This creates a vicious circle; higher yields means you have to sell some duration, which means that yields go up, which means you have to sell some duration.... #convexityhedging
Bond Vigilantes Fri 26 Feb 2021 08:22

In a falling yield environment they won't have "enough" duration as pre-payments go up; in a bear market like this, they will have far fewer pre-payments and thus will be longer duration than they want to be. They have to then go out and sell more bonds to get duration down.
Bond Vigilantes Fri 26 Feb 2021 08:22

Convexity hedging: in the US homeowners tend to borrow long (30 years is common) and have a free option to re-finance that loan if rates fall. Means that portfolio managers owning mortgage backed bonds have to model assumptions for the duration of their portfolios...
Bond Vigilantes Fri 26 Feb 2021 08:17

UST sell-off led by the real yield. Inflation expectations have been falling the last couple of sessions. Suggests this might not be "reflation trade" driven, but is about supply etc. Convexity hedging of US mortgage bonds being talked about a lot this morning.
Bond Vigilantes Fri 26 Feb 2021 08:17

Treasuries recovering a little in Asia overnight (-5 bps to 1.47%); Australia unexpected did a round of Yield Curve Control intervention in its government bond markets (but 10 years still +18 bps); Italian 10 year BTPs under-performing and now 106 bps over bunds.
Bond Vigilantes Fri 26 Feb 2021 08:12

RT @vtg2: Just saw someone refer to what’s going on with Treasury yields as a “taperless tantrum,” and I think I’ll keep that one.
Bond Vigilantes Thu 25 Feb 2021 21:46

RT @dev_nieus: @NYTStyles This Is The Coat To Wear To Davos https://t.co/z6XkzTn5Mm
Bond Vigilantes Thu 25 Feb 2021 16:26

The focus of today's bond pain is: 5 year USTs (Fed AIT credible?), peripheral Europe (Italian BTPs +10 bps at 10 year), Aussie/NZ/Canada (Kiwi 10 year + 18 bps. 2021 rate hikes?).
Bond Vigilantes Thu 25 Feb 2021 14:41

RT @jsblokland: Look who just turned positive! #France's 10-year government bond #yield. https://t.co/fhMJbJS7zr
Bond Vigilantes Thu 25 Feb 2021 12:11

+9 bps.
Bond Vigilantes Thu 25 Feb 2021 11:41

Rises in government bond yields in the past week have been driven by rising real rates, with inflation expectations slightly lower. The exception is the UK where real rates are down and inflation expectations are up over 15 bps at 10 years. https://t.co/lIPBIuYPWE
Bond Vigilantes Thu 25 Feb 2021 09:21

RT @PeterContiBrown: Having fun with some 1970s Fed history today and enjoyed learning that Arthur Burns in 1977 sent the just-inaugurated…
Bond Vigilantes Wed 24 Feb 2021 17:15

Ok make it +8 bps.
Bond Vigilantes Wed 24 Feb 2021 13:50

Long dated gilts. Here we go again. +5 bps. https://t.co/601ufd1NLA
Bond Vigilantes Wed 24 Feb 2021 10:00

Yet another 8 bps move higher in 30 year gilts... Now 1.34%.
Bond Vigilantes Tue 23 Feb 2021 15:19

The US Treasury sell-off and steepening yield curve have left the 10 year forward rate around 3%. Huge turnaround since the <1.5% seen in 2020. Leaves it above the FOMC's median "long term" Fed Funds rate. https://t.co/BWdPbna6fa
Bond Vigilantes Tue 23 Feb 2021 10:34

Petrobras long dated $ bonds off 6+ points after President Bolsonaro fired its CEO.
Bond Vigilantes Mon 22 Feb 2021 14:08

RT @ReutersJamie: Brazilian markets plunge after President Bolsonaro moves to replace Petrobras CEO with army general (who has no experienc…
Bond Vigilantes Mon 22 Feb 2021 14:03

Ouch. Australian 10 year government bond yields +17 bps. https://t.co/P3MHl15Ovx
Bond Vigilantes Mon 22 Feb 2021 11:08

RT @holland_tom: Up bright & early for today's stroll through the capital: a tour of Roman London. We shall walk the line of the city walls…
Bond Vigilantes Mon 22 Feb 2021 08:53

RT @jathers_ONS: @asentance @ONS For 2021, we compare prices now with 2020 prices and 2020 spending patterns. We've made changes to the exp…
Bond Vigilantes Wed 17 Feb 2021 11:38

RT @phillipinman: On @PJTheEconomist radio programme - the Austerity Audit - former @hmtreasury official @nickmacpherson2 denies there evid…
Bond Vigilantes Tue 16 Feb 2021 15:07

RT @planetmoney: McDonald’s is one of the nation’s largest employers of low-wage workers. And because it’s everywhere, it’s a great place t…
Bond Vigilantes Tue 16 Feb 2021 14:47

83 florins to the dubloon, 17 tanners to the copeck. Life was simpler back then.
Bond Vigilantes Mon 15 Feb 2021 11:01

Another brutal day for long dated gilts. 30 year gilts have sold off by 6 bps so far this morning, following Friday's 5 bps sell-off. Yields started 2021 at 0.75%, now 1.17%.
Bond Vigilantes Mon 15 Feb 2021 09:11