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Tsy Bounce Off Boston Fed Rosengren Duration Comments

US TSYS SUMMARY

Another heavy volume session (TYZ near 2mm), Tsys only marginally mixed, however, long end bounced off late session lows on Boston Fed Rosengren exclusive interview comments after the bell: MNI: FED'S ROSENGREN: PREFER TO LENGTHEN DURATION OF TSY BUYS; ADDITIONAL QE MAY BE NEEDED WITH WEAK 6 MOS AHEAD.

  • Yield curves in shorts to intermediates held steeper profiles even as long end futures outperformed. Myriad other Fed speakers issued more prosaic statements (Dal Fed Kaplan: lack of fiscal stimulus to hurt economy, next 2 quarters to be "very difficult".
  • Second day of decent high-grade corporate issuance, $12B Verizon 5pt lion's share.
  • Massive selling short end Eurodollar futures from EDH1 to EDU3, Mar'21 volume over 360k after the bell, over 3.5x 20D avg.
  • Another modest stop-through, US Tsy $41B 10Y note auction (91282CAV3) awarded 0.960% rate (0.765% last month) vs. 0.962% WI; 2.47 bid/cover (2.32 previous). The 2-Yr yield is up 1.2bps at 0.1827%, 5-Yr is up 2.6bps at 0.4538%, 10-Yr is up 3.6bps at 0.9595%, and 30-Yr is up 3.9bps at 1.7479%.
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