• Extraordinary gains in the 3Y US Treasury Note
  • Gordon said it’s the Tier 1, stupid! Henry obliged. G20 suggested €1tr fiscal policy. How do you reconcile this with 30Y TIPS at 2.90% yield?
  • Why yield curves tilt?
  • A Source-Sink model to gauge pressure in interest level
  • A Heatmap helps envisage rapidly, through colors, market conditions

US 3Y Treasury Note realized extraordinary gains when compared with its 5 day moving average. It looks as if there is not much upside left. This represented a price hike of 1.71%. The 30Y Bond suffered 2.04% as the tilt of the yield curve increased tilt yesterday and the Japanese woke up calm this morning. This will probably influence European markets.

Heatmap Yields         Volatility      
US Treasury -10M -2M -1M -1W -T -10M -2M -1M -1W
2Y 2.86 1.75 1.49 1.29 1.24 0.03 0.06 0.08 0.08
3Y 3.41 2.85 2.69 2.21 1.62 0.03 0.10 0.21 0.54
5Y 3.43 2.77 2.62 2.47 2.43 0.03 0.06 0.08 0.12
10Y 4.07 3.79 3.77 3.76 3.86 0.02 0.05 0.08 0.16
30Y 4.55 4.27 4.22 4.24 4.36 0.02 0.04 0.07 0.15

Be the first to rate this post

  • Currently 0/5 Stars.
  • 1
  • 2
  • 3
  • 4
  • 5