Pulling Bloomberg data…
Portfolio snapshot
Liquidity & risk regime (first principles)
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)
Portfolio · live marks vs cost · CDS
5Y CDS by name (bp)
Z-spread by name (bp)
Allocation by type (live MV)
Rates context · book carry
| Issuer | Type | Cost | Live | 1D | vs cost | P&L $ | YTM | YTW | Z | CDS 5Y | Dur | Live MV | Alloc |
|---|
Cost = Nomura purchase · Live = Bloomberg · YTW = YLD_CNV_MID (Bloomberg yield-to-worst convention; hover for workout date) · CDS = 5Y senior
Rates & positioning levels
Positioning tape