Bond prices to fall?

[flow5]

5 year & longer dated securities hit 2013 lows today.

www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield

Vt is the unknown (but the currency-deposit ratio is falling). Wouldn’t take much of an increase in money’s turnover to lower bond prices (at least until July).

The Fed is purchasing longer-dated securities but prices are now starting to fall regardless. I.e., the effective FFR is moving up.

www.newyorkfed.org/markets/omo/dmm/fedfundsdata.cfm

www.newyorkfed.org/markets/ambs/ambs_schedule.html

TREASURIES:

The Desk plans to purchase approximately $45 billion in Treasury securities over the month of March

MORTGAGE BACKED SECURITIES:

The Desk plans to purchase $40 billion in additional agency MBS over the month of March. <o:p

The Desk will release the amount of additional planned purchases for April 2013 at 2 p.m. on March 29, 2013.

 

[flow5]

date

daily1 [XML]

Effective daily FFR headed higher? .16%+++

www.newyorkfed.org/markets/omo/dmm/fedfundsdata.cfm

[Aman A.K.A. Ahamburger]

Too funny, you read my mind flow I was going to update the corporate bonds thread on here to just talk about bonds.  BiMetal and I were chatting a bit about this.  Isn't the market a bit toppy for the time being? I mean, Time to take some profits on stocks? Great rotation? Advisers buying bonds to adjust asset mix.  A 10 yr note at 2.05% these last few years would have fetched 115.  If there is a correction 99.50 on a 10yr is going to look very cheap....  Interests rates do have to stay low for 2013 for sure to keep the housing market on track while the new taxes and budget cuts take hold.

[flow5]

I've always watched reserves & bank debits. Middle of March to 5/1 (bank squaring day), bonds could rise on a seasonally adjusted basis. They almost always do. But this is scalping, not trading. The odds are much better after June to buy bonds.

30 yr rates were @ 3.01% on 1/16/2013, then have climbed to 3.26% on 3/11/2013.

Bernanke's "expectation hypothesis: theory that long-term interest rates equal the average of expected short-term interest rates over the same period plus a term premium"

Long-term interest rates actually represent the 24 month moving average of money flows-MVt (the proxy for inflation). I.e., smoothing works as Vt percolates. And it's been proportional to the length of time interest rates move in the same direction.

So, to be sure, I'd side-step any purchase of longer dated securities until June:

2013-01 ,,,,,,, 0.025
2013-02 ,,,,,,, 0.025
2013-03 ,,,,,,, 0.024
2013-04 ,,,,,,, 0.023
2013-05 ,,,,,,, 0.024
2013-06 ,,,,,,, 0.023 safe entry
2013-07 ,,,,,,, 0.019
2013-08 ,,,,,,, 0.013
2013-09 ,,,,,,, 0.012

[flow5]

Selected Interest Rates (Daily) - H.15

Daily Update

Release Date: March 15, 2013

The weekly release is posted on Monday. Daily updates of the weekly release are posted Tuesday through Friday on this site. If Monday is a holiday, the weekly release will be posted on Tuesday after the holiday and the daily update will not be posted on that Tuesday.

