How to obtain USD treasury static data (off-the-run and on-the-run)?

clive.hill
clive.hill
in UPA

Is there a way to obtain all static data for treasuries, for on the run and off the run?

By static data, I mean values such as COUPON, ISSUE_DATE, MATURITY_DATE, CUSIP, SECTOR.

Off-the-run treasuries can change from one day to the next, hence I want a way to query this from a Java side UPA process. I will then use the static data to subscribe to relevant bonds to get the bid and ask.

Perhaps there is a chain type construct to achieve this?

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Best Answer

  • warat.boonyanit
    warat.boonyanit
    Answer ✓
    @clive.hill

    You can obtain those data from their respective fields.

    • FID 69 - COUPN_RATE
    • FID 102 - COUPN_DATE
    • FID 107 - ISSUE_DATE
    • FID 68 - MATUR_DATE
    • FID 78 - OFFCL_CODE (CUSIP)

    However, the fields are on the bond RIC itself, so you would have to subscribe to all of them to get all data.

    The SpeedGuide page US/GOVT1 contains the list of chains that hold the on-the-run and off-the-run US treasuries. You can use the SpeedGuide tool to access the page.

Answers

  • clive.hill
    clive.hill

    Is there a way to obtain all static data for treasuries, for on the run and off the run?

    By static data, I mean values such as COUPON, ISSUE_DATE, MATURITY_DATE, CUSIP, SECTOR.

    Off-the-run treasuries can change from one day to the next, hence I want a way to query this from a Java side UPA process. I will then use the static data to subscribe to relevant bonds to get the bid and ask.

    Perhaps there is a chain type construct to achieve this?

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