August 9 Closing Notes

9 Aug

Short term rates relatively unchanged to lower. 1M/3M spread has been oscillating between +/- 0.5 bps with a -1.5 print last Wednesday (8/4).

Short term spreads:

Bond Auctions: 3Y kicks off tomorrow, you can get the stats that I previously posted last week here.

Closing yields:

1Y: 24.9 -0.05 bps, 2Y: 54.6 +3.2, 3Y 79.5 +3.2, 5Y 153.2 +2.1, 7Y 221.2 +1.2, 10Y 282.7 +0.3, 30Y 401.6 +1.9

Spreads:

2s5 98.6 -1.1, 2s10 228.1 -2.9, 2s30 347 -1.3, 5s10 129.5 -1.8, 5s30 248.4 -0.2, 10s30 118.9 +1.6

Swap Spreads:

2Y 17.4 -0.2, 5Y 17.8 -1.1, 7Y 5.8 -1.2, 10Y -1.7 -2.3, 30Y -34.6 -2.9

10D HV:

2Y most notable in HV land today, at 90bps with a +8bps increase. Remainder of yields were unchanged, with 10Y to 30 -1.

Yield Spreads HV largely unchanged, 2s5 -2 to 53bps.

Quiet day in front of the FOMC decision. I think it will pick up midweek (Wednesday) with a 10Y auction at 1PM followed by the FOMC’s statement at 2:15PM.

Update: FOMC Decision is Tuesday (tomorrow) at 2:15. I was looking at the wrong calendar. I apologize. 10Y auction is still on Wednesday at 1PM. 3Y auction is tomorrow at 1PM.

Ahead of the 3Y auction tomorrow I saw some pretty active sellers. 180M rev. repo transaction was done by the Fed as they continue to “test” their plan to buyback Treasuries. I’ll have more on this when I feel inspired to write about it.

Have an excellent evening.

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