notes
Treasury bonds
Series I savings bonds
Series EE savings bonds
Treasury Inflation-Protected Securities (TIPS)
The TreasuryDirect trading system eliminates banks, brokers, and dealers as middlemen, saving investors money on commissions and fees.
The minimum required investment in the TreasuryDirect market
Treasury securities are sold through an auction process, which establishes a security’s rate and yield. TreasuryDirect sells Treasury bills, notes, bonds, Treasury Inflation-Protected Securities (TIPS), and savings bonds, all of which are backed by the full faith and credit of the U.S. government and are used to finance the federal debt.
The TreasuryDirect website is the main portal through which the U.S. Treasury sells its securities. To open a TreasuryDirect account, investors must have a Social Security number or Employer Identification Number (EIN), a U.S. address, a checking or savings account for transferring funds to and from a TreasuryDirect account, an email address, and a secure web browser and internet connection. Of course, investors can still purchase Treasury securities through traditional channels, like brokerages or banks, even if they set up a TreasuryDirect account; however, financial professionals cannot buy securities for clients through the system.

TreasuryDirect

The Treasury index is an index based on recent auctions of U.S. Treasury bills and is commonly used as a benchmark when determining interest rates.

The Treasury index is an index based on recent auctions of U.S. Treasury bills and is commonly used as a benchmark when determining interest rates, such as mortgage rates. The U.S. government sells debt instruments such as Treasury bills, Treasury notes, and Treasury bonds through the U.S. Treasury to raise money for capital projects, such as improvements to infrastructure. The Treasury index has a basis on the U.S. Treasury’s daily yield curve–the curve that shows the Treasury’s return on investment (ROI) on the U.S. government’s debt obligations. The Treasury index is an index based on recent auctions of U.S. Treasury bills and is commonly used as a benchmark when determining interest rates, such as mortgage rates. The Treasury index is an index based on recent auctions of U.S. Treasury bills and is commonly used as a benchmark when determining interest rates, such as mortgage rates.

Treasury Index

A treasury note is a marketable U.S. government debt security with a fixed interest rate and a maturity between two and 10 years.

A Treasury note (T-note for short) is a marketable U.S. government debt security with a fixed interest rate and a maturity between two and 10 years. For example, in the case of a steepening curve, the spread between short- and long-term interest rates widens as the long-term rates increase more than the short-term rates. A Treasury note (T-note for short) is a marketable U.S. government debt security with a fixed interest rate and a maturity between two and 10 years. For example, a Treasury bond’s maturity exceeds 10 years and goes up to 30 years, making Treasury bonds the longest-dated, sovereign fixed-income security. If the short term-rates were to be higher than any of the longer-term rates, it would create a condition known as an inverted yield curve.

Treasury Note

A treasury receipt is a type of bond that is purchased at a discount by the investor in return for a payment of full face value at its date of maturity.

A treasury receipt is a type of bond that is purchased at a discount by the investor in return for a payment of its full face value at its date of maturity. In effect, treasury receipts are no longer U.S. Treasury bonds but they are backed by U.S. Treasury bonds. A variety of Treasury receipts have been issued, including Separate Trading of Registered Interest and Principal Securities (STRIPS), Certificates of Accrual on Treasury Securities (CATS), Treasury Investment Growth Receipts (TIGRs), and Certificate of Government Receipts (COUGRs). They are not U.S. Treasury bonds but they are collateralized by U.S. Treasury bonds. Brokerages buy large blocks of U.S. Treasury bonds and then split them into their separate components, the principal payments and the interest payments.

Treasury Receipt

The Term Securities Lending Facility (TSLF) allowed borrowing of Treasury securities through the Federal Reserve Bank during the 2008 financial crisis.

Costs of Government Interventions in Response to the Financial Crisis

Term Securities Lending Facility (TSLF) And TSLF Options Program (TOP)

Are the bailouts of Wall Street complements or substitutes

The Term Securities Lending Facility (TSLF) originated as a weekly lending facility through the Federal Reserve Bank that allowed primary dealers to borrow U.S. Treasury securities on a 28-day term by pledging eligible collateral. The eligible securities under the TSLF included AAA- to Aaa-rated mortgage-backed securities (MBS) not under review for downgrade, municipal securities, investment-grade corporate securities, and all securities available for tri-party repurchase agreements. The Term Securities Lending Facility (TSLF) originated as a weekly lending facility through the Federal Reserve Bank that allowed primary dealers to borrow U.S. Treasury securities on a 28-day term by pledging eligible collateral. With TOP auctioned options, primary dealers had the right, but not the obligation, to draw upon a TSLF loan at a specific date in the future in exchange for eligible collateral.﻿﻿ The Federal Reserve ended TOP in Oct. 2009.
Financial researchers discovered a strong negative correlation between using the TSLF or acquiring funds from other bailout programs, including the Troubled Asset Relief Program, or TARP, during 2008 and 2009. In exchange for collateral, the primary dealers received a basket of Treasury general collateral, which included Treasury bills, notes, bonds, and inflation-indexed securities from the Federal Reserve's system open market account.

