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Question by clive.hill · Jan 16, 2018 at 06:37 AM · upaonepasstreasurytradeweb

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

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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clive.hill · Jan 16, 2018 at 06:40 AM 0
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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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Answer by warat.boonyanit · Jan 17, 2018 at 03:39 AM
@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.

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