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U.S. Tsys richened a little overnight, likely drawing support from a study re: the transmissibility/evasive capabilities of the omicron COVID variant. There isn’t much to surprise in the article itself, but the evasive capability of the COVID strain when it comes to infecting the vaccinated/previously infected is once again noted. Not that the study has not been subjected to peer/review, nor published in a medical journal. Reports that Chinese property developer Fantasia entered receivership would have also provided some support. TYH2 last dealing unch. at 130-06+, while cash Tsys run flat to 2.0bp richer on the day, with 20s leading the bid. A 6K block seller of FVH2 was observed overnight. Note that we have seen a block seller of FVH2 futures ahead of London hours Monday-Thursday. Monday, Tuesday and Thursday saw block sales of 6.0K in size, while Wednesday saw a 5.0K block sale. NY hours will see weekly jobless claims data and 30-Year Tsy supply.
- A reminder that T-Notes finished a little above NY lows on Wednesday, as the cash Tsy curve twist steepened on the day. 2s richened by ~1bp, while 30s cheapened by 9bp, allowing the 5-/30-Year yield spread to steepen away from Tuesday’s post-COVID flats. Headlines pointing to a third dose of the existing Pfizer-BioNTech COVID vaccine “neutralising” the omicron COVID strain allowed the space to cheapen after early richening on the back of worry surrounding the deployment of the UK’s plan B when it comes to dealing with omicron. Equities were much more limited, with e-minis finishing shy of their early NY highs. Early FV futures block sales were noted during Wednesday trade, adding to the pressure. 10-Year Tsy supply tailed by 0.4bp. The cover ratio edged higher vs. the prev. 10-Year offering, although this was still short of the recent average. Meanwhile, dealer takedown ticked lower, edging just below its own recent average. Pre-auction concession, with one eye on 30-Year supply, was cited as another source of pressure.
- NY hours will see weekly jobless claims data and 30-Year Tsy supply.