March 15, 2013
Selected Interest Rates

Yields in percent per annum

Instruments	2013 Mar 11	2013 Mar 12	2013 Mar 13	2013 Mar 14
Federal funds (effective) 1 2 3	0.16	0.15	0.14	0.15
Commercial Paper 3 4 5 6
Nonfinancial
1-month	0.12	0.12	0.12	0.12
2-month	0.15	0.14	0.15	0.14
3-month	0.19	0.15	0.17	0.16
Financial
1-month	0.11	0.13	0.10	0.08
2-month	0.15	0.15	0.14	0.13
3-month	0.17	0.17	0.17	0.17
CDs (secondary market) 3 7
1-month	0.18	0.18	0.18	0.18
3-month	0.21	0.21	0.21	0.21
6-month	0.27	0.27	0.28	0.28
Eurodollar deposits (London) 3 8
1-month	0.23	0.23	0.23	0.23
3-month	0.28	0.28	0.28	0.28
6-month	0.44	0.44	0.44	0.44
Bank prime loan 2 3 9	3.25	3.25	3.25	3.25
Discount window primary credit 2 10	0.75	0.75	0.75	0.75
U.S. government securities
Treasury bills (secondary market) 3 4
4-week	0.09	0.10	0.09	0.08
3-month	0.10	0.10	0.09	0.10
6-month	0.12	0.12	0.12	0.12
1-year	0.15	0.15	0.15	0.15
Treasury constant maturities
Nominal 11
1-month	0.09	0.10	0.09	0.08
3-month	0.10	0.10	0.09	0.10
6-month	0.12	0.12	0.12	0.12
1-year	0.15	0.15	0.15	0.15
2-year	0.27	0.27	0.27	0.27
3-year	0.43	0.41	0.42	0.42
5-year	0.90	0.88	0.89	0.88
7-year	1.43	1.40	1.41	1.40
10-year	2.07	2.03	2.04	2.04
20-year	2.89	2.85	2.85	2.87
30-year	3.26	3.22	3.22	3.25
Inflation indexed 12
5-year	-1.38	-1.39	-1.40	-1.43
7-year	-0.91	-0.92	-0.92	-0.94
10-year	-0.50	-0.52	-0.52	-0.53
20-year	0.27	0.25	0.24	0.25
30-year	0.67	0.65	0.65	0.67
Inflation-indexed long-term average 13	0.20	0.18	0.18	0.18
Interest rate swaps 14
1-year	0.31	0.31	0.32	0.32
2-year	0.40	0.39	0.40	0.40
3-year	0.55	0.54	0.55	0.56
4-year	0.78	0.76	0.77	0.78
5-year	1.05	1.02	1.03	1.04
7-year	1.56	1.53	1.55	1.56
10-year	2.13	2.11	2.12	2.14
30-year	3.10	3.08	3.09	3.10
Corporate bonds
Moody's seasoned
Aaa 15	4.02	3.98	3.98	4.01
Baa	4.94	4.90	4.89	4.92
State & local bonds 16				4.00
Conventional mortgages 17				3.63

[/table][/ul]

Footnotes

1. The daily effective federal funds rate is a weighted average of rates on brokered trades.

2. Weekly figures are averages of 7 calendar days ending on Wednesday of the current week; monthly figures include each calendar day in the month.

3. Annualized using a 360-day year or bank interest.

4. On a discount basis.

5. Interest rates interpolated from data on certain commercial paper trades settled by The Depository Trust Company. The trades represent sales of commercial paper by dealers or direct issuers to investors (that is, the offer side). The 1-, 2-, and 3-month rates are equivalent to the 30-, 60-, and 90-day dates reported on the Board's Commercial Paper Web page (www.federalreserve.gov/releases/cp/).

6. Financial paper that is insured by the FDIC's Temporary Liquidity Guarantee Program is not excluded from relevant indexes, nor is any financial or nonfinancial commercial paper that may be directly or indirectly affected by one or more of the Federal Reserve's liquidity facilities. Thus the rates published after September 19, 2008, likely reflect the direct or indirect effects of the new temporary programs and, accordingly, likely are not comparable for some purposes to rates published prior to that period.

7. An average of dealer bid rates on nationally traded certificates of deposit.

8. Source: Bloomberg and CTRB ICAP Fixed Income & Money Market Products.

9. Rate posted by a majority of top 25 (by assets in domestic offices) insured U.S.-chartered commercial banks. Prime is one of several base rates used by banks to price short-term business loans.

10. The rate charged for discounts made and advances extended under the Federal Reserve's primary credit discount window program, which became effective January 9, 2003. This rate replaces that for adjustment credit, which was discontinued after January 8, 2003. For further information, see www.federalreserve.gov/boarddocs/press/bcreg/2002/200210312/default.htm. The rate reported is that for the Federal Reserve Bank of New York. Historical series for the rate on adjustment credit as well as the rate on primary credit are available at www.federalreserve.gov/releases/h15/data.htm.

