Friday's Flattening Extends

The trifecta of broader COVID mitigation measures in Europe, a lack of fiscal impulse coming from the Hill and the recent re-pricing of a "Blue Wave" U.S. election scenario (although the odds of this actually ticked up on Sunday, after the recent pullback) weighed on risk at the start of the new week, providing a bid for U.S. Tsys, extending on the flattening witnessed on Friday. T-Notes last +0-05+ at 138-17 on healthy volume of ~125K, with cash Tsys running 0.4-3.5bp richer across the curve, bull flattening. On the European COVID front, while it is true that the latest round of infections has not been subjected to the mortality rate witnessed during the first major round of European cases, governments are still willing to impose lockdown/mitigation measures, which will have an economic impact.

• As a reminder, the Tsy curve flattened on Friday, with the market switching focus to a realisation that any fiscal pact in DC will likely have to wait until after the November election, despite some quarters on the Hill remaining upbeat re: the prospect of a deal (At least externally).
• Eurodollar futures sit unchanged to +0.5 through the reds, with flattening flows evident in EDU2/U4 in Asia-Pac hours.
• Regional Fed activity data headlines locally today.