Tag Archive: Yield Curve

What Does Taper Look Like From The Inside? Not At All What You’d Think

2021-11-05

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2021-11-05

Why always round numbers? Monetary policy targets in the post-Volcker era are changed on even terms. Alan Greenspan had his quarter-point fed funds moves. Ben Bernanke faced with crisis would auction $25 billion via TAF. QE’s are done in even numbers, either total purchases or their monthly pace.

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The Real Tantrum Should Be Over The Disturbing Lack of Celebration (higher yields)

2021-11-03

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2021-11-03

Bring on the tantrum. Forget this prevaricating, we should want and expect interest rates to get on with normalizing. It’s been a long time, verging to the insanity of a decade and a half already that keeps trending more downward through time. What’s the holdup?

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Bill Issuance Has Absolutely Surged, So Why *Haven’t* Yields, Reflation, And Other Good Things?

2021-11-02

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2021-11-02

Treasury Secretary Janet Yellen hasn’t just been busy hawking cash management bills, her department has also been filling back up with the usual stuff, too. Regular T-bills. Going back to October 14, at the same time the CMB’s have been revived, so, too, have the 4-week and 13-week (3-month). Not the 8-week, though.

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Weekly Market Pulse: Growth Scare?

2021-11-01

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2021-11-01

A couple of weeks ago the 10 year Treasury note yield rose 16 basis points in the course of 5 trading days. That move was driven by near term inflation fears as I discussed last week. Long term inflation expectations were and are well behaved.

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The Enormously Important Reasons To Revisit The Revisions Already Several Times Revisited

2021-10-29

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2021-10-29

Extraordinary times call for extraordinary commitment. I never set out nor imagined that a quarter century after embarking on what I thought would be a career managing portfolios, researching markets, and picking investments, I’d instead have to spend a good amount of my time in the future taking apart how raw economic data is collected, tabulated, and then disseminated.

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Short Run TIPS, LT Flat, Basically Awful Real(ity)

2021-10-28

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2021-10-28

Over the past week and a half, Treasury has rolled out the CMB’s (cash management bills; like Treasury bills, special issues not otherwise part of the regular debt rotation) one after another: $60 billion 40-day on the 19th; $60 billion 27-day on the 20th; and $40 billion 48-day just yesterday.

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An Anti-Inflation Trio From Three Years Ago

2021-10-26

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2021-10-26

Do the similarities outweigh the differences? We better hope not. There is a lot about 2021 that is shaping up in the same way as 2018 had (with a splash of 2013 thrown in for disgust). Guaranteed inflation, interest rates have nowhere to go but up, and a certified rocking recovery restoring worldwide potential.

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Weekly Market Pulse: Inflation Scare!

2021-10-25

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2021-10-25

The S&P 500 and Dow Jones Industrial stock averages made new all time highs last week as bonds sold off, the 10 year Treasury note yield briefly breaking above 1.7% before a pretty good sized rally Friday brought the yield back to 1.65%. And thus we’re right back where we were at the end of March when the 10 year yield hit its high for the year.

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The Curve Is Missing Something Big

2021-10-21

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2021-10-21

What would it look like if the Treasury market was forced into a cross between 2013 and 2018? I think it might be something like late 2021. Before getting to that, however, we have to get through the business of decoding the yield curve since Economics and the financial media have done such a thorough job of getting it entirely wrong (see: Greenspan below).

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Weekly Market Pulse: Inflation Scare?

2021-10-11

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2021-10-11

Bonds sold off again last week with the yield on the 10 year Treasury closing over 1.6% for the first time since early June. The yield is now down just 16 basis points from the high of 1.76% set on March 30. But this rise in rates is at least a little different than the fall that preceded it.

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Revisiting The Last Overhang

2021-09-29

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2021-09-29

One reason why I still believe the US most likely would have entered a recession at some point in 2020 even without COVID wasn’t just the yield curve inversion that popped up several months before then. In August of 2019, the small part of the Treasury curve most people pay attention to (2s10s) did send out that dreaded signal, suggesting already to expect contraction in the intermediate term ahead of then. 

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Taper *Without* Tantrum

2021-08-17

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2021-08-17

Whomever actually coined the term “taper”, using it in the context of Federal Reserve QE for the first time, it wasn’t actually Ben Bernanke. On May 22, 2013, the central bank’s Chairman sat in front of Congressman Kevin Brady and used the phrase “step down in our pace of purchases.” No good, at least from the perspective of a media-driven need for a snappy one-word summary.

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Lower Yields And (fewer) Bills

2021-07-21

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2021-07-21

Back on February 23, Federal Reserve Chairman Jay Powell stopped by (in a virtual, Zoom sense) the Senate Banking Committee to testify as required by law. In the Q&A portion, he was asked the following by Montana’s Senator Steve Daines.

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And Now Three Huge PPIs Which Still Don’t Matter One Bit In Bond Market

2021-07-15

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2021-07-15

U.S. PPI Commodities Finished Goods Core YoY, Jan 2001 - Jan 2021
And just like that, snap of the fingers, it’s gone. Without a “bad” Treasury auction, there was no stopping the bond market today from retracing all of yesterday’s (modest) selloff and then some. This despite the huge CPI estimates released before the prior session’s trading, and now PPI figures that are equally if not more obscene.

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Weekly Market Pulse: Is It Time To Panic Yet?

2021-07-12

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2021-07-12

TNX Daily, Dec 2020 - Jul 2021
Until last week you hadn’t heard much about the bond market rally. I told you we were probably near a rally way back in early April when the 10 year was yielding around 1.7%. And I told you in mid-April that the 10 year yield could fall all the way back to the 1.2 to 1.3% range.

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Bond Reversal In Japan, But Pay Attention To It In Germany

2021-07-09

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2021-07-09

Japanese Gov't Bond Yields, Jan 2016 - Jul 2021
Yield curve control, remember that one? For a little while earlier this year, the modestly reflationary selloff in bonds around the world was prematurely oversold as some historically significant beginning to a massive, conclusive regime change.

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Anyone Remember That Whole SLR Cliff?

2021-07-02

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2021-07-02

UST Yield Curve
Does anyone remember the SLR “cliff?” Of course you don’t, because in the end it didn’t seem to make any difference. For a few weeks, it was kind of ubiquitous if only in the sense that it was another one of those deep plumbing issues no one seems able to understand (forcing all the “experts” to run to Investopedia in order write something up about it).

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A Clear Balance of Global Inflation Factors

2021-06-30

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2021-06-30

Europe HICP and Germany HICP, Jan 2007 - May 2021
Back at the end of May, Germany’s statistical accounting agency (deStatis) added another one to the inflationary inferno raging across the mainstream media. According to its flash calculations, German consumer prices last month had increased by the fastest rate in 13 years.

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Rechecking On Bill And His Newfound Followers

2021-04-09

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2021-04-09

The benchmark 10-year US Treasury has obtained some bids. Not long ago the certain harbinger of bond rout doom, the long end maybe has joined the rest of the world in its global pause if somewhat later than it had begun elsewhere (including, importantly, its own TIPS real yield backyard).

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Three Things About Today’s UST Sell-off, Beginning With Fedwire

2021-02-28

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2021-02-28

UST Yield Curve, 1990
Three relatively quick observations surrounding today’s UST selloff.1. The intensity. Reflation is the underlying short run basis, but there is ample reason to suspect quite a bit more than that alone given the unexpected interruption in Fedwire yesterday.

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