Archive - Jul 10, 2009 - Blog entry
The Stagflation Hedge
Submitted by nickbarbon on 07/10/2009 23:05 -0500Reconciling Slack + Deficits:
The spread between the 2-year and 10-year points on the US yield curve has been unusually steep since May, when supply fears and convexity hedging caused a back up in rates. As the 10yUST backed up, the steepeness of the 2s10s curve reached a high of over 250 basis points. The same can't be said for forward curve spreads which have remained stubbornly flat. The 2s10s yield curve in swaps is currently ~222 basis points; meanwhile 1yForward is at ~150 and 2yrs forward is at ~87bps.
Read on...
