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Gross: Yellen's tenure has begun and it's short-end friendly

  • The morning after finds long-dated Treasury prices flat after yesterday's big post-Fed gains.
  • As loud as the action was at the long end of the curve, it's even louder at the short end. The December 2016 Eurodollar futures has erased about 2 Fed rate hikes between now and then with a near-50 basis point move higher since yesterday at 2 ET. At 97.62, it's now pricing in 200 basis points of hikes over the next 2-plus years. The 2-year Treasury yield is at 0.32% after being over 0.50% just days ago.
  • "Not braggin' but what did we tell you," tweets Bill Gross. "Today marks the beginning of the Yellen Fed - front-end friendly for a long time."
  • Short-duration Treasury ETFs: SHY, SHV, IEI, BIL, TUZ, FIVZ, DTUL, VGSH, DTUS, DFVS, DFVL, SST, ISTB, TBZ.
  • Long-duration Treasury ETFs: TLH, TLT, IEF, DTYL, DLBL, ILTB, TENZ, ITE, TLO, EDV, VGIT, VGLT, TMF, TYD, LBND, UBT, UST, TMV, TYO, DSTJ, DSXJ, SBND, PST, TBT, DTYS, DLBS, TBF, TTT, TYNS, TYBS, TBX.
Comments (1)
  • " The December 2016 Eurodollar futures has erased about 2 Fed rate hikes between now and then with a near-50 basis point move higher since yesterday at 2 ET. At 97.62, it's now pricing in 200 basis points of hikes over the next 2-plus years. The 2-year Treasury yield is at 0.32% after being over 0.50% just days ago."

     

    3 plus years... a 2.38 3 month libor in December 2016 implies a neutral 3 month real libor rate (possibly a negative one)...no recession has started under those conditions....
    19 Sep 2013, 08:04 AM Reply Like
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