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Yields March Higher

US TSYS SUMMARY

The Tsy sell-off from Thursday's lows picked up pace again a little after 0100ET overnight Friday, with the curve bear steepening sharply.

  • While that initial steepening has reversed for the most part (5s30s hit 154.8bps but have fallen back to 151.2bps), we are at some notable levels for bears.
  • 10s are underperforming on the curve and back above 1.60%, a whisker from the Mar 5 highs (1.6238%). The 2-Yr yield is up 1.6bps at 0.155%, 5-Yr is up 5.7bps at 0.8433%, 10-Yr is up 7.5bps at 1.6124%, and 30-Yr is up 6.4bps at 2.3588%.
  • Jun 10-Yr futures (TY) down 23.5/32 at 131-28 (H: 132-18), heavy volumes (~640k traded). Around 55k traded just after 0100ET, vs avg volumes of <5k for that 20 min period.
  • Though at the time we reported that there was no clear catalyst, there is no shortage of broader factors to point to, adding to the broader reflationary theme ahead of next week's FOMC: some citing Aussie bond sell-off (which was also seen involved in the Feb 25 move); post-ECB disappointment on asset purchase rhetoric; retrospectively dour analysis of this week's Tsy auction results.
  • A light schedule today, with 0830ET seeing PPI data, and 1000ET UMich consumer sentiment.
  • No supply, with NY Fed buying ~$12.825B of 0-2.25Y Tsys.
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