Treasury Market Update

November 26th, 2013 11:39 am | by John Jansen |

The Treasury market is grinding higher with an auction of 5 year notes looming large on the horizon at 100PM NY time (the only time). Dealers report modest buying from clients and professional short covering as the proximate cause of the movement. One dealer posited that some of the move is front running of the month end extension and some is a result of the Fed’s buyback operation. The yield curve is flatter but only marginally flatter than when I wrote early this morning (in 5s 10s and 5s 30s). Similarly, the 10 year is richer versus the wings but only by 0.3 basis points and that fly rests just inside of 29 at 28.9 as I compose this electronic missive.

The WI is trading at 1.35 and at that level would not bring a reopening of the 1 3/8 November 18. While not a consummation devoutly to be wished if you are short the roll it is not exactly the apocalypse either but those shorts will have greater need for the WI and if we stay around these levels the auction might actually go better than anticipated.




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