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USDCAD TECHS

Remains Vulnerable

AUDUSD TECHS

Trend Needle Points North

US TSYS

Bonds Near Highs, Yield Curves Flatter

EURJPY TECHS

Bearish Outlook

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US TSYS SUMMARY

Unexpectedly hectic day for rates, broadly weaker 10Y futures in lock-step with S&P futures on the day. The dramatic rise in Tsy yields has been fast if not a smooth transition since the start of the year: 10YY 0.9132% Jan 1 to 1.6085% high post auction, 30YY 1.8347% on Jan 1 to 2.3944% high.

  • Yld curves mixed: short end steeper while 5s30s fell below 148.5 from 165.39 high earlier. Yields had pull back from 1Y highs/futures pared losses after mixed data: lower than expected weekly claims, stronger durables, softer GDP.
  • Second half trigger: Tsys gapped lower after a terrible $62B 7Y Note auction tailed 4bp: US Tsy $62B 7Y Note auction (91282CBP5) drew high yield 1.195% vs. 1.155% WI; (had stopped through last month on high yield of 0.754% vs. 0.757% WI) ; 2.30 bid/cover vs. 2.04 prior.
  • Dealers are cranking out their negative convexity trigger points ahead of today's move -- may need to expand their horizons: one stated convexity selling doesn't start until doesn't start until around 1.35% 10YY and tapers off at 1.60% -- which happens to be near TODAY's range for 10YY! TD Security had it right unwinding their long 5s30s steepener at 159 (165 high today, it collapsed to 148.456 low, 150.652 last).
  • Official central bank line: not worried about a spike in inflation etc, while mkt basically right where we were at start of pandemic. Opinions vary around banks trying to talk economy up after telegraphing willing to let market run hot for a while -- remains to be seen. No surprise reveal from NY Fed Williams on YCC or other measures after today's volatile session.
  • The 2-Yr yield is up 4.9bps at 0.172%, 5-Yr is up 21.8bps at 0.8181%, 10-Yr is up 15.5bps at 1.5303%, and 30-Yr is up 6.3bps at 2.2956%.
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com

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