Here is further evidence that in this environment treasuries are driving “risk asset” valuations. Corporate HY bond spreads are now positively correlated to treasury yields. That’s quite unusual because traditionally when treasury yields shrink, spread…
Tag Archive for Treasuries
Contributors- Economic and Financial, Must Read, Taken Down
Putting recent treasury losses in perspective – Sober Look
by Sober Look • • 0 Comments
The histogram below shows the total return of long-dated treasuries over a rolling 4-month period since 2007. The rationale for using a 4-month period is that the climb in long-term rates started 4 months ago (a 3-month period produces a very similar r…
Contributors- Economic and Financial, Must Read, Taken Down
Speculative treasury positions are now net short and growing – Sober Look
by Sober Look • • 0 Comments
Speculative money has become visibly short rate products. As discussed this weekend (see post) there still seems to be a broad bearish sentiment on treasuries – in spite of the massive selloff. The charts below show speculative net positions in LIBOR f…
Contributors- Economic and Financial, Must Read, Taken Down
India, Brazil should thank Bernanke for their currency woes – Sober Look
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India and Brazil are struggling to regain control of their currencies as both the rupee and the real touch new lows (all-time record for the rupee). It is remarkable how violent the corrections have been in just the past 3 months:Green = rupees per dol…
Contributors- Economic and Financial, Must Read, Taken Down
Treasuries increasingly drive stock market performance – Sober Look
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This is a syndicated repost courtesy of Sober Look. To view original, click here. Reposted with permission. In recent months the US equity markets have become increasingly sensitive to movements in treasury yields. BMO Capital Markets: – U.S. equity markets stumbled this week, with the S&P 500 sliding 2.1% and the Dow now skidding almost…
Contributors- Economic and Financial, Must Read, Taken Down
Year-to-date performance across fixed income – Sober Look
by Sober Look • • 0 Comments
Given the ongoing volatility in fixed income markets, it’s time to once again to take a look at performance. The chart below shows where we stand on a year-to-date basis for major asset classes from a USD investor’s point of view.Note: returns vary bas…
Contributors- Economic and Financial, Must Read, Taken Down
Long-term rates and gold prices – Sober Look
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This is a syndicated repost courtesy of Sober Look. To view original, click here. Reposted with permission. “What’s the correlation between long-term treasury yield and gold price?” was an e-mail question from one of the Sober Look readers recently. The answer of course is – it depends. During periods of inflationary pressure, inflation risks tend…
Contributors- Economic and Financial, Must Read, Taken Down
Treasury bill supply hits new lows – Sober Look
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Since the beginning of the year the US treasury curve has steepened substantially, with yields on the short-end actually declining.There are two key reasons for treasury bill rates staying at such suppressed levels.1. In a rising rate environment, dura…
Contributors- Economic and Financial, Must Read, Taken Down
Recent rate shock will keep fixed income markets from overheating again – Sober Look
by Sober Look • • 0 Comments
It is remarkable how the treasury market reversed the impact of Bernanke’s original hawkish comments made back in May (see post). A very similar daily move took place in the “belly” of the curve today with yields moving in the other direction.In spite …
Contributors- Economic and Financial, Must Read, Taken Down
Shape of the yield curve adjustment impacted by bond buying pattern – Sober Look
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Here is how the treasury curve shifted over the past two months (through today).The obvious question is why has the sell-off been most acute in the 7-10yr range (the 7-year yield has increased by 90bp)? And why have the bonds in the 20-year range been …
