DES — one-bond security view beta

Everything the panel knows about a single Treasury bond, current or matured: identification and coupon schedule, outstanding with tap and switch-buyback events, fixing YTM against the LW-NSS theoretical value with the resulting rich/cheap history, bid-ask spread, venue vs whole-market turnover, and rich/cheap against liquidity and size. Data 2005 to the last fixing. Choose a bond:

Security description

Coupon schedule

Fixing YTM vs LW-NSS theoretical

Rich / cheap (fixing minus theoretical, bp; positive = cheap)

Outstanding and primary-market events (taps and switch buybacks)

Bid-ask spread (YTM bp, with 20-fixing average) and trades per fixing

Turnover: venue (BondSpot) vs whole market (MinFin outright, monthly)

Rich/cheap vs whole-market turnover (monthly)

Rich/cheap vs outstanding (monthly)

Source: Author's own calculations. Fixing prices, yields, quotes, turnover and outstanding from the Treasury BondSpot Poland fixing panel; coupon schedules from the Ministry of Finance interest calculator workbook (updated daily); whole-market turnover from Ministry of Finance monthly statistics; theoretical pricing off the LW-NSS daily curve.
Suggested citation: Dec, M. (2026). Parsimonious Yield Curve Modeling in Less-Liquid Markets. FAME|GRAPE Working Paper #53.