Treasury against OIS (Asset swap)
Hi Monkeys
I am trying to figure out how to spot RV in Treasuries against OIS. I have come to a point where I am able to calculate the OIS+ spread on the said treasury sorted by duration and have found RV in the 4-9month sectors. That being said, it is one thing to spot an abnormality in the spreads (hypothetical extreme i.e. 9month OIS+ spread 4month OIS+ spread therefore: 1. 9month Tsy rich relative to 4month Tsy on OIS basis 2. trading opportunity to buy 4month tsy against OIS against and sell 9month tsy ag OIS ). However I'd like to know what else should I be looking at. For example, what questions should i be answering to myself?
- How does the OIS curve interact with this analysis > Libor/OIS
- What is the effect of FOMC/Debt Crisis/Fed Balance Sheet unwind on treasuries, ...
If the pro's can please help out that would be super appreciated!
Thank you Aspiring Fixed Income Monkey
1) how many basis points of rich/cheap do you see 2) for the individual securities, what is that RV in price terms? As you move in the curve, very small price moves can make large yield moves, and can make RV appear where it is not executable unless you can buy on the bid, and sell on the offer.
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