Alarm! All US Curves Are Downward Sloping In The Short-end, Treasury Term Premium Stays Negative (Interest Rate Volatility Cube Remains Skewed)

Alarm! 

The US Treasury yield curve, the on-off the run curve, dollar swaps curve, and the overnight indexed swaps curve are ALL downward sloping at the short-end signaling turbulence.

curves1

The US Treasury term premium remains negative.

tprem

Term premium is the excess yield that investors require to commit to holding a long-term bond instead of a series of shorter-term bonds.

Like the yield, swaps and OIS curves, the interest rate volatility cube is skewed at the short-end (like 2 years).

intvolcube1

Alarm!

alarm

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

This site uses Akismet to reduce spam. Learn how your comment data is processed.