Eur & Usa Yield Curve Segment Analysis-Part 2

In my previous Blog, I posted a tabular Table of the USA, EUR, JPY and UK Government Bond Yield Curves and a snapshot of how the various curves has changed over time.

As mentioned before, I look at these values Systematically, in absolute terms, without the need to justify any Economic fundamental argument as to why these changes have occurred or are occurring.

Fig 1 below is a derivative of this Table with one of my "Momentum trending models" overlaid on the EUR and USA curves.

The analysis is split between 2 timescales

• Longer term trend -(Weekly )
• Intermediate trend- (Daily).

Also included is a Standard deviation calculation of each of these spreads which could be viewed as values where each of the Curves may encounter a reversion to Mean ( Support and Resistance in bps)

One thing of note recently is the obvious change in the front end of the EUR Curve which has recently changed from "Steepening"  (2yr outperforms 5yr) to "Flattening" ie: weakness in the front end ie:  (2yr underperforms 5 yr)

The USA eqivalent, however,still maintains a "Steepening" stance but the momentum of this is beginning to weaken but has not yet confirmed a similar move to "Flattening"

In absolute terms in the past month  EUR 2's 5's has flattened 17 bps while the USA equivalent has steepened 6 bps

I will Post periodically on any significant change in trend of these Curve Segments


Enjoy