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.
Instructions
Notes
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
Treasury sold $183 billion in notes during the first week of the Iran war. The grades: D, C-, D+. Four auction metrics reveal where demand disappeared.
Tags: Auction, Bonds, Demand, Fixed Income, Geopolitics, Treasury, Yield Curve