Losses Continue Despite Decent 5yr Treasury Auction

Today's 5yr Treasury auction was respectable with the investors bidding 2.37 dollars for each dollar offered--perfectly matching the recent average for that statistic.  The yield award was slightly under the pre-auction expectation.  These are the sorts of stats that--at the very least--leave the door open for the bond market to improve if there's some latent buying demand chomping at the bit.  But in today's case, there was no visible reaction to the auction results.  In fact, yields ended up drifting sideways to slightly higher by the end of the day, all while maintaining an uncharacteristically high volume profile for a Monday.

Econ Data / Events

  • Fed MBS Buying 10am, 1130am, 1pm

  • Durable Goods 1.8 vs 0.7 f'cast, -0.1 prev
    Core Cap-Ex  05 vs 0.4 f'cast, 0.3 prev

Market Movement Recap
08:38 AM

Much weaker overnight with losses initially extending at the start of the domestic session.  Data and Fed speakers not helping.  10yr yield up 5bps at 1.50% and 2.5 UMBS down a quarter at 103-01 (103.03).

09:58 AM

Nice bounce back after 9:30am NYSE open with money flowing back into both sides of the market.  10yr yields now up only 2.2bps at 1.477 vs previous highs of 1.517.  MBS down less than an eighth after nearly 3/8ths earlier.  No overt catalysts.  EU bonds may be providing some guidance.

01:22 PM

Relatively good 5yr Treasury auction but no major reaction in the bond market.  Levels are right in line with the last update.