4 September 2015 US Fixed Income Weekly United States Gov. Bonds & Swaps Rates Volatility US Overview • Markets are fixated on the potential for Fed normalization to start earlier than currently priced and whether Chi

27 March 2015 US Fixed Income Weekly United States Gov. Bonds & Swaps Rates Volatility US Overview • There are plenty of minefields out there but none are likely to dominate what we still think for now is a powerfu

27 March 2015 US Fixed Income Weekly United States Treasuries Rates Gov. Bonds & Swaps • Our 5s-10s UST model shows the curve is 60 bps (3.9 standard errors) too flat to Fed fund expectations and inflation outlook. We explore some f

27 March 2015 US Fixed Income Weekly United States Derivatives Rates Rates Volatility Gov. Bonds & Swaps • No directional cues emerged after the last FOMC meeting. The net effect is essentially a distributional modification, a swelling of the tails -

27 March 2015 US Fixed Income Weekly United States Agencies Rater: Gov. Bonds & Swaps Credit Sovereigns a As volatility has recently declined, yield picks for callables have also fallen. We find the 5yr+ maturities relatively prot

27 March 2015 US Fixed Income Weekly United States Treasuries Rates Gov. Bonds & Swaps • Our 5s-10s UST model shows the curve is 60 bps (3.9 standard errors) too flat to Fed fund expectations and inflation outlook. We explore some f