Last time it took 3 days for the long end to go from 133 to 130. Today only 30 min. That qualifies for shitting blood I guess. But the middle is stable. Was there an expectation that the FED will buy some long end? I think they made it clear the buying will be in the middle.
Taken together, the Desk anticipates conducting $850 billion to $900 billion of purchases of longer-term Treasury securities through the end of the second quarter. This would result in an average purchase pace of roughly $110 billion per month, representing about $75 billion per month associated with additional purchases and roughly $35 billion per month associated with reinvestment purchases. The Desk plans to distribute these purchases across the following eight maturity sectors based on the approximate weights below: Nominal Coupon Securities by Maturity Range <img src="http://www.mortgagenewsdaily.com/cfs-file.ashx/__key/CommunityServer.Components.UserFiles/00.00.03.44.60/11_5F00_3-NY-FED-STATEMENT.PNG" /> Under this distribution, the Desk anticipates that the assets purchased will have an average duration of between 5 and 6 years. The distribution of purchases could change if market conditions warrant, but such changes would be designed to not significantly alter the average duration of the assets purchased.
Very nice, indeed... There was speculation (by a few supposedly knowledgeable think-tanks) that the Fed is going to pile into the long end of the curve. Clearly, some people bought this story...