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Author: trader2012 Big red star, 1000 posts Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 35351  
Subject: Re: STRIPs and TINTs Date: 10/2/2012 8:02 PM
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I think STRIPS give you a slightly better yield for the same time frame than the actual note/bond.

Black,

Actually, the differences are even more subtle than that. As the data sets below suggest, it makes a difference whether the derivative in based on 'interest' or 'principal', and whether the notes/bonds are ‘on the run’ or ‘off the run’. But the differences make sense. More implied-risk = more yield.

Charlie
---------------------------------

TYPE CPN DUE YTM
int 0.000 02/15/20 1.167
prin 0.000 02/15/20 1.116
note 3.625 02/15/20 1.080
bond 8.500 02/15/20 1.022

int 0.000 05/15/20 1.231
prin 0.000 05/15/20 1.176
note 3.500 05/15/20 1.132
bond 8.750 05/15/20 1.068
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