Term Securities Lending Facility (TSLF)

Created in 1789, the U.S. Treasury is the government (Cabinet) department responsible for issuing all Treasury bonds, notes, and bills. Discover more here.

Prior Secretaries - Alexander Hamilton (1789-1795)

Understanding Taxes: A Brief History of the Income Tax

Monetary Policy: What Are Its Goals? How Does It Work?

The U.S. Treasury, created in 1789, is the government department responsible for issuing all Treasury bonds, notes, and bills. Key functions of the U.S. Treasury include printing bills, postage, and Federal Reserve notes, minting coins, collecting taxes, enforcing tax laws, managing all government accounts and debt issues, and overseeing U.S. banks in cooperation with the Federal Reserve. The U.S. Treasury, created in 1789, is the government department responsible for issuing all Treasury bonds, notes, and bills. Among the government departments operating under the U.S. Treasury umbrella are the Internal Revenue Service (IRS), the U.S. Mint, the Bureau of the Fiscal Service, and the Alcohol and Tobacco Tax and Trade Bureau. Among his major accomplishments while he was secretary of the Treasury were the federal government's assumption of the states' debts related to the American Revolution, provisions for the payment of war bonds, and the institution of a system for the collection of federal taxes.

U.S. Treasury

The Zero-volatility spread is the constant spread that will make the price of a security equal to the present value of its cash flows.

The Zero-volatility spread (Z-spread) is the constant spread that makes the price of a security equal to the present value of its cash flows when added to the yield at each point on the spot rate Treasury curve where cash flow is received. P \= Current price of the bond plus any accrued interest C x \= Bond coupon payment r x \= Spot rate at each maturity Z \= Z-spread n \= Relevant time period \\begin{aligned} &\\text{P} = \\frac { C\_1 }{ \\left ( 1 + \\frac { r\_1 + Z }{ 2 } \\right ) ^ {2n} } + \\frac { C\_2 }{ \\left ( 1 + \\frac { r\_2 + Z }{ 2 } \\right ) ^ {2n} } + \\frac { C\_n }{ \\left ( 1 + \\frac { r\_n + Z }{ 2 } \\right ) ^ {2n} } \\\\ &\\textbf{where:} \\\\ &\\text{P} = \\text{Current price of the bond plus any accrued interest} \\\\ &C\_x = \\text{Bond coupon payment} \\\\ &r\_x = \\text{Spot rate at each maturity} \\\\ &Z = \\text{Z-spread} \\\\ &n = \\text{Relevant time period} \\\\ \\end{aligned} ​P\=(1+2r1​+Z​)2nC1​​+(1+2r2​+Z​)2nC2​​+(1+2rn​+Z​)2nCn​​where:P\=Current price of the bond plus any accrued interestCx​\=Bond coupon paymentrx​\=Spot rate at each maturityZ\=Z-spreadn\=Relevant time period​
For example, assume a bond is currently priced at $104.90. The formula would be set up as follows:
$ 1 0 4 . 9 0 \=   $ 5 ( 1 \+ 2 . 5 % \+ Z 2 ) 2 × 1 \+ $ 5 ( 1 \+ 2 . 7 % \+ Z 2 ) 2 × 2 \\begin{aligned} \\$104.90 = &\\ \\frac { \\$5 }{ \\left ( 1 + \\frac { 2.5\\% + Z }{ 2 } \\right ) ^ { 2 \\times 1 } } + \\frac { \\$5 }{ \\left ( 1 + \\frac { 2.7\\% + Z }{ 2 } \\right ) ^ { 2 \\times 2 } } \\\\ &+ \\frac { \\$105 }{ \\left ( 1 + \\frac { 3\\% + Z }{ 2 } \\right ) ^ {2 \\times 3 } } \\end{aligned} $104.90\=​ (1+22.5%+Z​)2×1$5​+(1+22.7%+Z​)2×2$5​​
With the correct Z-spread The formula to calculate a Z-spread is:
P \= C 1 ( 1 \+ r 1 \+ Z 2 ) 2 n \+ C 2 ( 1 \+ r 2 \+ Z 2 ) 2 n \+ C n ( 1 \+ r n \+ Z 2 ) 2 n To calculate a Z-spread, an investor must take the Treasury spot rate at each relevant maturity, add the Z-spread to this rate, and then use this combined rate as the discount rate to calculate the price of the bond.

Treasury Bonds

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