11. Yields on actively traded non-inflation-indexed issues adjusted to constant maturities. The 30-year Treasury constant maturity series was discontinued on February 18, 2002, and reintroduced on February 9, 2006. From February 18, 2002, to February 9, 2006, the U.S. Treasury published a factor for adjusting the daily nominal 20-year constant maturity in order to estimate a 30-year nominal rate. The historical adjustment factor can be found at www.treasury.gov/resource-center/data-chart-center/interest-rates/. Source: U.S. Treasury.

12. Yields on Treasury inflation protected securities (TIPS) adjusted to constant maturities. Source: U.S. Treasury. Additional information on both nominal and inflation-indexed yields may be found at www.treasury.gov/resource-center/data-chart-center/interest-rates/.

13. Based on the unweighted average bid yields for all TIPS with remaining terms to maturity of more than 10 years.

14. International Swaps and Derivatives Association (ISDA®) mid-market par swap rates. Rates are for a Fixed Rate Payer in return for receiving three month LIBOR, and are based on rates collected at 11:00 a.m. Eastern time by Garban Intercapital plc and published on Reuters Page ISDAFIX®1. ISDAFIX is a registered service mark of ISDA. Source: Reuters Limited.

15. Moody's Aaa rates through December 6, 2001, are averages of Aaa utility and Aaa industrial bond rates. As of December 7, 2001, these rates are averages of Aaa industrial bonds only.

16. Bond Buyer Index, general obligation, 20 years to maturity, mixed quality; Thursday quotations.

17. Contract interest rates on commitments for fixed-rate first mortgages. Source: Primary Mortgage Market Survey® data provided by Freddie Mac.

Note: Weekly and monthly figures on this release, as well as annual figures available on the Board's historical H.15 web site (see below), are averages of business days unless otherwise noted.

Current and historical H.15 data are available on the Federal Reserve Board's web site (www.federalreserve.gov/). For information about individual copies or subscriptions, contact Publications Services at the Federal Reserve Board (phone [phone], fax [phone]).

Description of the Treasury Nominal and Inflation-Indexed Constant Maturity Series

Yields on Treasury nominal securities at “constant maturity” are interpolated by the U.S. Treasury from the daily yield curve for non-inflation-indexed Treasury securities. This curve, which relates the yield on a security to its time to maturity, is based on the closing market bid yields on actively traded Treasury securities in the over-the-counter market. These market yields are calculated from composites of quotations obtained by the Federal Reserve Bank of New York. The constant maturity yield values are read from the yield curve at fixed maturities, currently 1, 3, and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. This method provides a yield for a 10-year maturity, for example, even if no outstanding security has exactly 10 years remaining to maturity. Similarly, yields on inflation-indexed securities at “constant maturity” are interpolated from the daily yield curve for Treasury inflation protected securities in the over-the-counter market. The inflation-indexed constant maturity yields are read from this yield curve at fixed maturities, currently 5, 7, 10, and 20 years.

<!-- END OF DATA AND FOOTNOTES --><!-- ############################################################################-->

Last update: March 15, 2013

[flow5]

Money Rates
online.wsj.com/mdc/public/page/2_3020-moneyrate.html?mod=mdc_bnd_pglnk

Find Historical Data | WHAT'S THIS?

Friday, March 15, 2013

Inflation

GO TO: International Rates | U.S Government rates | Secondary Market | Other short-term rates | Weekly Survey

U.S. consumer price index
% CHG FROM
	Feb. index level	Jan. '13	Feb. '12
All items	232.166	0.82	1.2
Core	232.432	0.35	2.0

International rates

GO TO: Inflation | U.S Government rates | Secondary Market | Other short-term rates | Weekly Survey

