But haven't seen any evidence that this is their intention (sell bills to buy back off-the-run-Treasuries). If Treasury matches tenor by selling on-the-run-Treasuries instead, liquidity of older bonds will improve but market impact is quite different.
3) If anyone has any insights here, would love to hear from you.
1) SF Fed paper "finds national homeowners’ shelter prices rose 4.3% Y/Y in July 2022, compared with 5.8% in the CPI measure" based on actual payments.
- OER based on the “implied rent” that owners indirectly pay to ...
2) live in their homes. Implied rent cannot be observed, so the CPI uses an estimate (i.e. very imperfect, lagged and difficult to model as I've discussed).
Magnitude of shelter #CPI has surprised most, including Nobel laureates, Harvard professors, GS economists (who today ...
3) adjusted their model and increased '23 shelter inflation estimate).
2) Will change with data but consistent with current inflation swaps pricing early ‘23 as discussed.
Also Citi’s Global Supply Chain Pressure Index fell by largest amount in its history in Jun.
Prefer this to NY Fed Supply Chain Pressure Index. Citi includes inventory data …
3) in addition to many transport cost and supply components (e.g. delivery times, backlogs, input prices etc). I’ve discussed variety of metrics used in these indices in past posts.
Implied gas still low $4’s. Still unreal how bad Fed’s timing has been.
3) inverted 61 bps. Using OIS swaps which are more accurate vs Treasuries (Btw how was 1M Treasury yielding 60 bp less than overnight rate last W? You get the idea).
Give this thought. Market is pricing 2Y yield ~60 bps LOWER than Fed funds rate 6M from now!