@business editor for U.S. interest rates. Monitoring Treasuries, futures, TIPS since 1997. firstname.lastname@example.org or DM. Opinions mine & @compostmaven’s.
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Sep 9 • 10 tweets • 3 min read
Let's talk about how inflation is mucking up the size of the Fed's bond portfolio.
I did a story about it⬇️ but since you people apparently like threads, and we all strive to give the people what they want, here we go. 🧵
bloomberg.com/news/articles/… via @markets
Under the QT plan announced in May, the Fed June 1 started letting $30b a month of its Treasuries roll off. Meaning: it subtracted $30b from the total amount of maturing notes & bonds & reinvested the rest via auctions.
Sep 1 • 12 tweets • 2 min read
Let's talk about what happened in TIPS (inflation-protected #Treasuries) at the end of the US trading day yesterday. 🧵
What we *know* happened is that benchmark yields -- already higher on the day -- shot up quite a bit more between 3pm and 4pm, with the 5Y reaching a YTD high.
Aug 2 • 9 tweets • 3 min read
Let's talk about tomorrow's Treasury refunding announcement. This is where the Treasury Department announces the sizes of next week's 3Y, 10Y & 30Y auctions and, by convention, projects all coupon auction sizes for a three-month period, in this case Aug-Oct. 🧵
Related documents are housed here:
Let's talk about the big yield differentials that crop up for 5Y TIPS new-issue auctions, in April and October. It's been happening since the October new issue was introduced in 2019 (and I've tweeted about it before), but this time it's really spectacular. 🧵
The U.S. Treasury is selling $20b of 5Y TIPS on Thursday. They're trading on a notional basis at around -0.42%, about 23.5bp higher than the most recently issued 5-year TIPS, which came out in October. That's a lot! Let's unpack it.
Mar 25 • 11 tweets • 2 min read
Let's talk about unscheduled reopenings of Treasury securities, since we're on the cusp of a big one! 🧵
The U.S. Treasury sells each of its nominal coupon securities (2Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y) monthly.
For the 2Y-7Y, each monthly auction is normally a unique issue. For the 10Y-30Y, a unique issue is introduced quarterly in Feb, May, Aug and Nov & expanded via scheduled reopenings in the intervening months.
Oct 29, 2021 • 15 tweets • 3 min read
A Rant About Treasury Repo
I've kept this bottled up for a long time. 1/
Repo is a bugbear even for most financial journalists. Not just because the terminology can be confusing, but also because there's no detailed market data that's public. Let's break it down. 2/
Oct 27, 2021 • 7 tweets • 2 min read
This is a good day to discuss how Treasury auctions get graded based on the WI yield. In 7 tweets.
As noted, today's 5-year auction drew 1.157%, a yield about 2.5bp lower than the WI yield at the 1pm bidding deadline, a historically big miss and a sign that demand exceeded dealer expectations.
Oct 22, 2021 • 5 tweets • 1 min read
This is a good day to explain how specific TIPS breakeven inflation rates are calculated. 1/
For any given TIPS, the breakeven rate is normally the difference between its yield and the yield of the nominal Treasury with the closest maturity date. 2/
Oct 20, 2021 • 6 tweets • 1 min read
Time for a look at tomorrow's 5Y TIPS new-issue auction. $TIP #Treasuries 1/
The last couple of October 5Y TIPS auctions (in 2020 and 2019) went off at yields significantly lower than the yields on the previous issue, from April, despite maturing six months later. 2/
Aug 26, 2020 • 12 tweets • 2 min read
A thread about Treasury Index month-end duration extensions 1/
On the last business day of the month, usually at 3pm, bond indexes get rebalanced. Securities issued during the month that fit the index criteria get added, and ones that no longer fit (most notably, ones that mature in less than a year) come out. 2/