Bonds Breathe Sigh of Relief After Auctions. CPI Up Next
Mon, Dec 11 2023, 3:40 PM
It’s been quite a while since we’ve dusted off the ‘PSR’ abbreviation, which is short for “post-supply rally.” The supply in question is the scheduled auction of US Treasuries. At times in the past, merely getting through a set of Treasury auctions was often worth a sigh of relief, expressed in the form of additional bond buying. While that dynamic hasn’t been as noticeable as it once was, today was an exception. In other words, yields were a bit higher until a few minutes after the day’s last Treasury auction, but then began to fall almost all the way back to ‘unchanged.’ Even if they hadn’t fallen, today’s trading would leave the bond market in fine shape to digest Tuesday’s CPI data, one of this week’s two big ticket events. The stakes are high, but the reaction function is simple: higher/lower inflation = higher/lower rates.
- 3yr Treasury Auction
- 4.49 vs 4.473 f’cast
- bid to cover 2.42x vs 2.74x avg
- 3yr Treasury Auction
09:13 AM
Modest, steady weakness overnight with a bit more selling at 8:20am CME open. 10yr up 4bps at 4.268. MBS down 3 ticks (.09).
11:49 AM
Gradual weakness is the backdrop, with some specific selling after 3yr Treasury auction. 10s up 5.1bps at 4.279. MBS down just over a quarter point.
01:04 PM
no major reaction to mixed 10yr auction. 10s up 4.8bps at 4.276. MBS down a quarter point.
02:14 PM
Nice recovery after 10yr auction. 10s now up less than 1bp at 4.235. MBS down less than an eighth. Both are at best levels.
03:25 PM
Generally holding gains. MBS down 3 ticks (.09) and 10yr up 1.1bps at 4.239.
Download our mobile app to get alerts for MBS Commentary and streaming MBS and Treasury prices.
Credit: Source link
