• Floating Rate Notes (Floaters)
• Valuation and duration of Inverse Floaters
• Problem set on inverse floaters.
  • Key to problem set on inverse floaters.
• Problem Set 2 on inverse floaters.
  • Key to Problem Set 2 on inverse floaters.

• An important aspect of the trades that we consider is book keeping of the cash flows and the construction of holding period returns.
• International Capital Market Association page on Repo This is very useful.
• Class spreadsheet with the use of repo to finance and short STRIPS.
• Problem set on the use of repo to finance and short STRIPS.
  • Key to problem set on the use of repo to finance and short STRIPS.

• Overview of US Treasury Auctions
  • Notes on the on-the-run premium and repo specialness
  • Spreadsheet with the May 2019 auction for the May 2029 Note.
• Treasury Site Containing Auction and buy-back results.
• On-the-run premium
• Repo and securities lending
  ``The Cleared Bilateral Repo Market and Proposed Repo Benchmark Rates,'' by David Bowman, Joshua Louria, Matthew McCormick, and Mary-Frances Styczynski.
  • Reference Guide to U.S. Repo and Securities Lending Markets,'' by Viktoria Baklanova, Adam Copeland, and Rebecca McGaughrin. Federal Reserve Bank of New York Staff Report No. 740, December 2015.
  • Latest SIFMA Repo Market Fact Sheet.
  • Spreadsheet with demonstration of repo financing and short-selling (securities lending).
  • Problem Set.
    • Key to Problem Set.
  • Notes demonstrating repo financing of STRIPS (since in-class quizzes will generally feature STRIPS).
  • Old Quiz on repos, specials -- #5 is an example question with STRIPS.
    • Key to that old quiz.
  • Spreadsheet example of the ``Long Term Capital Trade'' to capture the On-the-Run Premium.
  • Problem Set.
    • Key to Problem Set.
  • Class material from November 10, 2025.

• Class Spreadsheet for 2020 Class 3.

• Basic holding period return problem set.
  • Key to Problem Set.

• Basics:
  • CME Group: Understanding Treasury Futures
  • CME Group: Algorithm to compute conversion factors.
  • My notes on the 10-year Treasury Note futures market.
  • Accompanying spreadsheet with the September 2020 contract on July 15, 2020.
  • Basis Trades and Treasury Market Liquidity, by Daniel Barth and Jay Kahn. July 16, 2020, Office of Financial Reasearch.

• Part I. Background:
  • Introduction to floating rates notes.
  • Spreadsheet on forward discount factors, forward rates, and Swaps.
  • Problem set on forwards and swaps.
    • Key to problem set
• Part II. Convergence Trade:
  • PiVe case Spreadsheet.
    • PIMCO Viewpoint on the effect of Basel III Supplemental Leverage Ratio regulation on Repo activity.
      • sifma Primer for the world of Fixed Income, July 2018.
      • sifma bond chart
  • Problem Set.
    • Key to Problem Set.
• Shell spreadsheet for introductory lecture on forward rates, floating rate notes, and swaps.
• Complete spreadsheet for introductory lecture on forward rates, floating rate notes, and swaps.

• In class mini-case shell (bonus class on swap vs Treasury trade).

• Worked out Mini Case (as in class notes).

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