USTs MIXED into month/years-end w/1st annual LOSS since 2013
Another year in the books and first, a few words from BBG describing what did / didn’t happen.
Beth Stanton tweeted EARLY
#TreasuriesToday 2021 wrap: 1st loss since 2013. 5Y led yields higher, peaking in Nov as sticky inflation pointed to rate hikes starting earlier. 10Y & 30Y peaked in March. Flattening drivers: Fed policy outlook, fading of vax-based economic optimism & duration as equity hedge.
7:45 AM · Dec 31, 2021
No denying yields were HIGHER and annual losses were logged. Some of the more popular kids were out saying past performance is all but a guarantee of the future,
BlackRock, Vanguard Gird for Another Year of Treasuries Losses
…“Our base case for 2022 is that growth and risk assets hold up and the market gets comfortable with the idea that the Fed tightens after the first quarter,” said Brian Quigley, senior portfolio manager at Vanguard Group. “That is moderately bearish for Treasuries.” Quigley sees yields on 10-year notes rising toward 2%, from 1.5% currently.
By days / weeks / months and years end, the folks at BBG offered,
Treasuries End Mixed After Heavy-Volume Rally Into Month-End
Treasuries ended the last day of 2021 mixed -- capping the first annual loss since 2013 -- with the curve flatter after the month-end index rebalancing at 1pm ET spurred 10- to 30-year yields to session lows. Futures volumes surged into the rebalancing, though for the cash market, Sifma recommended a 2pm close of trading.
30-year yield was lower by 1.4bp at 1.90% at 2pm after declining as much as 3.9bp, reaching session low 1.878% at 12:57pm; 10- year yield rebounded to little changed after falling 2.1bp to 1.488% at 12:54pm
Normally at 4pm, Bloomberg Treasury index rebalancing conformed to early futures settlement on final day of year
Treasury futures volumes were heaviest of the day at around 1pm; 106k 10-year contracts, 32.6k 5-year note contracts and 15k classic Bond contracts changed hands during the 1 minute before the hour; volumes during the last 5 minutes were highest in at least two weeks
Aggregate volume in Treasury futures during U.S. trading hours was 91% of the 20-day average level, but Ultra Bond contract volume was 130% of average; volume in eurodollar options was negligible
10- and 30-year yields ended near their 50-DMAs after bouncing around the trendlines since midweek, when weak demand for the year’s final Treasury auction pushed yields to highest levels of the month
Treasuries ended 2021 with a loss of about 2.5%, including a December loss of about 0.7% after the Fed announced a faster pace of asset- purchase tapering beginning in January and revised dot-plot of forecasts for fed funds target pointing to three hikes in 2022 and 2023
Fed purchases of Treasuries at tapered pace of $60b/month resume Jan. 3, and coupon auctions resume Jan. 11, when 3s/10s/30s cycle begins
Hardly a longer-term visual I’m used to but without a terminal, investing.com offering what seems to be not terrible filler of the void (still fussing with koyfin),
Frankly, I don’t see much more than a MONHTLY downtrend still well entrenched. Momentum in the longer term (MONTHLY) has become more neutral so maybe this IS the year bond bears have been hoping for. IF that is the case, PLEASE keep the correction in some sorta context.
HIGH and rising debt loads of the current non-productive ilk are NOT the ones of long-lasting inflationary and growth producing variety. In fact, I’d be willing to bet just the opposite. For more, see EPB Macro and stay tuned for HIMCOs next update.
Alas, bond bearish HOPE is not a strategy but it does sell newspapers.
Stay nimble and adjust the timeframe of your 'guesses’ and dart throwing, with that of your risk tolerance, and enjoy what is left of 2021!