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At the near culmination (allegedly) of the fastest prolonged Fed Funds Rate hike episode in US history, we find two unusual things:

  1. the overall yield curve between 3-month and 10 year Treasuries has consistently remained inverted during the hikes.
  2. According to Bloomberg ( https://archive.is/IHjcM ), the rate hike live announcements by Fed Chair Powell have been unabashedly bullish for both equities and 10 year Treasuries, during the hour of the Fed's announcement!

Specifically, for the 10yr Treasury, we see the following pattern:

  • First the 10yr yield rises pre-announcement,
  • Then, during the announcement the yield has consistently fallen. The graph below shows the cumulative effect of announcement after announcement, as if they were contiguous.

(pic from Bloomberg article)

My question is how much money does it take, in 2023, to move the 10 year yield by 10bps? Or if there are any references to historical data showing 10yr treasury market volumes during the hours of Fed announcements, that would be much appreciated.

Note: my question is in the context of the unusual recent rate hike cycle, with concern about manipulation, given that money thrown at the 10 year market helps maintain equities buoyant (because equity markets price off of the 10yr market, generally).

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    $\begingroup$ To directly answer your question I’d say moving 10bn 10s might move the market 10bp. Totally non scientific , based on experience. $\endgroup$
    – dm63
    Jul 28 at 6:05
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    $\begingroup$ "how much money does it take, in 2023, to move the 10 year yield by 10bps?". It might be more about the evolution of expectations during the announcement. $\endgroup$
    – fes
    Jul 28 at 6:06
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    $\begingroup$ The EDur of the 10-year as of 7/28/23 is $\approx 8.1$ years so a 10bp yield move is 26 ticks in price space. NY Fed Research estimated that the price impact of \$100mm par of the 10-year was 0.43 ticks in May 2020. Assuming no significant difference in the liquidity of the Treasury market since then, it should therefore take about \$6bb 10s to move the market 10bp. Quite close to @dm63's estimate. $\endgroup$
    – Sharad
    Jul 29 at 18:19
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    $\begingroup$ I disagree on the "removal" (shadow-ban) of this question. It's a question about current empirical market data, not a "basic" question as moderators claim: "Basic financial questions are off-topic as they are assumed to be common knowledge". I appeal. $\endgroup$
    – Kiers
    Jul 29 at 18:33

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