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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Latest Popular
November 17, 2025 By yieldcurve.pro
Salomon Brothers' 1995 Yield Curve Primer: A Foundation For Modern Fixed Income


The first installment of Salomon Brothers' Understanding the Yield Curve series laid groundwork for systematic yield curve trading that remains relevant three decades later.

Tags: Bond Risk Premium, Convexity Bias, ETFs, Fixed Income, Forward Rates, Par Rates, Salomon Brothers, Spot Rates, Term Structure, Treasury, Yield Curve

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November 10, 2025 By yieldcurve.pro
Understanding Bond Duration and Volatility: Insights from the 1985 Salomon Brothers Manual


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.

Tags: Bond Volatility, Convexity, Duration, Fixed-Income, Hedging, Interest Rate Risk, Modified Duration, Salomon Brothers, Systematic Strategies, Treasury Bonds

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November 03, 2025 By yieldcurve.pro
Lehman's 2005 Repo Manual: A Document With Historical Relevance


A detailed examination of Lehman Brothers' repo operations manual from 2005 provides a window into pre-crisis dealer financing practices and market mechanics.

Tags: Collateral, Dealer Financing, Financial Crisis, Fixed Income, Haircuts, Lehman Brothers, Market Microstructure, Matched Book, Repo, Repurchase Agreements, Securities Financing, Tri-party Repo

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