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Fed Gov Waller: May Need More Than Taper in 2022

US TSYS
The week opener support for bonds was nowhere to be seen Tuesday, yield curves rebounding (5s30s still below 100.0 at 93.13) with the long end near late session lows (30YY +0.0547 to 2.0883%) after the closing bell; equities continuing to make new highs for the month: ESZ1 +31.5 at 4509.0.
  • Surprising little react to late session Fed Gov Waller statement: more than tapering may be needed in 2022 though intermediate-long end rates held lows.
  • Early buying: Tsy futures climbed off pre-data lows after Sep housing starts data comes out lower than estimated (1.555M vs. 1.613M est) with fast$ and program buying lows. Short end rates continued to outperform throughout the session while bonds drifted steadily lower.
  • Contributing flow: Large 2s10s steepener Block: +20,790 TUZ1 109-23.87 now, post-time offer at 1000:37ET vs. -10,687 TYZ1 130-20, sell through 130-22 post-time bid (DV01 on steepener appr $875k).
  • BLOCK, Conditional 10s30s Near Curve Steepener: -8,576 TYZ 131 puts, 57 post-time bid vs. +7,500 USZ 157 puts, 108 post-time offer -- adjusting for delta the NOB spd very near CME's 5:2 inter-commodity ratio.
  • Corporate and supra sovereign debt issuance continued: $5.8B Thermo Fisher 5pt and $4B China 4pt generated some two-way hedging.
  • By the close, 2-Yr yield is down 3.6bps at 0.3892%, 5-Yr is down 1.6bps at 1.1537%, 10-Yr is up 3bps at 1.6301%, and 30-Yr is up 5bps at 2.084%.
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