The blog shares commentary on capital markets, interest rates, fixed-income securities, and the yield curve. Posts cover topics ranging from auction analysis to regime detection to yield curve similarity measures.
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This week's 10-year and 30-year auctions both printed soft while 2-year demand stayed near multi-year highs. What bid-to-cover measures, where each tenor stands today, and two case studies that show when one weak auction is noise and when it's signal.
Tags: Auctions, Bid-to-Cover, Fixed Income, Tail, Treasury, Yield Curve
Carry is the income a bond earns above its funding cost. Rolldown is the price appreciation from aging down a positively sloped curve. Together they define the baseline return of every duration position. A walkthrough using today's curve.
Tags: Bonds, Carry, Fixed Income, Forward Rates, Rates, Rolldown, US Treasury, Yield Curve
The 2s10s steepener requires 4x capital, carries flat, and just ran into a bear flattener. Three calculators put exact numbers on every dimension of the trade's failure — tenor by tenor, basis point by basis point.
Tags: Bonds, Carry, Duration, DV01, Fixed Income, Rolldown, Scenarios, Steepener, US Treasury, Yield Curve