What up yields?
What are yields doing "down here"? Few bullets to consider via TS Lombard:
1. Inputting a terminal rate of 5.5% into the regression model implies that the 10-year yield should be around 4.3%, which is consistent with this year's highs (explains 95% of the variation in US Treasury bonds)
1. The current 10-year yield of 3.47% appears to be out of sync with even current terminal pricing, which is consistent with a terminal rate of 4.4%. This suggests that 10-year nominal yields, particularly real yields, have fallen too far
The investment bank argues for selling TIPS tactically here.
1. Inputting a terminal rate of 5.5% into the regression model implies that the 10-year yield should be around 4.3%, which is consistent with this year's highs (explains 95% of the variation in US Treasury bonds)
1. The current 10-year yield of 3.47% appears to be out of sync with even current terminal pricing, which is consistent with a terminal rate of 4.4%. This suggests that 10-year nominal yields, particularly real yields, have fallen too far
The investment bank argues for selling TIPS tactically here.
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