Today's Treasury Announcement is nearly identical to the May 21 ammouncement in terms of offering size, and the instruments are the same, the 2 Yr, 5 Yr, 7 Yr notes.
The impact from the May 21 Announcement to the end of the auction on May 28, was a 318 bp decline in the FNM 4.5% Bond. The impact from the June 4 Announcement to the end of the auction on June 11, was a 350 bp decline in the FNM 4.5% Bond.
As I write this, the Fannie Mae 4.5% Bond is trading at 98.28 -110 bps from yesterday's close.
Fannie Mae 4.5% Bond
May 21 Auction Announcement High:102.1875
May 28 End of Auction Low: 99.00
Hi to Low: -3.1875 (318.75 basis points)
June 4 Auction Announcement High: 99.8125
June 11 End of Auction Low: 96.3125
Hi to Low: -3.500 points (350 basis points)
June 18 Auction Announcement High: 99.1875
June 25 End of Auction Low: ?
