23 November 2001, 12:51 U.S. Treasury prices went into a virtual free-fall
U.S. Treasury prices went into a virtual free-fall after initial
jobless claims data came in down 15K, indicating the economic situation
is not as dire as the market had priced in. Later, the November
University of Michigan consumer confidence index served to support the
positive outlook, coming in at 83.9 vs the preliminary reading of 83.5
and the Oct. release of 82.7. The reaction in benchmark treasuries was
immediate and furious. Cash treasuries got hit across the curve.
However, trading was characterized as exaggerated and illiquid in
pre-Thanksgiving action, ahead of an early close Wednesday. The 11:30
a.m. announcement of an upsized ($21.0 billion) 2Y note auction was
greeted with little to no reaction. The auction takes place next
Wednesday, Nov 28. Despite a modest comeback, treasury yields ended
considerably higher across the curve on a 3:00 p.m. to 1:00 p.m. basis.
The 2Y yield was up by 14.8 basis points to end at 3.089%. The 5Y yield
rose 13.3 basis points to end at 4.317%. The 10Y yield added 10.5 basis
points to end at 4.972%. The 30Y yield rose 4.5 basis points to end at
5.357%.
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