Overview Of Projected Cash Tsy Opening Changes

BBG calculations point to ~2.5-4.5bp worth of cheapening across the curve at the cash Tsy open on Monday (which will take place at 07:00 UK time, 02:00 Eastern, owing to the observance of a national holiday in Japan). Note that this is based on the change in the price of benchmark futures since Friday’s close, with reference to the CtD for each futures contract. The curve is set to bear flatten, if current futures prices provide an accurate representation of early cash Tsy price action. The TU-TY area has provided the most notable degree of weakness in overnight trade, with yields in that zone set to open 4.0-4.5bp higher today, based on the aforementioned calculations.