Treasury Convenience
By
Lira Mota
and
Nick von Turkovich
About
Theory
Hazard term structure
Implementation
Market
US
Euro
Frequency
Daily
Monthly
Safe curve
Treasury (US)
OIS / swap (US & €)
ECB AAA (€)
All Euro govts (€)
Bund (€)
OIS / swap = LIBOR (US) or EURIBOR (€) swap curve to 1 Apr 2022, SOFR / €STR OIS from 4 Apr 2022. Curve definitions under Implementation.
Metric
Yield
Z-spread
Convenience yield
Aggregation
Notional-weighted
Median
Rating
Overall
AAA/AA
A
BBB
Rating
Consolidated Rating
Rating
Overall
IG
HY
Rating
Overall
AAA/AA
A
BBB
Maturity
Overall
<5y
5-10y
>10y
Facet
None
Metric
Rating
Maturity
Market
Curve
Plot
CSV
Download CSV