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DavidJN
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Re: Basic fixed income question: the meaning of "one month ahead"

March 30th, 2023, 6:26 pm

TreasuryDirect website page on auctions lists the bill maturities in weeks rather than months. 
 General Auction Timing — TreasuryDirect

Leads to urls on auctions, that oughta do it: Auction Regulations (UOC) — TreasuryDirect
 
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DavidJN
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Re: Basic fixed income question: the meaning of "one month ahead"

March 30th, 2023, 7:04 pm

The US observes the same "Following" or Next Good Business Day date roll as Canada without any cash flow adjustment.
"If any principal or interest payment date is a Saturday, Sunday, or other day on which the Federal Reserve System is not open for business, we will make the payment (without additional interest) on the next business day."
eCFR :: 31 CFR Part 356 Subpart D -- Miscellaneous Provisions
 
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Alan
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Re: Basic fixed income question: the meaning of "one month ahead"

March 31st, 2023, 3:27 am

Thanks for your research. So, given the above, my current best guess about the meaning of "one month ahead" for the US Treasury Par Yield curve is:

One month ahead from YYYY-MM-DD means:
- First, see if DD exists in the next month. If it does and is a Good Business Day take that as maturity; otherwise use the Next Good Business Day. 
- Second, if  DD does not exist in the next month, take the last day of the next month if that is a Good Business Day; otherwise use the Next Good Business Day.