Turmoil in the Term structure?

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Yield Curve Control (YCC) Or Coming Term Structure Turmoil?

 

The curious and eerie calm that has settled over World bond markets likely owes more to ‘short gamma’ investment strategies than Central Bank yield curve control (YCC). With implied volatility at record lows relative to realized volatility, this is a dangerous and unstable mix. Not only is bond volatility strongly mean-reverting, but today’s rapid pace of US M2 money supply was the reason YCC ended last time.

 

 

 

See our latest published research, Global View -Yield Curve Control (YCC) Or Coming Term Structure Turmoil? – October 2020

 

 

  @crossbordercap

 

 

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Registered in England. Company Number 2687676. 

 

 

 

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