115.1 Why do US Treasury Bonds lose value ‘every’ August !?

———Ep 115.1 Summary———
US Treasury Bonds have lost a lot of value since August, and especially in the last weeks of September. Is it a taper tantrum? Are foreigners selling lousy Uncle Sam paper? Is it Armageddon (again)? No, this happens—incredibly—’every’ August. But why?

Macropiece Theater with Alistair Cooke (i.e. Emil Kalinowski) reading the latest essays, blog posts, speeches and excerpts from economics, geopolitics and more. Interesting people write interesting things, why not listen and hear what they have to say? You could do worse things with your time (i.e. Bloomberg, CNBC, et cetera). Recent readings include thoughts from George Friedman, Lyn Alden, Daniel Oliver, Michael Pettis, the Bank for International Settlements and yes, even Karl Marx.

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Art: https://davidparkins.com/

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———Ep 115.1 Topics———

00:00 INTRO: US Treasury Bonds have lost rapidly recently – what does it mean?
02:29 USTs began to lose value after a Fed official appeared on CNBC with a Hawkish message.
04:26 USTs lost value, starting in August, in 2020 too. Are we observing UST seasonality?
07:42 USTs lost value, starting in August, in 2019 too. Are we observing UST seasonality?
09:19 USTs lost value, starting in August, in 2018 too. Are we observing UST seasonality?
11:49 USTs lost value, starting in September, in 2017. We are observing UST seasonality!
12:41 If USTs are seasonal is it merely convenient-narrative to explain why yields are rising?
14:21 A technical theory involving GSIB reporting requirements to explain UST seasonality.
21:51 The BIS shows bank derivative activity does in fact contract at year-end.

———Ep 115.1 References———

Finally The Taper Tantrum, Or What’s Wrong With August?: https://bit.ly/2XXJoRb
Alhambra Investments Blog: https://bit.ly/2VIC2wWlin
RealClear Markets Essays: https://bit.ly/38tL5a7


Jeff Snider, Head of Global Investment Research for Alhambra Investments and Emil Kalinowski. Art by David Parkins, licensed to killustrate. Bassy James-Bond-style podcast intro/outro is “The New Black” by Mary Riddle found at Epidemic Sound.