Questionable Rotation Advisory (QRA)
July 29, 2024
*************
–Yields fell on Friday, with the 5y leading, down over 6 bps to 4.08%. This morning 2 and 5 yrs are at new low yields for the move. Twos are just under 4.37% having been over 5.03 at the time of the last Treasury Quarterly Refunding announcement. The low yield this year was set in January at 4.145%. Fives are currently 4.046%, high of the year at last QRA was 4.72%. The low of the year in the 5y was 3.81%, set on February 1, just after the January 31 QRA. I didn’t read the Roubini and Miran paper on treasury market manipulation, but it’s remarkably coincidental that highs and lows in 2’s and 5’s occur at these exact moments. Treasury borrowing estimate released today, schedule of issuance on Wednesday. Image of 5y attached
https://www.reuters.com/markets/us/hedge-fund-study-us-treasury-issuance-fuels-debate-2024-07-26
–FOMC Wednesday. BOJ also Wed. BOE Thursday.
