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
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?
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.
YCP's new Odds page brings Kalshi and Polymarket implied probabilities for Treasury yields, spreads, and Fed decisions — bridging prediction markets and fixed-income analytics on a single screen.
Looking At The Most Recent Auction By Tenor
A Systematic Approach
Evaluating the Health of Yesterday's US Treasury Auction
Evaluating the Health of Today's US Treasury Auction
Evaluating the Health of Yesterday's US Treasury Auction
Evaluating the Health of Today's US Treasury Auction
Monitoring US Treasury Auctions and Issuance to Estimate Security Liquidity