All US Curves Are Downward Sloping in the Short-End

by confoundedinterest

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.

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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

 

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