30Y Auction Results
Bond Yields Tumble
As we noted the concession build for the November refunding backed yields up to 6 month highs as the 30Y hit 1.76% and we aptly noted that the June highs came in right at that same level. We hope Magnelibra Econemotion readers understand the process by which we try to alleviate some of the complexity that’s inherent to financial markets. Today especially, the asset classes are driven by massive RV fund flows and algorithmic artificial intelligence that deciphers, decodes and unleashes in lightning speed millions of transactions across the globe. These flows tend to lead to one off asymmetrical moves that can go a lot further than many realize and can appropriately risk adjust for. It is one of the reasons we do not participate in the microsecond world and would rather take a longer holistic overall market encompassing approach.
Anyway today we saw a chunky 30Y bond auction, by chunky $27 Billion in long duration bonds the largest ever auction by the US Treasury in this duration.
Auction stopped at 1.680%, tailing the WI by 0.6bps (highest yield since February 2020) Ahh the good ole days of playing the tails, free money we used to say as US Treasury arbs!
Bid to Cover of 2.292 (right near 2.30 last 6-mos avg.)
In-directs took down 61.9%, just below last month's 62.0%
Directs took down 16.5%
Dealers were left holding 21.6% of the auction. (which they will gladly flip back to the FED in due course)
Quick check on the US Govt Bond Market now shows long end yields tumbling 9.7 basis points and the US Govt 10Y back below 0.90% (Tradingview.com)
We do pride ourselves in our analytics and the work we have done developing this program, as always our goal is to present the tracker as our sentiment for the markets we cover and shed some light on how we actually navigate things from the long/short/neutral perspective. We feel our cross asset sector correlation model is superior to a general CTA trend model and thus offers us the type of dynamic flexibility required in today’s algo-driven market.
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-Magnelibra Econemotions
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