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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A chronological tour of ten yield curve snapshots — precise to the basis point — from 9/11 to the 2023 term-premium surge. Each one a policy inflection point, a crisis record, or both.
The 10 Yr - 3 Mo yield curve — Campbell Harvey's original recession indicator, unblemished through eight cycles — inverted to nearly -200 bp in 2022 and held for two years. No recession came. We examine both inversion measures, trace the historical track record, and explain the four structural forces that overwhelmed the signal.
What are implied forward rates and how do you read them? A practical guide to extracting market expectations from the yield curve, with interactive charts.
The second installment of Salomon Brothers' Understanding the Yield Curve series exposes the gap between forward-implied rate changes and actual market expectations, revealing persistent risk premia that inform modern fixed income strategies.
The first installment of Salomon Brothers' Understanding the Yield Curve series laid groundwork for systematic yield curve trading that remains relevant three decades later.
The 1985 Salomon Brothers manual on duration and volatility remains a foundational text for fixed-income risk management, providing rigorous analytics and practical applications that persist in modern markets.
A detailed examination of Lehman Brothers' repo operations manual from 2005 provides a window into pre-crisis dealer financing practices and market mechanics.