Closing Notes – August 18

18 Aug

Today was yet another quiet day in US Treasuries, with buyers coming back for more action in all tenors except for the midcurve (5/7). Even volatile swap spreads have calmed down over the past day or so as people digest the Fed’s latest move and look to the future.

Some of this price action has also been attributed to the Fed beginning the new QE2-Lite program, however I haven’t kept track yet. I will have more details in the coming weeks about which Treasuries they intend to buy and try to provide some color on those particular names.

US Indicative Close

2Y 50.5 -0.8, 5Y 144.3 +0.9, 7Y 205 unch, 10Y 263.8 -0.8, 30Y 373.3 -3.6

Curve Spreads: 2s5 93.8 +1.7, 2s10 213.3 unch, 2s30 322.8 -2.8, 5s10 119.5 -1.7, 5s30 229 -4.5, 10s30 109.5 -2.8

Swap Spreads: 2Y 15.5 -1.2, 5Y 19.7 +0.1, 7Y 11 +2, 10Y -0.8 +1.8, 30Y -38.3 +2.6

US Historical Volatility

10D

2Y 79 -3, 5Y 51 -1, 7Y 38 unch, 10Y 32 unch, 30Y 24 unch

2s5s 53 +3, 2s10 34 +1, 2s30 23 unch, 5s10 37 unch, 5s30 29 unch, 10s30 42 +2

30D

2Y 67 unch, 5Y 52 +1, 7Y 38 unch, 10Y 30 unch, 30Y 23 unch

2s5 53 unch, 2s10 27 -1, 2s30 21 unch, 5s10 30 -1, 5s30 25 unch, 10s30 +2

Economic Calendar

UK

4:30 AM Eastern

  • Retail Sales: m/m cons. +0.4, prev. +0.7 – y/y cons. +0.6, prev. +1.3
  • Retail Sales (ex-autos): m/m cons. +0.2, prev. +1.0 – y/y cons. +1.8, prev. +3.1

USA

8:30 AM Eastern

  • Initial Claims: cons. 476k, prev 484k
  • Continuing Claims: cons. 4.5m, prev. 4.452m

10:00 AM Eastern

  • Leading Indicators: cons. +0.1pct, prev. -0.2pct
  • Philadelphia Fed Index: cons. 7, prev. 5.1

No bond auctions scheduled.

Early Asia Update

Light buyers of UST’s overnight pushing yields slightly lower. 10Y currently at 2.628, 7Y 2.038 – buyers seem to be concentrated more towards the mid/long part of the curve in early Asian trade. 30Y WI is 102-19 at 3.73, +0-04.

Curve spreads relatively quiet as well, 2s30 322.9 +0.1, 1s030 109.6 +0.1 as well. The curve is off the wides seen earlier in the session, settling back to mostly unchanged. 30Y swap is at -40.

Admin note: I have to depart shortly before bond close to attend a meeting, the Closing Notes will not be published on Thursday 8/18. Sorry for any inconvenience. I will be back on Friday. Have an excellent day
Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: