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.
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.
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.
The lifecycle portfolio calculator treats future income as human capital — a bond-like asset — and uses Choi, Liu & Liu (2025) to derive an optimal equity glide path grounded in theory, not rules of thumb.
Ian Harnett argues the 40-year stock-bond correlation regime is over. If he's right, most institutional portfolios are running unhedged risk they haven't priced.