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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Apple manages its idle cash via a billion dollar bond book out of a Reno office. Is it possible to use the humble T-bill to manage your idle cash just as effectively?
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.
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.
We built a daily CFA-level quiz, then four more calculators to help you study for it.
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.
A detailed examination of Lehman Brothers' repo operations manual from 2005 provides a window into pre-crisis dealer financing practices and market mechanics.