8. Rates, bonds and credit

Rates

Yield curves, the expected Fed path, money markets and bond math.

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  • 6 lessons
  • 25 min
About this section

The price of money over time: government yield curves, the central bank's expected path, the overnight markets where banks fund themselves, the auctions where governments borrow, and the math of one bond.

What you will be able to do

  • Read GC curves and spreads, and compare markets.
  • Read WIRP: what futures imply for each Fed meeting.
  • Read CBR and BTMM: policy rates and overnight funding.
  • Read AUCT auction results and price a bond in YAS.

Five words to know

tenor
the time to maturity: 3M, 2Y, 10Y
2s10s
10-year yield minus 2-year yield, in bp
FOMC
the Fed committee that sets the policy rate
repo
a short loan backed by bonds as collateral
duration
how much a bond's price moves when rates move
  1. 01The yield curve and its spreads (GC)GC draws government yield curves for the US (nominal and real), Germany, the UK, Japan, Canada and the euro AAA curve, with the main slope spreads and their changes.4 min
  2. 02The Fed path (WIRP)WIRP turns the prices of overnight-rate futures into the rate the market expects after each scheduled Fed meeting, with hike or cut probabilities and the Fed's own projections.4 min
  3. 03Central bank rates around the world (CBR)CBR lists the policy rates of the G20 central banks with the current level, the last move and its date, and where each rate sits in its past year.4 min
  4. 04Money markets and liquidity (BTMM)BTMM shows where banks, funds and the government borrow for a night to a year: overnight rates, the Treasury bill curve, and the Fed's balance-sheet liquidity.4 min
  5. 05Treasury auctions (AUCT)AUCT lists upcoming and recent US Treasury auctions with the rate each cleared at, how well it was covered and who bought.4 min
  6. 06Pricing one bond (YAS)YAS is a bond calculator that turns a yield into a price (or back) and adds accrued interest, duration, convexity, DV01 and the spread to the Treasury curve.4 min

Educational material about reading market data, not investment advice.