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Fed VC Clarida on Taper Talk Weighs on Short End

US TSYS
Shorter-dated Tsys have almost fully unwound today's earlier rally after relatively more hawkish commentary from both Fed Waller then VC Clarida on potential for Fed accelerating taper.
  • Long-end held onto a sizeable rally though, with 10Y yields down -5bps at 1.536% and the 30Y down -6.1bps at 1.907%, driven by European lockdown fears and at weekly lows. Combination has seen a 5bp bull flattening in 2s/10s on the day to 103.7bps, the lowest this week and getting towards the low end of the monthly range.
  • Earlier, BBB passed in the House now moves to the Senate.
  • Heavy overall volumes (TYZ1 >1.9M) tied to surge in Dec/Mar futures rolling (first notice on Nov 30); large selling Eurodollar Whites-Reds EDZ1-EDU3) following Fed VC Clarida comments re: taper debate in Dec.
  • Ahead: Fed minutes on Wed amidst heavy data week including the Nov PMI,PCE/incomes for Oct and the second Q3 GDP print before Thanksgiving on Thursday. Next wk's Tsy auction schedule is front-end focused ahead of Thanksgiving, with 2s, 5s and 7s on offer. Markets see full day Wed, closed Thu and early close Fri.
  • The 2-Yr yield is down 0.4bps at 0.4986%, 5-Yr is down 1.8bps at 1.2018%, 10-Yr is down 5bps at 1.536%, and 30-Yr is down 6.3bps at 1.9059%.
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