treasuries

“There's not much alpha you can add managing a treasury book. So we don't really bother doing too much of that, so we have an index treasury book.”

“We just went through a full rerunning of all of our assumptions, and we've got equity assumptions in the sixes, the sevens, even higher for emerging markets, and then a treasury assumption at . Six percent right in line with the yield right now. And you run th…”

“And why aren't there any corporate bonds? Because the pricing of corporate bonds compared to treasuries doesn't reward for the risk that's being taken.”

“So we have been actually just taking treasuries out of the market and replacing them with futures. Futures being more liquid than treasuries in one of these taper tantrums.”

“If that's the case, then the opportunity cost is five percent a year, and so that's how we think. You have treasuries that are two-year, five-year treasuries that are five percent plus five percent, and the hurdle's 10%.”

“Nor, as Louis would attest, does the convenient but incorrect rumor that, oh, China must be bashing treasuries. Just ignore that.”

“It is not the treasury basis trade unwinding. The treasury basis trade this week has been fine. The treasury basis trade does not explain what happened.”

“There is not enough private sector balance sheet capacity to intermediate this enormous stock of treasuries. It's a capacity problem.”

“Tether alone was the seventh largest buyer of treasuries in the past year.”