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Jun/Sep 30Y Roll Error Roils Long End

US TSYS SUMMARY
Hectic midday trade was book-ended by rather sedate trade through much of the first half and later in the second half Wednesday.
  • Tsys gradually inched higher through the first half, as did the greenback, USD index climbing back above the 90.00 and off yesterday's multi-month lows.
  • No substantive data, focus was on rolling Jun/Sep quarterly Tsy futures ahead Fri's first notice when Sep takes lead, and the $61B 5Y Note auction.
  • Complete debacle in 30Y roll around 1220ET saw spd gap up to 2-26 high on appr 16,300 -- since adjusted by exchange: all spds from 1-26.25 to 2-26 adjusted to 1-26.25 (new session high). While the spd looks to set around 1-19.25, there were appr nine 30k clips that traded at 1-18.25 AFTER the gap bid. Unintended consequence of fat finger: bonds extended session highs briefly after the error but quickly retraced, trading lower in last hour. It also appears more spds traded than needed rolling: % complete appr 108% according to CME site. B
  • The $61B 5Y note (91282CCF6) auction traded through .7bp: high yield of 0.788% vs. 0.795% WI. Bid-to-cover highest since September 2020 at 2.49x vs. 2.33x 5 month average.
  • The 2-Yr yield is up 0.5bps at 0.1466%, 5-Yr is up 0.8bps at 0.7791%, 10-Yr is up 1.9bps at 1.5774%, and 30-Yr is up 1.8bps at 2.2654%.
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