Treasury Convenience
By
Lira Mota
and
Nick von Turkovich
About
Theory
Hazard term structure
Implementation
Frequency
Daily (iBoxx)
Monthly (WRDS TRACE)
Metric
Yield
Z-spread
Convenience yield
Aggregation
Notional-weighted
Median
Rating (iBoxx)
Overall
AAA/AA
A
BBB
Rating (TRACE)
Consolidated Rating
Rating
Overall
IG
HY
Maturity
Overall
<5y
5-10y
>10y
Facet
None
Metric
Rating
Maturity
Plot
CSV
Download CSV