There have been stunning and dramatic moves in the market since wrote my earlier piece. The Long Bond is trading at a yield of 3.43 percent and the dollar price has exploded 9 points today. I have done this for nearly 30 years. I have never witnessed this before. Even more incredible is the 30 year swap spread and swap rate. The 30 year swap rate is 2.84. It has dropped about 80 basis points on the day and is about 60 basis points rich to the 30 year Treasury.I just spoke with an options trader about this historic move. He said that there structured product trades buried in trading books all over the world which are melting. There is a massive short in the 30 year sector (in Treasury paper and in the swap market) which resulted from sales of cheap volatility. Some of these positions have been on the books of various entities for years and it is only recently that the chickens have come home to roost. Each time the spread turns more negative, that movement forces some one to receive in swaps to hedge there position. There are short the long end trades in every permutation and combination along the curve. The receiving creates a self fulfilling prophecy which compels someone else to receive. He had no opinion on when this would end.<\/p>\n
The 10 year note is trading at 2.997. That is an historic low yield,too.<\/p>\n
Here is a late run for the history books. The 2year note yields 98 basis points. The 3 year note yields 1.17 percent. The 5 year note yields 1.88 percent. I have given you the 10 year note and the bond yields 3.44 percent.<\/p>\n
Someone told me earlier that I order to earn 10 basis points on a T bill you had to move to April.<\/p>\n
The breakeven spread on 10 year TIPS is about zero. The market is predicting no inflation for 10 years.<\/p>\n
Mortgages underperformed swaps by nearly 1 \u00bd points.<\/p>\n
Here is a final swap run. The 2 year spread narrowed 2 basis points to 101 \u00bc and the 5 year spread narrowed 4 \u00bc basis points to 91 \u00be. The 10 year spread narrowed 12 \u00bc basis points to 13 \u00bc and the 30 year spread inverted 26 \u00be basis points to 59 \u00be basis points.<\/p>\n","protected":false},"excerpt":{"rendered":"
There have been stunning and dramatic moves in the market since wrote my earlier piece. The Long Bond is trading at a yield of 3.43 percent and the dollar price has exploded 9 points today. I have done this for nearly 30 years. I have never witnessed this before. Even more incredible is the 30 […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"jetpack_post_was_ever_published":false,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":false,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[1],"tags":[],"class_list":["post-2148","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"","jetpack_shortlink":"https:\/\/wp.me\/p9YXi-yE","jetpack_sharing_enabled":true,"_links":{"self":[{"href":"https:\/\/acrossthecurve.com\/index.php?rest_route=\/wp\/v2\/posts\/2148","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/acrossthecurve.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/acrossthecurve.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/acrossthecurve.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/acrossthecurve.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=2148"}],"version-history":[{"count":0,"href":"https:\/\/acrossthecurve.com\/index.php?rest_route=\/wp\/v2\/posts\/2148\/revisions"}],"wp:attachment":[{"href":"https:\/\/acrossthecurve.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2148"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/acrossthecurve.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2148"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/acrossthecurve.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2148"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}