OPEN-SOURCE SCRIPT
7-10 flattener trade

In the budget speech for FY 2023, market borrowing of 14.95 lakh crore from the market. In the Feb MPC meeting, the RBI brought down its estimates of growth and inflation potentially signaling that economy is/will go through a demand slowdown.
Now in a slowing economy, the govt. finances will be affected. Therefore, to bring back the economy on the fiscal consolidation so that sovereign bond ratings are not hit, the Indian govt. must figure out a way
1. Lower its interest payments in the face of increasing public expenditure on creating public infrastructure (read roads/highways etc. ). One simple way is to go down the yield curve in lower maturities to bring down the interest costs.
Keeping in mind (1) above, it was not difficult to expect a borrowing schedule where the shorter tenors will form a bigger percentage of the net issuance by the government.
In fact, if you look at the issuance calendar for securities below the tenor of 10 yrs (which is 2,5,7 yrs), you will find that itself comprises of ~31% of total borrowings.
Therefore, due to increased pressure on the shorter tenors and relatively less pressure on 10 yr bond yield, we can expect the yields spreads to compress in 7-10 yr region of the yield curve.
This script is written to track the same yield spread compression across 7 & 10 yr tenor.
Now in a slowing economy, the govt. finances will be affected. Therefore, to bring back the economy on the fiscal consolidation so that sovereign bond ratings are not hit, the Indian govt. must figure out a way
1. Lower its interest payments in the face of increasing public expenditure on creating public infrastructure (read roads/highways etc. ). One simple way is to go down the yield curve in lower maturities to bring down the interest costs.
Keeping in mind (1) above, it was not difficult to expect a borrowing schedule where the shorter tenors will form a bigger percentage of the net issuance by the government.
In fact, if you look at the issuance calendar for securities below the tenor of 10 yrs (which is 2,5,7 yrs), you will find that itself comprises of ~31% of total borrowings.
Therefore, due to increased pressure on the shorter tenors and relatively less pressure on 10 yr bond yield, we can expect the yields spreads to compress in 7-10 yr region of the yield curve.
This script is written to track the same yield spread compression across 7 & 10 yr tenor.
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本著TradingView的真正精神,此腳本的創建者將其開源,以便交易者可以查看和驗證其功能。向作者致敬!雖然您可以免費使用它,但請記住,重新發佈程式碼必須遵守我們的網站規則。
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這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。