U.S. Yield Curve: 3 Month to 30 Year

I am looking at taking a role as a prop trader/PM with RCG (Rosenthal Collins Group) in Chicago. They do a bit of yield curve trading among other things, so I thought maybe I could liven the data up a bit. (Click all images to enlarge)

The typical yield curve looks boring and doesn't show relationships over time or the whole yield matrix.
Being interested in getting a feel for the data means understanding all the US swaps spreads. So I put them into excel and created a nice scrollable matrix.

But hey even that isn't fun and discovering anomalies in data (which is fun for me) means getting a feel for the relationships. So I ended up with something like this video.

Trading it still means ferreting out the anomalies, but I have already found some cool stuff in currency swaps, so am pretty hopeful the US Mambo will yield some alpha (insert bad pun groan). One caveat, the data matrix didn't have data for the full duration, for example 7 yr. issuance is fairly new etc., so the curves are kinky in place and more for fun than information value.

If you want the yield curve mambo get it here on the Godsdog album from De Phazz.

Comments

[Mistrofan:]

Fully agree with your comments. But I personally find more relevant the 30y-2y spread and NOT the 30y-3m.

Jun 29 09:42 AM

[Nick Gogerty:]

I have all the spreads in the movie, 3m, 1yr, 2y, 5yr, 7yr, 10yr and 30yr vs. all points on the curve, plenty of choice for everyone, assuming they have a taste US debt of course. If there isn't a maturity to suit you, they will probably dream on up. I Wonder what those California IOUs will look like?

Jun 29 01:40 PM