Today’s Market Update:

“Treasuries Drop, Futures Volumes Jump as 10-Year Breaches 2.89%

By Edward Bolingbroke

(Bloomberg) —

Treasuries extended losses in early New York trading amid a jump in futures volumes, with 10-year yield briefly moving above the 2.89% level that had capped losses earlier in session; peak of 2.895% was highest level this month; gilts outperformed following softer U.K. retail sales data.

  • U.S yields higher by 1bp to 2.3bp across the curve with losses led by 7-year to 10-year sectors; 2s10s curve steeper by almost 1bp, while 5s30s marginally flatter
  • Downside across Treasuries was extended after ~14k 10-year futures contracts traded over 1-minute period shortly after 6am ET in move to 119-27+ lows, pushing yields to the session high
  • Treasuries face $13b 10-year TIPS supply at 1pm ET; current WI around 0.780%, 15.4bp lower than prior auction stop-out
  • 3-month dollar Libor fixed -0.04bp at 2.34706%; muted front-end flows on the follow
  • U.S. economic calendar includes jobless claims, July Philadelphia Fed business outlook (8:30am ET) and leading index (10am)
  • Remarks from Fed’s Randal Quarles expected at 9am; James Bullard scheduled to speak Friday”

Two-year Notes are up 0.8 basis points at 2.618%, five-year Notes are up 0.9 basis points at 2.776%, and the benchmark 10-Year Bond is up 0.6 basis points at 2.875%.

Treasury Yields

Term  Current  Last Month
3 Month1.989%1.923%
6 Month2.157%2.121%
2 Year2.616%2.545%
5 Year2.776%2.770%
10 Year2.875%2.897%
30 Year2.987%3.032%
Yields updated each morning.
Source: Bloomberg

Benchmarks

PRIME5.00%
DJIA25,199.29
Crude Oil$68.24
YEN113.0748
Gold$1,213.64
1 Year CMT2.43%
1 Month LIBOR2.08175%
Fed Funds Effective1.91%
Next FOMC MeetingAugust 1, 2018
Source: Bloomberg

Economic Indicator Calendar

DateEventPeriodSurveyActualPrior
7/23/2018Chicago Fed Nat Activity IndexJunN/A-0.15
Existing Home SalesJun5.48m5.43m
Existing Home Sales MoMJun0.90%-0.40%
7/24/2018FHFA House Price Index MoMMayN/A0.10%
Markit US Manufacturing PMIJul P55.555.4
Markit US Services PMIJul PN/A56.5
Markit US Composite PMIJul PN/A56.2
Richmond Fed Manufact. IndexJul1820
7/25/2018MBA Mortgage Applications20-JulN/A-2.50%
New Home SalesJun670k689k
New Home Sales MoMJun-2.80%6.70%
7/26/2018Advance Goods Trade BalanceJun-$66.3b-$64.8b
Wholesale Inventories MoMJun PN/A0.60%
Initial Jobless Claims21-JulN/A207k
Continuing Claims14-JulN/A1751k
Retail Inventories MoMJunN/A0.40%
Durable Goods OrdersJun P2.90%-0.40%
Durables Ex TransportationJun P0.40%0.00%
Cap Goods Orders Nondef Ex AirJun PN/A0.30%
Cap Goods Ship Nondef Ex AirJun PN/A0.20%
Bloomberg Consumer Comfort22-JulN/A58.8
Kansas City Fed Manf. ActivityJulN/A28
7/27/2018GDP Annualized QoQ2Q A4.00%2.00%
Personal Consumption2Q AN/A0.90%
GDP Price Index2Q A2.40%2.20%
Core PCE QoQ2Q AN/A2.30%
U. of Mich. SentimentJul F97.397.1
Source: Bloomberg