Taylor Rules & Central Bank Reaction Functions
Institutional teardown of monetary reaction functions, the equilibrium real rate (r*), the Taylor Principle, Clarida-Galí-Gertler inertial dynamics, and FOMC OIS futures probability extraction.
14 Rates & Curve Primers
Showing 15 Primers
Rates & Yield Curves: Term Structure, Duration & Relative Value
Quantitative sovereign debt mechanics: term premium extraction, yield curve inversions, bond duration, convexity cushioning, negative swap spreads, and Treasury basis trades.
The Treasury Basis Trade: Leverage, Cash-Futures Basis & Hedge Fund Repo Arbitrage
An institutional breakdown of the Treasury cash-futures basis trade: repo leverage, cheapest-to-deliver (CTD) dynamics, net basis calculations, and systemic market plumbing risks.
The MOVE Index: Measuring Treasury Volatility & Yield Curve Uncertainty
How the ICE BofA MOVE Index calculates implied Treasury bond volatility via swaptions and options, and why MOVE vs. VIX divergence signals macro inflection points.
Breakeven Inflation Rates & 5y5y Forward Expectations
How TIPS and nominal Treasuries price market-implied inflation compensation, and how the Federal Reserve extracts 5-Year, 5-Year Forward inflation expectations.
Interest Rate Swap Spreads: Why 30-Year Swap Spreads Turn Negative
Deconstructing the interest rate swap spread anomaly: why 30-year U.S. Treasury yields exceed SOFR swap rates, balance sheet capital costs, and pension ALM demand.
US Treasury Yield Curve Inversion & Steepening Cycles: The Macro Transmission Guide
Comprehensive guide to US Treasury yield curve dynamics: understanding 2Y/10Y inversion, un-inversion mechanics, bull steepening, and macroeconomic cycle signals.
Nominal Rates vs. Real Rates: Why Inflation-Adjusted Yields Matter
How TIPS, breakeven inflation rates, and real interest rates dictate discount rates, equity multiples, and gold valuations.
Treasury Term Premium Explained: Why Long-Term Yields Rise
Why long-term Treasury yields fluctuate independently of Fed rate policy, duration compensation, and the NY Fed ACM model.
Bond Duration & Convexity: Interest Rate Price Sensitivity
Macaulay vs. Modified duration, DV01 risk modeling, positive vs. negative convexity, and portfolio duration immunization.
MBS Prepayment & Negative Convexity Hedging Spirals
Understanding Agency Mortgage-Backed Securities, prepayment risk, negative convexity, and institutional duration hedging flows.
Which Yield Curve Actually Predicts Recessions? 2Y-10Y vs. 3M-10Y
Detailed institutional comparison of the 2Y-10Y, 3M-10Y, and near-term forward spreads, lead times, and disinversion triggers.
Yield Curve Regimes: Bull/Bear Steepeners vs. Flatteners
Comprehensive quantitative guide to the four yield curve regimes, macroeconomic drivers, and sector rotation performance.
U.S. Treasury Auctions Explained: Tails, Bid-to-Cover & Dealers
How Treasury Dutch auctions work, interpreting bid-to-cover ratios, primary dealer allocations, and when-issued pricing tails.
Mechanics of Treasury Butterfly Spreads & Yield Curve Relative Value Arbitrage
Institutional underwriting of Treasury butterfly trades: 50/50 and regression weighting, DV01 neutral sizing, curvature changes, and 3M carry/roll-down decomposition.
Agency MBS Prepayment Modeling, Negative Convexity & Dynamic Mortgage Basis Hedging
Quantitative analysis of mortgage pass-through securities: PSA prepayment models, CPR to SMM conversion, refinancing burnout, negative convexity duration extension, and OAS.