Macro Regime
Monetary policy, liquidity, and the economic regime.
Regime Info
Stagflation
30 days in regime
Growth ↓ Inflation ↑ — Stagflation. Long gold, TIPS, energy.
Regime Allocation
Growth
0%
Value
40%
Gold
50%
Bonds
10%
Yield Curve
Bull Flattener
10Y–2Y Spread
+0.58%
3M Δ: +0.00%
10Y–3M Spread
+0.33%
inversion below 0
Regime
Bull Flattener
≈ Quad 4
Signal
Long rates falling faster than short rates. Growth and inflation cooling.
Spot Curve — Today vs 3M Ago vs 1Y Ago
Spread History — 24 Months
Curve Regime Reference
Bull Steepener
Quad 1
Short rates fall faster than long rates
Fed is cutting; growth bottoming out. Credit expanding.
Favors: Equities, High Yield, Cyclicals
Bear Steepener
Quad 2
Long rates rise faster than short rates
Inflation expectations rising. Growth still OK.
Favors: TIPS, Commodities, Real Assets
Bear Flattener
Quad 3
Short rates rise faster than long rates
Fed hiking to kill inflation. Slowdown incoming.
Favors: Cash, Short Duration, Defensive
Bull Flattener
Quad 4
Long rates fall faster than short rates
Growth and inflation cooling. Flight to safety.
Favors: Long Duration Bonds, Gold
US Maturity Wall
Gross refinancing volume by month, incl. T-bill rollover (Billions USD)
T-Bill Annual Rollover
~$6.6T
Total Upcoming
$35,033.2B
T-Bill Rollover (~$550B/mo)
Net New Issuance (Deficit)
Fixed Maturities (Notes/Bonds/TIPS/FRN)
Recent Auction Sentiment (Demand Check)
WEAK
Feb 26
7-Year Note
Ratio
2.50
Tail
5.0 BP
WEAK
Feb 25
5-Year Note
Ratio
2.32
Tail
6.0 BP
Feb 25
1-Year 11-Month Note
Ratio
3.01
Tail
0.0 BP
WEAK
Feb 24
2-Year Note
Ratio
2.63
Tail
5.2 BP
WEAK
Feb 19
30-Year Bond
Ratio
2.75
Tail
4.3 BP