Sept 25. Bonds continue to rebound…
–All one-yr euro$ calendar spreads made new recent lows as yields fell across the board. EDU15/U16 closed at 105, down 4 on the day. (This and EDZ5/Z6 are the highest points on the curve). It had spiked as low as 103 on FOMC day. Ten year yield fell over 6 bps to 265. Red/gold euro$ pack spread fell nearly 11 bps to 274. EDZ15/EDZ17 spread was sold 50k yesterday, settled 7 bps lower at 196.
–Note on ZeroHedge warns that employment data (one week from Friday) could be delayed due to a gov’t shutdown.
–From CNSnews: Revenues from state and local individual income taxes, general sales and gross receipt taxes, motor fuel taxes, motor vehicle taxes and taxes on alcoholic beverages each hit all-time highs in the second quarter of this year, according to data released today by the Census Bureau. I suppose that could be construed as good news if the economy were booming, but likely it’s due to higher tax rates…siphoning money away from consumption?
–News today includes Durables expected -0.5 from last month’s very weak -7.3. New Home Sales for August expected 425k. Five year note auction.
–The very front of the curve was just a touch weak going into the end of the session yesterday. I would attribute that to pressure associated with long calendar spread exits and somewhat soft two year auction. Libor setting has been grinding lower for the past couple of months.
–From Dallas Fed head Fisher yesterday, quoting his disagreement with the non-taper decision, “Doing nothing at this meeting would increase uncertainty about the future conduct of policy and call the credibility of our communications into question.” I believe that is exactly what has occurred, though I take no pleasure in saying so.
