How do you mark to market a 10 year treasury bond

CFA General
#1

Hi Group, I was hoping someone would be kind enough to explain how to mark to market a 10 year treasury bond given the change in yield. I was looking to calculate the daily appreciation (or deprecation) in bond price and yield return dating back as far as possible. thanks. Rebecca

#2

Would Bloomberg publish this data for off-the-run Ts.

#3

I would love to know that question as well. Any insight would be greatly appreciated

#4

'sup Rebecca

#5

Payment Date? Mat Date? Coupon? Face? You were on here a week and a half ago and you asked the same question in GD and the Level III forum. The reason that no one has given you a simple answer is because there is no simple answer. If you want to find the market value then plot out your cash flows in excel and discount them by the treasury yield curve. If you do this, and do it accurately, I imagine the market value that you compute will be slightly above the actual MV because I believe off the run treasuries are less liquid and will trade at a slight discount. Because the largest cash flow occurs at maturity (i.e. you get your principle back) that ‘key rate’ will have the greatest effect on the MV of the security. Note that just because the security is a 10 year treasury, doesn’t mean you discount by the 10 year rate. You need to match the rate to the cash flows, so if you purchased this 10 year five years ago then you’ll discount the final cash flow by the five year rate.

#6

Thank you Bankin for the response and your time. If you don’t mind, may I ask you to please look at the below referenced link: http://pages.stern.nyu.edu/~adamodar/pc/datasets/histretSP.xls And on the treasury bond page, columm C, state whether if this is an accurate approach in quantifying the yearly return (change in bond price and yield) on the 10 year bond. Thanks so much.

#7

Bloomberg does publish this data for off the runs. Plug in the cusip or coupon/mat and you are good to go. You can download returns history in excel as well. You sound like you are just trying to mark it? Or are you trying to gauge change in price given changes in slope/shape/level of the curve/rates?

#8

I’m lying about returns data, I dont think thats available via excel despite the "COMP " function. But, bloomberg carries plenty of off the run data.

#9

call Ben and ask how much he’ll pay for it… I hear he is a buyer.

#10

Grover can you please provide the link showing that data. I can’t find it for the life of me. Thanks. Rebecca

#11

I meant a bloomberg terminal. Do you have one where you are? If not, sometimes local libraries or schools have them.