Cash Plays Catch Up, But Off Cheaps

5-Year cash Tsy yields printed at the highest level witnessed since the onset of the COVID outbreak at the Asia re-open, as participants reacted to the continued drift lower in futures on Thursday (when cash markets were closed owing to the observance of the Veterans Day holiday). The space then retraced from intraday cheaps, with little in the way of meaningful headline flow observed. That left cash Tsys little changed to 3bp cheaper across the curve, with the impetus from post-CPI repricing of Fed expectations continuing to weigh on the belly of the curve, which provided the weak point. TYZ1 last +0-05 at 130-15+, after backing off representing best levels of the day.

• To recap, the post-CPI cheapening remained in play in the U.S. Tsy futures and Eurodollar space on Thursday. A reminder that cash Tsys were closed owing to the observance of the Veterans Day holiday, with futures volumes running well below average as a result. FV futures hit the lowest levels witnessed since late Feb '20 (when the COVID-related rally started to take hold), while EDZ2 moved to the lowest levels witnessed since Mar '20, as the EDZ1/Z2 spread steepened out to 75bp.
• JOLTS job openings data and the latest UoM sentiment survey provide the focal points of Friday's domestic docket, while the latest round of comments from NY Fed President Williams will hit (topic: heterogeneity in macroeconomics).