Why did Treasury Yields spike across the Yield curve from October 12th – October 20th? Look no further than the Fed’s Balance Sheet.

• The Fed allowed $17.9 billion of Treasury Bills, Notes and Bonds to mature the week ended October 19th. Recall the Fed has dramatically shifted its strategy as it has transitioned from the largest buyer of Treasury securities globally to reducing its Treasury holdings. The Treasury market is therefore somewhat illiquid as one would expect.

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