Prime rates[ U.S. Effective Date: 12/16/2008 ]
	Latest	Wk ago	High	Low
U.S.	3.25	3.25	3.25	3.25
Canada	3.00	3.00	3.00	3.00
Euro zone	0.75	0.75	1.00	0.75
Japan	1.475	1.475	1.475	1.470
Switzerland	0.50	0.50	0.54	0.50
Britain	0.50	0.50	0.51	0.50
Australia	3.00	3.00	4.25	3.00
Overnight repurchase
	Latest	Wk ago	High	Low
U.S.	0.19	0.19	0.45	0.06
Euro zone	0.02	0.02	0.22	0.01

U.S. government rates

GO TO: Inflation | International Rates | Secondary Market | Other short-term rates | Weekly Survey

Discount [ Effective Date: 2/19/2010 ]
	Latest	Wk ago	High	Low
	0.75	0.75	0.75	0.75
Federal funds [ Effective Date: 12/16/2008 ]
	Latest	Wk ago	High	Low
Effective rate	0.16	0.17	0.19	0.11
Target rate	0-0.25	0-0.25	0-0.25	0-0.25
High	0.3125	0.2700	0.5160	0.1875
Low	0.1000	0.1100	0.1600	0.0200
Bid	0.1400	0.1000	0.2500	0.0200
Offer	0.1600	0.2800	0.2800	0.1000
Treasury bill auction [ Auction Date: 3/15/2013 ]
	Latest	Wk ago	High	Low
4 weeks	0.100	0.085	0.175	0.015
13 weeks	0.095	0.110	0.125	0.040
26 weeks	0.115	0.120	0.160	0.090

Secondary Market

GO TO: Inflation | International Rates | U.S Government rates | Other short-term rates | Weekly Survey

Freddie Mac
30-year mortgage yields
	Latest	Wk ago	High	Low
30 days	n.a.	n.a.	3.63	1.59
60 days	n.a.	n.a.	3.69	1.68

Fannie Mae
30-year mortgage yields
	Latest	Wk ago	High	Low
30 days	3.242	3.216	3.680	2.635
60 days	3.277	3.251	3.719	2.680
Bankers acceptance
	Latest	Wk ago	High	Low
30 days	0.23	0.23	0.23	0.19
60 days	0.28	0.28	0.28	0.19
90 days	0.28	0.28	0.28	0.25
120 days	0.33	0.33	0.38	0.33
150 days	0.38	0.38	0.38	0.33
180 days	0.38	0.38	0.53	0.38

Other short-term rates

GO TO: Inflation | International Rates | U.S Government rates | Secondary Market | Weekly Survey

Call money [ Effective Date: 12/16/2008 ]
	Latest	Wk ago	High	Low
	2.00	2.00	2.00	2.00
Commercial paper
	Latest	Wk ago	High	Low
30 to 44 days	0.05	...	...	...
45 to 59 days	0.07	...	...	...
60 to 89 days	0.11	...	...	...
90 to 119 days	0.12	...	...	...
120 to 149 days	0.17	...	...	...
150 to 179 days	0.18	...	...	...
180 to 270 days	0.22	...	...	...
Commercial paper (AA financial)
	Latest	Wk ago	High	Low
90 days	0.17	0.16	0.37	0.06
Euro commercial paper
	Latest	Wk ago	High	Low
30 day	0.01	0.01	0.24	0.01
Two month	0.01	0.01	0.01	0.01
Three month	0.07	0.07	0.33	0.02
Four month	0.11	0.11	0.40	0.03
Five month	0.13	0.13	0.50	0.06
Six month	0.16	0.16	0.60	0.13
London interbank offered rate, or Libor
	Latest	Wk ago	High	Low
One month	0.20320	0.20220	0.24875	0.19820
Three month	0.28010	0.28010	0.47415	0.27960
Six month	0.44490	0.44740	0.74090	0.44490
One year	0.73100	0.73350	1.07120	0.72900
Libor Swaps (USD)
	Latest	Wk ago	High	Low
Two year	0.394	0.403	0.666	0.354
Three year	0.533	0.553	0.880	0.422
Five year	0.987	1.047	1.455	0.736
Ten year	2.086	2.138	2.454	1.542
20 year	2.894	2.928	3.057	2.116
30 year	3.081	3.110	3.182	2.252
Euro Libor
	Latest	Wk ago	High	Low
One month	0.05786	0.05571	0.38929	0.05143
Three month	0.12714	0.12571	0.75286	0.12071
Six month	0.22429	0.22571	1.11000	0.21429
One year	0.43214	0.43000	1.47214	0.42643
Euro interbank offered rate
	Latest	Wk ago	High	Low
One month	0.118	0.118	0.458	0.107
Three month	0.204	0.201	0.853	0.024
Six month	0.326	0.324	1.158	0.316
One year	0.543	0.541	1.495	0.537
Hibor
	Latest	Wk ago	High	Low
One month	0.208	0.217	0.304	0.208
Three month	0.381	0.383	0.404	0.381
Six month	0.535	0.535	0.580	0.535
One year	0.844	0.845	0.899	0.841
DTCC GCF Repo Index
	Latest	Value traded (billions)	High	Low
Treasury	0.211	140.754	0.526	0.051
MBS	0.241	75.188	0.647	0.094
DTCC GCF Repo Index Futures
		Settle	Change	Open Interest	Implied Rate
Treasury Mar	99.828	0.002	14,745	0.172
Treasury Apr	99.860	0.005	8,628	0.140
Treasury May	99.875	0.005	10,813	0.125

