Author(s)

Mario Pucci

Banca IMI SpA, Milan, Italy.

The Treasury lock is a common pre-hedging derivative strategy the Street offers to their corporate clients. The paper provides a justification of the common practice of booking a short position in the Treasury lock as a forward contract on the underlying benchmark and a short position in the Then-Current Treasury lock as a forward contract on underlying benchmark rolled over the life of the contract.

Treasury, Lock, T-Lock, Hedging, Arbitrage-Free, Convexity, Gamma, Repo

Pucci, M. (2019) Hedging the Treasury Lock. Journal of Mathematical Finance, 9, 301-324. doi: 10.4236/jmf.2019.93018.