The Day Ahead: 10yr Auction and Fed Speakers Galore
Several instances of Fed-Speak fell on deaf ears Tuesday as did any directional suggestions made by scheduled data and events. Markets were set up to go either way and indeed acted the part in the overnight session. 10yr yields rose in Asian trading hours and caught some support into the European.
Uptrends and downtrends consolidated in an almost perfectly triangular pattern before finally breaking lower in yield, apparently on the general topic of "Spanish concerns." We rarely look at overnight trading action unless it's particularly high volume, but in this case, it was technically gorgeous. Take a look at the "triangle" of consolidating trends:
As seen in the chart, 10's were in rally mode for the better part of the day, pushing down for one last hurrah during the 2nd leg of Fed Twist Buying just after the 3yr Treasury auction. As feared/expected, things moderated after that second buyback, but the damage was relatively inconsequential for Treasuries. 10's retained 2/3rds of the days gains while MBS gave about 2/3rds back during the first part of their correction, but found solid support from there on out. (note: the following chart is of the now-retired April coupons. May coupons closed around 103-13).
Today brings a much more important 10yr Note Auction at 1pm follwed by the Fed's Beige Book at 2pm. Potentially meaningful economic data in the morning is limited to Import/Export Prices at 830am. Apart from the data and the auction, Fed speakers dot the calendar in unfathomable density. Seriously, there's a lot of Fed-Speak!
0730am Lockhart (voter)
0820am Lockhart again
0930am George (non-voter)
1030am Rosengren (non-voter)
0500pm Bullard (non-voter)
0530pm Yellen (voter)
Unlike yesterday, which had TWO, today sees no scheduled Twist buying from the Fed and instead just gets short end Twist selling (7/12-1/13 maturity range) as well as the need to take down $21 bln in 10yr notes after rallying 30bps in 5 days--no small task. If things move weaker, mid 2.06's are key in terms of support or at least in terms of acting as an early warning sign of potentially shifting trends. Major support levels for MBS are just under foot at 103-10 and again near 103-00 (103-02 and 102-30 stand out).
|
Week Of Mon, Apr 9 2012 - Fri, Apr 13 2012 |
||||||
|
Time |
Event |
Period |
Unit |
Forecast |
Prior |
Actual |
|
Mon, Apr 9 |
||||||
|
08:30 |
Midwest manufacturing |
Feb |
-- |
-- |
90.1 |
91.7 |
|
Tue, Apr 10 |
||||||
|
10:00 |
Wholesale inventories mm |
Feb |
% |
+0.5 |
+0.4 |
+0.9 |
|
10:00 |
Wholesale sales mm |
Feb |
% |
+0.7 |
-0.1 |
+1.2 |
|
13:00 |
3-Yr Note Auction |
-- |
-- |
-- |
-- |
-- |
|
Wed, Apr 11 |
||||||
|
07:00 |
Mortgage market index |
w/e |
-- |
-- |
695.7 |
-- |
|
07:00 |
Mortgage refinance index |
w/e |
-- |
-- |
3576.8 |
-- |
|
08:30 |
Import prices mm |
Mar |
% |
+0.8 |
+0.4 |
-- |
|
08:30 |
Export prices mm |
Mar |
% |
+0.4 |
+0.4 |
-- |
|
13:00 |
10-yr Note Auction |
-- |
-- |
-- |
-- |
-- |
|
14:00 |
Federal budget |
Mar |
bl |
-201.5 |
-232.0 |
-- |
|
12:00 |
Beige Book |
|
||||
|
Thu, Apr 12 |
||||||
|
08:30 |
International trade mm $ |
Feb |
bl |
-52.0 |
-52.6 |
-- |
|
08:30 |
Producer prices mm |
Mar |
% |
+0.3 |
+0.4 |
-- |
|
08:30 |
Producer prices, core yy |
Mar |
% |
+2.8 |
+3.0 |
-- |
|
08:30 |
Producer prices, core mm |
Mar |
% |
+0.2 |
+0.2 |
-- |
|
08:30 |
Initial Jobless Claims |
w/e |
k |
355 |
357 |
-- |
|
08:30 |
Continued jobless claims |
w/e |
ml |
3.34 |
3.338 |
-- |
|
13:00 |
30-Yr Bond Auction |
-- |
-- |
-- |
-- |
-- |
|
Fri, Apr 13 |
||||||
|
08:30 |
Consumer Price Index (CPI) |
Mar |
% |
+0.3 |
+0.4 |
-- |
|
08:30 |
CPI year-over-year |
Mar |
% |
+2.7 |
+2.9 |
-- |
|
08:30 |
Excluding Food/Energy (Core CPI) |
Mar |
% |
+0.2 |
+0.1 |
-- |
|
08:30 |
Core CPI year-over-year |
Mar |
% |
+2.2 |
+2.2 |
-- |
|
08:30 |
Real weekly earnings mm |
Mar |
% |
-- |
-0.3 |
-- |
|
09:55 |
U.Mich sentiment |
Apr |
-- |
76.2 |
76.2 |
-- |
|
09:55 |
U Mich conditions |
Apr |
-- |
86.0 |
86.0 |
-- |
|
09:55 |
U.Mich expectation |
Apr |
-- |
69.6 |
69.8 |
-- |