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Today's read ?
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Full narrative · highlights · book impact · tripwires
Why this status ?
Warning signs ?
What the numbers say ?
What changed ?
What matters for this book ?
Key indicators ?
Key rates ?
Positioning & sentiment ?
Market charts ?
Market structure · 120D
UST curve · 2Y vs 10Y
Money markets · SOFR vs EFFR
Credit spreads · IG / HY OAS (bp)
Vol · MOVE & VIX
Reserves buffer · % of Fed balance sheet
TGA (Treasury cash, $bn)
Futures positioning ?
Portfolio impact ?
Scenario shocks · estimated MV impact ?
Estimated from Bloomberg duration/DV01 · indicative, not an executable price or accounting P&L.
Concentration ?
Exposures ?
Exceptions & data quality ?
Holdings · Bloomberg marks ?
5Y CDS by name (bp)
Z-spread by name (bp)
Allocation by type (Bloomberg mark MV)
Rates context · book carry
| Issuer | Type | Cost | Mark ? | Bid ? | Ask ? | Spread bp ? | 1D ? | 5D ? | vs cost ? | P&L $ ? | YTW ? | Z ? | CDS 5Y ? | Duration ? | DV01 $ ? | MV ? | Allocation ? | Quality ? | Alerts ? |
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Cost = Nomura purchase · Mark = Bloomberg (indicative, not executable) · 1D / 5D = 1-day / weekly price change ·
YTW = YLD_CNV_MID (Bloomberg yield-to-worst convention; hover for workout date) · CDS = 5Y senior ·
Quality grades: good / indicative / stale / missing.