Morgan Stanley Expects A "Completely Flat" Yield Curve In 10 Months
There chart has a better answer. The blue line is curve slope, Look closely, it can drop 15 basis points between measurements, when the sphere is well packed. The reason is the second derivative of price is maximum when the frontier is at the knee of the curve. Morgan Stanley uses an estimate without the constraint.
Today, for example, nothing happened in the markets, bit it still cost us a basis point in slope. So any big market moves can change slope, and level. of the curve rapidly, at this point.
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