A model-based screen dated Oct. 18 flagged three U.S. Treasury securities due between May 2036 and February 2045, comparing their yields with estimates for those maturities.
One selection was the February 2045 bond with a 2.5% coupon; the others were May and August 2036 notes paying 4.375% and 4.625%, respectively. The screen followed a decline in Treasury yields.
A spline-based curve generated an estimated yield for each maturity. The screen compared each security’s yield with the estimate for its term, providing a curve-based comparison of the individual securities.
