A significant flattening of the US Treasury yield curve
had been observed, while the German government bond yield curve had flattened to a much lesser extent.
The spotlight was also on lower implied stock volatility, with the VIX dipping below 10 and the flattening of the Treasury yield curve
as two-year yields continued to move up.
The ongoing flattening of the Treasury yield curve
, which has capped long-term yields, is a further drag on the dollar, Daiwa's Ishizuki said.
Thursday's rally followed a week of carnage in the US high-yield debt markets, flattening of the US Treasury yield curve
and losses in the major stock market indices worldwide.
The price decline can be attributed to an increase in the Treasury yield curve
and the minor change in portfolio composition.
Our findings suggest that imposing tight no-arbitrage restrictions on the entire Treasury yield curve
may overstate the degree of policy accommodation during the ZLB period.
To do this, we regressed weekly percentage changes in the Bloomberg Commodity Index against percentage changes in a number of market indicators potentially correlated with global economic demand, namely the Fed's dollar index of major currencies, the MSCI World Index, and the slope of the US Treasury yield curve
(10-year Treasury yield minus two-year Treasury yield).
DebtX managing director Will Mercer said, "Widening spreads in January were offset by a downward shift in Treasury yield curve
The most attractive sectors to own in 2016 will be US nancials with low valua- tions, exposure to a steeper treasury yield curve
and benefitting from the robust consumer credit/housing cycle.
As the market anticipates the Federal Reserve's first interest-rate hike in some seven years, the report said, some of November's biggest redemptions were from ETFs that tapped into various spots on the Treasury yield curve
, from one- to three-month, the one- to three-year, the seven-to 10-year and 20-plus years.
Others set a single interest-crediting rate based on a blend of a qualitative actuarial overlay and quantitative analysis of the current Treasury yield curve
and forward rates.
S dollar bonds or sukuk in the Gulf tend to price off the Treasury yield curve
, so any sharp movement in the benchmark yields will have an impact on pricing.