Consider an investor had a portfolio of $10 million bonds in a long position suppose the confidence interval is 95%. The actual daily deviation of the portfolio over one trading year is 3.67%. a. What is the daily VAR of this Portfolio? b. What is the VAR for horizon (30 1-month days)?

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Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.