Eurodollars (mid rates)
	Offer	Bid	Wk ago	High	Low
One month	0.12	0.25	0.19	0.23	0.19
Two month	0.12	0.25	0.19	0.28	0.19
Three month	0.20	0.30	0.25	0.28	0.25
Four month	0.30	0.45	0.38	0.38	0.33
Five month	0.25	0.40	0.33	0.38	0.33
Six month	0.45	0.60	0.53	0.53	0.38

Notes on data:
U.S. prime rate is effective December 16, 2008. Discount rate is effective February 19, 2010. U.S. prime rate is the base rate on corporate loans posted by at least 70% of the 10 largest U.S. banks; Other prime rates aren't directly comparable; lending practices vary widely by location; Discount rate is the charge on loans to depository institutions by the New York Federal Reserve Banks; Federal-funds rate is on reserves traded among commercial banks for overnight use in amounts of $1 million or more; Call money rate is the charge on loans to brokers on stock-exchange collateral; Commercial Paper (AA financial) is from the Federal Reserve and is presented with a one-day lag. Libor is the British Bankers' Association average of interbank offered rates for dollar deposits in the London market; Libor Swaps quoted are mid-market, semi-annual swap rates and pay the floating 3-month Libor rate. DTCC GCF Repo Index is Depository Trust & Clearing Corp.'s weighted average for overnight trades in applicable CUSIPs. Value traded is in billions of U.S. dollars. Futures on the DTCC GCF Repo Index are traded on NYSE Liffe US.

Source: Federal Reserve; Bureau of Labor Statistics; DTCC; SIX Financial Information; General Electric Capital Corp.; ICAP plc; Tullett Prebon Information, Ltd.

Weekly survey

GO TO: Inflation | International Rates | U.S Government rates | Secondary Market | Other short-term rates

Thursday, March 14, 2013

Freddie Mac
	Latest	Wk ago	Year ago
30-year fixed	3.63	3.52	3.92
15-year fixed	2.79	2.76	3.16
Five-year ARM	2.61	2.63	2.83
One-year ARM	2.64	2.63	2.79

Source: Freddie Mac

[flow5]

We're almost past the 1st contractionary inflection point on 3/20 for this year. The interbank market (effective FFR) has been tightening as reserves are being drained - but traders (primary dealers) are already anticipating a rally during the next bi-weekly reserve maintenance period.

From the middle of March until the next contractionary inflection point on 5/1 (bank squaring day), bonds should rise on a seasonally adjusted basis (as the volume of RRs almost always rises during this period).

The odds are much better to buy bonds in June (after the 2nd yearly contractionary period of 2013 passes).