Category Archives: Bonds

Emerging Market Dollar Bonds: An Option Based Analysis

In my prior life I used to trade emerging market (EM) bonds and came up with the following analytical framework using options analysis to understand and teach the basic fundamental principles of how to value EM hard currency bonds.   The … Continue reading

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The New Bond Math

Don’t you just love his homework assignment?

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Reflexivity And Why The Fed Must Sell The Long End

The yield curve is flattening like a pancake.   Tightening cycles tend to do that. Furthermore, the effective float of 10-year and longer U.S. notes and bonds is relatively small and greatly distorts the bond market signal.   We have written … Continue reading

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Fed Ownership of Yield Curve and Balance Sheet Reduction

Here you have it, folks, a one stop chart. The chart below shows the total outstandings of Treasury bonds and notes,  the Fed ownership of the total maturities and percentage of outstandings in each year of maturity (note, the data … Continue reading

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Major Holders of the US Corporate Bond Market

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Sovereign Risk and Debt Crises

We received some interesting pushback on our recent post, Is the U.S. Government Bankrupt?  Not Even Close. The purpose of the post was to remind readers to not ignore the left side of a government’s balance sheet — assets —  … Continue reading

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French Oat-German Bund 10-year Spread

The spread widened by about 5 bps this past week.   Macron still holds a slight lead in first round polling over Le Pen.   France’s Polling Commission of false reports by Russian news agencies, France’s polling watchdog has issued a warning … Continue reading

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Yield Curve Flattens Back To Election Day Low

The 10-year minus 2-year yield spread closed today at 1.12 basis points, back to the election day low.   All the steepening of the yield curve since the election day, widening out to 1.34 in December,  has vanished. We don’t think … Continue reading

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The Broken Bond Market

The Fed tightens on Wednesday and bonds rally.  What the hay? GaveKal, Jeff Gundlach,  and Jim Bianco nailed it in that every spec and their mother are/were short 10-year Treasuries. Source: Quandl (see here for interactive chart) But this is … Continue reading

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The Bond Gold Correlation

We have written quite a bit about the dynamics driving the gold market.  See here and here. As the short covering rally in the bond appears over and the Fed ramps up for more rate hikes, global PMIs and inflation … Continue reading

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