Just read the following quote on Bloomberg RE the yield curve. The U.S. Treasury yield curve has widened to 2.22 percentage points from 1.25 percentage points in December. It averaged less than zero in 2006 as traders correctly anticipated that the economy would enter a recession, causing inflation, which erodes the value of fixed-rate securities, to slow. Which 2 points does 'The U.S. Treasury yield curve has widened to 2.22 percentage points from 1.25 percentage points in December.' refer to exactly? is it the 3 month and 30 year points?
Yes, yield of the current 2y on-the-run UST (0 7/8 Apr 11s) vs yield of the current 10y on-the-run UST (2 3/4 Feb 19s).
so when you are looking at the yield curve 'On the Run' is being used to calculate the curve, not 'CTD'?
Yes, you want to look at the on-the-runs, rather than the CTDs, because the CTDs are often shorter tenors (for example, the 10y note CTD at the moment is a 7y bond)
I have another question in regards to the spread ratios. Ive read that they are based on DVO1. Is there anywhere to get this easily? Also, if you have a longer term spread on and the ratio changes, does this mean you adjust the ratio of your active trade, or stick with your original ratio? Thanks!
I don't know of a place to get that easily, other than Bloomberg. Maybe someone else does (there might be some info on the CME site, but I don't know). Otherwise, you're just going to have to read some books and put a spreadsheet together, I'm afraid... As to your other question, the futures' CTDs don't change all that often. When they do, most people would, in fact, adjust their positions, because without the adjustment you will be running some outright risk (which, I assume, you don't wanna do, if you have a spread position on). Ultimately, it's all up to you, really...