I’ve been in meetings all morning so apologies for being a little late on commentary. As I’m back at the screens it seems like the 1% to 2% 10-year note community has really stepped up the rhetoric today. The push back to 2.85% was enough to bring out the big guns –...
Surprisingly, global fixed income asset prices were little changed on balance since our last monthly publication. US Treasury and German Bund 10 year yields were about 2.80 and 2.40 respectively on our August publication date, and they are exactly at those levels as...
It was a long a painful August for the bond bears. But the back to school season has been oh so kind. From the August 25th lows of 2.41% we are ending this week nearly 40bps higher! There will be plenty of Japan obsessed folks out there with 2.00% 10 year (and even 30...
The FOMC meeting from August 10th remains a puzzle for the ages. It took a day to settle in, but the market got spooked by what can only be described as some of the worst FOMC communication policy in history! By cob August 11th spoos had dropped from 1120 to 1080 and...
Agency mortgage speeds were out last night so it’s time to look at what the Fed will lose. Based on our estimates of the current SOMA MBS holdings (see page 9 of the Monthly for our most recent numbers), the SOMA will pay down about 18b with 1bio in 4s, 7bio in 4.5s,...
Agency mortgage speeds were out last night so it’s time to look at what the Fed will lose. Based on our estimates of the current SOMA MBS holdings (see page 9 of the Monthly for our most recent numbers), the SOMA will pay down about 18b with 1bio in 4s, 7bio in 4.5s, 6bio in […]
