Ben chabot(@chabot_ben):The SORF curve is now up 12-14 basis points for the Dec26-Dec27 contracts. The chair's speech moved the expected policy path up by half a rate hike. The 10-year yield is holding up with its yield up only 5bps. The Chair's speech pushed future markets toward more FOMC uncertainty (market probabilities are nearer to 50-50) which normally weighs on the long bond through the term premium, but the speech had lots of calming clarity about the commitment to the 2% target and the measure the Fed would use (still PCE) and no surprises about the balance sheet. I think this clarity is helping the long end even as uncertainty about the path is increasing.

2026.08.28 17:20

The SORF curve is now up 12-14 basis points for the Dec26-Dec27 contracts. The chair's speech moved the expected policy path up by half a rate hike. The 10-year yield is holding up with its yield up only 5bps. The Chair's speech pushed future markets toward more FOMC uncertainty (market probabilities are nearer to 50-50) which normally weighs on the long bond through the term premium, but the speech had lots of calming clarity about the commitment to the 2% target and the measure the Fed would use (still PCE) and no surprises about the balance sheet. I think this clarity is helping the long end even as uncertainty about the path is increasing.

Ben chabot@chabot_ben

2026.08.27 18:39

What's driving the increase in bond yields? A new post on the blog: Neither the increase in issuance nor changes in uncertainty can explain the increase in bond yields over the past 8 week. Fear of future issuance and models of contagious runs do fit the data, however. I talk about what these models predict can happen to bond yields and what datapoints I'm looking for from Jackson Hole and the economy.