Category Archives:

Yield curve

The front-end of the US Treasuries curve: short and sweet?

With the notable exception of the upcoming royal wedding, it would be pretty difficult to find a topic that is currently more over-analysed than the flattening of the US Treasury yield curve. On this blog as well we have pondered potential implications for credit valuations and possible counter-measures the Fed might employ. Still, one aspect that has arguably not received enough attention in t…

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Does the U.S. yield curve predict wider credit spreads? Also, goodbye to Hamish Watson

As the U.S. yield curve flattened to just 45 bps (2s-10s) last week, we dug out something I wrote back in 2007, in the early days of this blog.  A chart that accompanied the blog showed that a) U.S. BBB credit spreads had hit their tightest level for nearly 3 decades and b) that the yield curve had flattened substantially (and in fact inverted).  If you pushed the yield curve shape chart 18 mon…

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