80 Comments
Mar 21, 2022Liked by Alfonso Peccatiello (Alf)

Really appreciate the great content Alf. Getting a great schooling in all things bonds!

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Mar 23, 2022Liked by Alfonso Peccatiello (Alf)

Great stuff Alf. Love your work.

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Mar 21, 2022Liked by Alfonso Peccatiello (Alf)

This is fantastic Alf - your material is top notch and we really appreciate it. Can't wait for all the future content you'll churn out! Thank you!

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Mar 22, 2022Liked by Alfonso Peccatiello (Alf)

Wonderful post. Thank you very much for writing it, Alfonso.

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Mar 22, 2022Liked by Alfonso Peccatiello (Alf)

Many thanks, Alf! From the point of view of OIS curve shapes trades around 0 bps, and potential to be entering an equity market sell off, does that necessarily mean we're moving into Quadrant 4 (not sure if global credit impulse is still decreasing)?

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Mar 22, 2022Liked by Alfonso Peccatiello (Alf)

Thanks so much for the education!

You’re one of the best, most lucid financial writers I know…

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Mar 22, 2022Liked by Alfonso Peccatiello (Alf)

I guess one could add that it is the un-inversion following an inversion that really matters?

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Mar 22, 2022Liked by Alfonso Peccatiello (Alf)

Great article!!

One doubt, the last i looked after OI of EFFR and SOFR long term swaps, i think i found a low volume.

Can you help me w that information? there is enough volume in those long term swaps?

Tks Alf!!

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Mar 22, 2022Liked by Alfonso Peccatiello (Alf)

Great article, thanks a lot for your work!

One question: Powell mentioned yesterday that he’s primarily looking at the spread between 3 month and 18 months Treasury yields and not so much at the 2s10s. What do you think of that?

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Mar 21, 2022Liked by Alfonso Peccatiello (Alf)

This is really helpful - I wish there was a way to get live OIS data without a bloomberg terminal, but your work-around is a good start!

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Mar 21, 2022Liked by Alfonso Peccatiello (Alf)

Hi Alf, fantabulous article as usual!

Would like to seek your opinions on 2 matter:

1) Is the 10y OIS - 3m OIS curve a completely inaccurate predictor of recession? I’ve read from other forums that mention that this is the only curve which academics/economists observe.

2) What’s your opinion on the 10y OIS - 5y OIS curve? The most recent article on Bloomberg referenced to the inversion of 10y - 5y curve (although they used nominal rates instead of OIS)

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Mar 21, 2022Liked by Alfonso Peccatiello (Alf)

Great article! Also I went back to read the first two articles which were tremendously helpful too. I was an Econ major and took fixed income securities in college and the concepts of OIS and asset swap rate were not taught in school back then. So this is really helpful!

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Mar 21, 2022Liked by Alfonso Peccatiello (Alf)

Thank you.

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Mar 21, 2022Liked by Alfonso Peccatiello (Alf)

Great article. Thank you for the link to SOFR swap rate (annual/annual) as I don't have access to Bberg.

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Mar 21, 2022Liked by Alfonso Peccatiello (Alf)

Mr. Alf, what's your theory for why a yield curve inversion is a leading indicator for a recession? Obviously, there's a correlation between yield curve inversions and recessions, but there's plenty of spurious correlation out there. And a related question, what's your theory (i.e. expectations theory, preferred habitat theory, etc.) for what determines the slope of the yield curve?

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Mar 21, 2022Liked by Alfonso Peccatiello (Alf)

Great article! Does the site you posted or Bloomberg or Fred (st Louis) have any history (how much?) for this alternative yield curve?

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