History suggests that Fed/ECB meetings in June are more than up to the task of causing significant volatility in bond markets. It also suggests that summertime Mondays often turn into unofficial 3-day weekends. Both options are still on the table for this week as today just passed without any fanfare whatsoever.
Yields were slightly higher in the overnight session, but notably opted to hold their ground against a weaker performance in European bond markets and a stronger showing in domestic stocks. Bonds hit the 3pm CME close right in line with opening levels but made modest gains in the after hours session.
The only events of note were the Treasury auctions and they were far from notable. The net effect was only visible in terms of the yield curve where longer-term bonds outperformed shorter-dated maturities. In other words, 2 and 10yr yields moved closer together. This started with the 11:30am 3yr auction and continued after the 1pm 10yr auction.
Bottom line: bonds hit snooze, but retain every right to wake up in a panic (for better or worse) as the rest of the week’s data and events roll out.
MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
101-20 : +0-01
2.9516 : +0.0166
|Pricing as of 6/11/18 4:16PMEST|
Today’s Reprice Alerts and Updates
1:13PM : Little-Changed After Decent 10yr Auction
10:48AM : Holding at Slightly Weaker Levels, Unlike Europe
MBS Live Chat Highlights
Matthew Graham : “not with these stats”
Sung Kim : “did the auction really matter today?”
Matthew Graham : “B”
Matthew Graham : “RTRS – PRIMARY DEALERS TAKE 27.7 PCT OF U.S. 9-YEAR 11-MONTH NOTES SALE, DIRECT 16.26 PCT AND INDIRECT 56.03 PCT”
Matthew Graham : “RTRS – U.S. 9-YR 11-MO NOTES BID-TO-COVER RATIO 2.59, NON-COMP BIDS $10.84 MLN”
Matthew Graham : “RTRS – U.S. SELLS $22 BLN 9-YR 11-MO NOTES AT HIGH YIELD 2.962 PCT, AWARDS 45.03 PCT OF BIDS AT HIGH”
Matthew Graham : “10yr Auction Preview: Bit to cover has been in the 2.46-2.56 range. The current yield expectation is 2.963 and this type of auction tends to come in about 0.2bps above expectations (i.e. 2.965% adjusted estimate). Indirects have ranged from 53% to 66%.”
Matthew Graham : “Decoder ring for my next post: Treasury Auction Jargon, Definition, and Significance “