I am sort of the same way
...
Intro to the yield curve
- Thread starter maninjapan
- Start date
...the idea being it cant really go too much further (oh those famous last words....) it could stay where it is for a long time though, no?
Nah... I just think the Western world is going to resemble Japan.
There's a good (old) series of research articles on understanding the yield curve from Salomon brothers that is very good. I don't have them handy but here's a link to the first one, maybe you can find the rest online somewhere.
http://www.scribd.com/doc/6911823/Understanding-the-Yield-Curve-Part-1
http://www.scribd.com/doc/6911823/Understanding-the-Yield-Curve-Part-1
04-21-10 06:30 PM
Quote from Martinghoul:
I don't know about "we". I ain't exactly missing them...
It's just because the Fed owns all the mtges and doesn't give a rat's ass about hedging convexity.
Hum, just thinking about taking some profits on this "risk free" trade.
Quote from Martinghoul:
I don't know about "we". I ain't exactly missing them...
It's just because the Fed owns all the mtges and doesn't give a rat's ass about hedging convexity.
Hum, just thinking about taking some profits on this "risk free" trade.
Very nice... Not sure we're done flattening, to be honest, but it might be worthwhile to take some money off the table.
For a couple of weeks not much movement in 2/10´s:
http://noir.bloomberg.com/apps/cbuilder?ticker1=USYC2Y10:IND
Seems, a waste of "margin"...
http://noir.bloomberg.com/apps/cbuilder?ticker1=USYC2Y10:IND
Seems, a waste of "margin"...
For those who don't have a scribd account, the SB write up can be found here.
http://www.wilmott.com/messageview.cfm?catid=3&threadid=8961
http://www.wilmott.com/messageview.cfm?catid=3&threadid=8961
Can't remember the last time someone told me he was the <i>other</i> way. It's the mother of all consensus trades.
I am not sure about that. Judging by all the recent pain and stops, I would have thought the mkt is the other way, if anything. At any rate, with the spread now at 237bps, it's moved a fair bit. Still a fair ways to go before we get into proper Japanese territory (sub 100bps).