ECONOMIC DATA 03/25/2009: all times EST
8:30 AM US DURABLE GOODS ORDERS (-2.0)
10:00 AM NEW HOME SALES (315,000)
10:35 AM-EIA INVENTORY NUMBERS
1:00 PM 5 YEAR NOTE AUCTION
ECONOMIC DATA 03/24/09 10:00 AM STATE STREET INVEST CONF INDEX (70.0 vs. 72.9) US 2 YEAR NOTE AUCTION ($40 B) (BID TO COVER 2.71 VS. FEB 2.63, YIELD 0.94%)
U.S. TREASURIES EXPERIENCE VOLATILE SESSION. MARKETS MOSTLY DOWN DESPITE WELL RECEIVED TWO-YEAR AUCTION. LONG END OF CURVE SPIKES AFTER FED ANNOUNCES BUYING OF TREASURIES BEGINS TOMORROW.
U.S. Treasuries posted a mostly weaker session, with 30-year futures dropping nearly two points at one point, as equities managed to hold onto a strong portion of Monday’s gains throughout most of their session. The strong drop in Treasury prices occurred despite better than expected results from the $40 billion auction of US 2 year notes on Tuesday. Bid to cover ratio came in at 2.71-the highest level for 2009 in 2 year notes. Yield from the auction came in at a respectable 0.94%.
It was somewhat of a surprise that Treasuries began to trail off to their lows of the session after what seemed to be a positive start for this week’s auction results. The weakening of the markets was likely driven by a number of key factors equities holding onto the majority of their gains, a lack of participation by the Federal Reserve in the auction (markets questioning when will the buying support begin), and sentiment that the current level of Treasuries, boosted by last Wednesday’s record jump, is high enough to reflect any positive auction results. The influence of the Fed participation did make its presence known as 30-year futures rallied nearly three full handles off of their lows after the Federal Reserve announce that it would begin buying Treasuries on Wednesday as part of its plan to take on over a trillion dollars onto its balance sheet in order to stabilize the economy. While the markets did pull back from the Fed spike, expect volatility to be high on Wednesday. The market will also be looking for follow through results from a record U.S. five-year auction.
Technically, June 30-year futures broke near term support at 126.290 before the spike back to 129.050. Expect momentum to remain volatile for the near term. Resistance should remain in place at 131.190.
US DEBT FUTURES
OPEN
HIGH
LOW
CLOSE
CHANGE
US M9 (US 30 YRS)
128.110
129.115
126.245
129.040
+16.5/32nds
TY M9 (US 10 YRS)
124.065
124.110
123.145
124.060
-08/32nds
Prepared by Rich Roscelli & Paul Brittain.
Past performance is not indicative of future results. The information and data in this report were obtained from sources considered reliable. Their accuracy or completeness is not guaranteed and the giving of the same is not to be deemed as an offer or solicitation on our part with respect to the sale or purchase of any securities or commodities.
