Still have the privilege of seeing this sort of commentary and given lack of data (only supply today of consequence), I thought I’d share. This desk leads with a few topical bullets and reposts from previous days where this one seems particularly relevant
Bloomberg estimates the following duration extensions for Jan. 1 as of Dec. 20: U.S. Treasury: 0.06yr / U.S. MBS: 0.11yr / U.S. TIPS (Series-L real): -0.04yr
They move on to what did / didn’t happen overnight in the markets in as far as flows to know,
A light-touch overnight session leaves USTs modestly flatter ahead of the 2-year auction, risk-assets slightly bouyant (ES futures +14pts) though industrial commodities are struggling (CL -1.3%, EUR nat gas ~10% lower) against a slightly stronger DXY (+0.2%). EGB core market are just barely underperforming here at 7am (10y bunds to -24bps). Sadly, no meaningful flows have been reported, TY futures trading approximately 48% of the 30d average volume at this time.
Oddly enough, 48% seems quite robust for this time of year … embrace it and move along where they note,
… 10s and bonds still stuck in the gravity well that has been their respective 50dmas (1.487%, 1.892%, respectively) the last 5-sessions. Fundamentally, last Wednesday's hotter data releases likely leaves Fed officials on pace for a March vs June rate hike discussion early next year, with little data of consequence out this week. Today's modestly down-sized (-2bn) 2-year auction may be educational in regard to how end-user demand is evolving alongside auction size reduction, but the probable lack of market participation should keep observers viewing px-action / bidding stats with a skeptical gaze. Technically, developing trend opportunities remain in 10s30s curve (steeper, over time), in 2s5s curve (flatter, over time) and in 2s5s10s (lower, over time), which we'll update in our attachments today with the weekly chart time-frames.
Here’s just ONE of the aforementioned visuals — 5s vs 2s10s