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B4 the Bell Frythehelloutofthebullday 5704


Guest yobob1

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I heard the yield curve was the steepest in 17 years 2 days ago

Anyone got an update on that?

The yield curve has been the steepest in history even though yields are low. Spreads from nominals to TIPS are also at, or near, record highs. Personally, I do not expect either to last much longer.

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I heard the yield curve was the steepest in 17 years 2 days ago

Anyone got an update on that?

The yield curve has been the steepest in history even though yields are low. Spreads from nominals to TIPS are also at, or near, record highs. Personally, I do not expect either to last much longer.

EVER?

WOW

 

Thanks very much. Going to be a very interesting day...

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Ted Spread is widening suggesting dislocation

I think you are on to something. There is also some dislocation in the interest rate swaps market. Swaps spreads are widening either anticipating a flattening of the curve or anticipating a systemic problem relating to counter-party risk. I cannot tell you which but there could be a problem developing with yields moving this far, this fast.

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here's an odd thought on the bond carry trade. Say you lever up at the Al Leeson rate and buy a ton of 10-years whenever this thing bottoms, say 5.5%. If we get a nice bounce on the T-Bones (price) after that, then spread traders will be sitting on a fat levered cap gain, which it would seem would insulate them against some amount of Leeson interest rate hikes. Moral of the story is, it's a long and winding road to unwind this thing. Of course, this analysis says nothing about those dearly departed spread traders strewn about the road from 3.65% last month. Any thoughts?

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I heard the yield curve was the steepest in 17 years 2 days ago

Anyone got an update on that?

The yield curve has been the steepest in history even though yields are low. Spreads from nominals to TIPS are also at, or near, record highs. Personally, I do not expect either to last much longer.

The heavily leveraged arbitrage traders in the bond market must be nearing panic. The derivative pyramid is wobbling.

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