Comments
-
JWCan anyone recommend some good books on bonds and bond trading?
-
MSThis misses all the carry and roll costs, as usual. When you short a bond you're long cash. When a cash rate is negative (as it is in Europe), you can have a negative carry trade even when bond yields are low. In swaps land it's called pay/pay (your receive leg is negative, so you pay twice). I'm not saying this won't work, but it's not the case that you can just sit and wait and what's the worst that can happen with low yields. The worst that can happen is you get carried out. On BNDX, it was <53 at the end of 2016 with the German 10-yr at 17 bps and JGBs at 4 bps. Today German yields are 0.5% and Japan 12 bps, and even after the recent correction it's $54.50 and annualized at 2.2%.
-
ACImproving yields in Europe and Japan: does this mean Banks should become more profitable? They might be a better way to play this trade idea.
-
PDSplendid timing!
-
KSUS10 at 3%...nice