jiafei9014

@sweinand What they should have done is use seasonally corrected real yield to compute breakeven so this rolling instruments wouldn’t be an issue, but that’s obviously lot more work than just differencing nominal vs reported real yields. This index has major issues.

@mingzheyi Right. Springtime NSA inflation is higher than the fall. Huge distortion though in breakevens. Bloomberg could tell me exactly how or why they roll.

Drop it Like its Hot Breakeven Inflation Numbers have dropped like a rock, now, twice in the last 15 days. What gives? Well, the nuanced 1-year breakeven index, just moved from the 1/15/27 maturity being its primary underling to the 4/15/27 maturity. We highlighted the 4/15/27 earlier as it's yielding roughly 60bps more than the 1/15/27 note. With that move, the breakeven "gave up" over 50bps and the market is now expecting only ~3.1% inflation over the next year. Take a look at the move from 4/8 to 4/9 (2nd pic). We're talking about a 2-5pt drop in the reference notes used for the index. All Bloomberg nuance!

@johnarnold too lazy to check but what’s the funding ratio for those pensions? if not good then this definitely is an ooof

The structural fiscal challenge for cities that aren't growing gets worse each year. Missing actuarial contributions to pension funds makes future years even harder. If NYC can't balance the budget w/o raiding the pension while economy is strong, it never will.

Deferring pension contributions is the Pandora's box of municipal finance, where a seemingly harmless action unleashes a legacy of complications. Once that seal is broken, NYC will start the descent into the same liability-fueled spiral that has hollowed out so many other cities.

@macrocephalopod @TheFlowHorse @EmanuelDerman my old boss on the sellside was one of those OG Solomon traders, said some unflattering things about Michael Lewis, which kinda makes sense in hindsight seeing how he shilled for SBF…

@TheFlowHorse @EmanuelDerman I love Wall Street, Trading places and Liars Poker but I didn’t see/read any of them until I’d already been working for a few years.

What made you want to be a trader? For me, I watched Wall Street 100s of times as a kid and read Liar's Poker. I honestly just wanted to be rich. My dad cleaned floors and money was always a limiting factor.

@conorsen UT is already getting absurdly cut throat. In some top TX public high schools if you can make top 5% of class you are likely competitive for an Ivy already.

Wonder if it’ll be tougher to get into Texas, Georgia, and Florida than Michigan in 10-15 years.

@sweinand Love the title! You can get really creative title wise with TIPS. My other favorite is a paper titled “Tips from TIPS: the information content from Treasury inflation protected securities.”

TIP of the cap Treasury Inflation Protected Securities (TIPS) have beaten nominals over almost every time frame and every maturity. wsj.com/finance/invest…

@BlacklionCTA never did I think I’d live to see JGB at higher yield than CGB…

Well, another week in the books and that means...JGB10's at century high yield.

@BlacklionCTA saw a chart earlier that said equites have had positive skew on a rolling 3-yr basis. Boy the times we live in 🤣

It is a little wild how bullish everything is given the global energy disruption and uncertainty. I guess that is what years of easy financial conditions accomplish. This morning's example: Bloomberg HY Total Return Index ATH🤷‍♂️

@pansareV the losses carryover is the best part 🤣

Was thinking this earlier

@tylermacro10 ya they missed Q4 2025 pretty badly too, didn’t properly account for govt shutdown or something.

I don’t understand this forecast

@aanalystbro Putting 3+ sharpe backtests (no live trading) on resumes is essentially a negative signal to future employers.

New grads applying to quant roles need to stop putting random metrics for how good their deep learning based SPY price prediction model is. Do people think the first thing that’s gunna happen when they get hired is be asked to reimplement their shitty project from their MFE?

@bucketshopcap @vrexec I beliece there was a paper that estimated housing is a negative sharpe investment after all costs are taken into consideration 😂

@vrexec IME if you make this argument to your S.O., you will lose. Buying real estate is financially not a great choice for many people, but they get sucked into it b/c "I AM PUTTING DOWN ROOTS". No mention of the numerous hidden costs that magically arise throughout home ownership.

I'm doing some back of the envelope math on buying vs renting. Say you buy a $1M house with 20% down at about 6% mortgage rate and plan to stay there for five years. Your principal paydown in the first five years is about $57,000, but you've paid about $230,000 in interest. You've also paid roughly $100,000 in property taxes, insurance, and maintenance. Say the house appreciated 2.5% every year — so when you sell it's worth about $1.13 million. Your all-in costs to sell are about 7.5% — brokerage commissions, transfer taxes, attorney fees, title insurance, and the inevitable post-inspection negotiation. On a $1.13M sale that's about $85K in fees. So you net about $1.046M. You still owe $743K on the mortgage. You walk away with about $303K in cash — your $200K down payment back, your $57K in principal, and about $46K in net profit from appreciation. Your non-recoverable costs — interest, property tax, insurance, maintenance — were about $330K over five years, or about $5,500/month. That's your effective rent. But you "made" $46K selling, or about $770/month — so your effective rent was about $4,700/month. Not bad, but you tied up $200K for five years to get there. And if appreciation was 1.5% instead of 2.5%, that net gain basically disappears and you're paying $5,400+/month in effective rent. And this assumes there's appreciation at all — and that something doesn't go wrong with your house that needs a major remodel or repair. On a five-year horizon at 6% rates, you need everything to go right on appreciation just to make ownership competitive with renting. The transaction costs eat most of your upside. What am I missing? Anything?

@mtkonczal np! the recent basel 3 relief bodes well for bank portfolio demand for agency mbs going forward. Banks should also be able to offer lower primary mtg rates, I hope.

@mingzheyi Thank you!

Mortgage knowers: is there a consensus story for why the mortgage spread has fallen so much since last August and especially since last November? Mortgage rates are exploding even as the spread over interest rates has fallen, that's rough.

@TheBostonView curious what the specific contracts are? might tail thanks!

Anecdata: these 5 bets are now weakening, pulling back from the ATH of last week. No surprise.

@stevehou On the contrary it’s already burning up down here in TX. This summer gonna be funnnnnnn

Judging by the fundamentals I’m tracking, a brutal bear market may be coming

@SowingAlphaSeed I love how every time I walk into a dealership the sales/service people look at me like I’m a lamb to be fleeced.

Our last car was a Tesla and I just ordered it from my phone. Currently talking to dealerships about our next car and it feels so barbaric.

@LizThomasStrat your comparison is likely off for two reasons: 1) tips liquidity premium as others pointed out 2) seasonality distortion on short dated tips real yields, as the examples show an October maturity tips issue whereas the 1y swap is dated to April.

We're seeing some serious market dislocation on inflation 🚨 1-year Treasury breakevens currently imply 5.2% inflation over the next year. But 1-year inflation swaps are showing just 3.2%. What gives? It comes down to how these two metrics are actually calculated. 🧵👇

@dMacro_dBS @LizThomasStrat sorry just want clarity for my own understanding, don’t tips and swaps both track NSA headline cpi with 2-3 months lag? Of course tips real yields have liquidity premium so inflation breakeven can’t be directly comped to swap rates.

@LizThomasStrat This is embarrassing 😂… 1y TIPS and 1y spot starting inflation swaps are sensitive to very different inflation fixings. Clearly you have no clue 🥹

@BlacklionCTA man bbg keeps adding these new indices, will need to check out these two.

Term premium much quieter than I expected. I bet this looks different next week.