A Touch Firmer Into Europe

T-Notes stuck to a 0-04+ range overnight, last +0-01+ at 137-10, with cash Tsys sitting little changed to a touch richer across the curve, 30s print 1.0bp dearer into European hours. It would seem that some worry surrounding the Novavax COVID vaccine's efficacy re: the South African strain of the virus (which became evident in very late NY trade) limited the light steepening impetus that was initially seen after the re-open, before providing further support in Asia. A 3.0K screen buyer of TYH1 also helped to support the space. Still, flow was dominated by yet another 10K risk reversal block trade during Asia-Pac hours, this time in the TYJ1 137.00/135.00 strategy, buying the puts to sell the calls (60K worth of TYJ1 risk reversal strategies have crossed in Asia on block over the last week and a half). Eurodollar futures trade unchanged to +0.5 through the reds. An ~11K screen seller of EDH1 was seen at the re-open.

• Tsys unwound their early strength as equities rebounded on Thursday, with gyrations in the latter still focused on retail trade dealings in heavily shorted small cap equity names, which has resulted in government level inquests and platforms suspending/restricting trade for some of the equity names that have garnered attention in recent days. Equities pulled back from best levels as we worked through NY trade, allowing Tsys to edge away from lows. That left the curve steeper at the bell, with 30s sitting ~3bp cheaper on the day. 10s had a limited, and indeed brief, foray below 1.00% for a second consecutive day, before the aforementioned cheapening saw that benchmark close around the 1.05% level. The latest round of 7-Year supply was well received, stopping through WI by 0.4bp, with cover holding steady and indirect participation nudging higher.
• Month-end flows and Fedspeak are set to dominate during Friday's NY session.