- "10-year yields are floored at 2.5%: We judge that 10-year yields are floored at 2.5% even in severe growth slowdown. Long-term inflation expectations will have to decline by 100 bp to get 10-year yields below 2%."
- "NFP Effect on UST: 100k NFP mismatch is worth 7.6bp in 10yr Treasuries."
- "Rates are a good hedge for stocks: Interest rate volatility is about 20% cheaper than equity index implied volatility to hedge the tail risk of lower equities."
- "Fed’s Back in Agency MBS, Convexity’s Not: The Fed's coupon swap operations should target 30yr production coupons. Convexity flows should remain light as the Fed (a non-hedger) owns the most negatively convex MBS."
- "Agency Debt: Choice of lockout on callable agencies is highly correlated to economists’ consensus forecast for the first Fed hike. We continue to recommend that investors extend options on callable agencies aside from the relative value argument to do so."
- "US Rate Strategy Model Portfolio: The portfolio is currently down 0.3% month-to-date."
Citigroup US Rate MBS Strategy Weekly 20100701
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