Curve Sharply Steeper On Record-Breaking CPI Print

Another busy day for Treasuries saw a record-breaking (vs expectations, and in some subcomponents) April inflation print pushing yields higher across the curve with little respite through the session.

• The curve initially flattened post-release, with 5s bearing most of the brunt (presumably on Fed hike path repricing); then this reversed as 5s losses stalled and the long end sell-off resumed. 10 Year yields flirted with 1.70%, yields rising 9+bps from pre-CPI.
• The 2-Yr yield is up 0.6bps at 0.1648%, 5-Yr is up 5.8bps at 0.8579%, 10-Yr is up 6.6bps at 1.688%, and 30-Yr is up 6.1bps at 2.4065%.
• Jun 10-Yr futures (TY) down 15.5/32 at 131-31 (L: 131-28.5 / H: 132-18) on the highest volumes since March (>2.3mn).
• Once again, no offsetting move in equities, which sold off alongside global bonds.
• Fed VC Clarida comments shortly after the data, that the Fed "won't hesitate to act" if inflation expectations become unanchored contributed to bearish sentiment.
• 1.3bps stop-through at the 10-Yr auction (1.684% high yield vs 1.697% when-issued) and best bid to cover (2.45x) since Jan 2021 auction helped temporarily stem the bleeding in 10s.
• The heavy data slate continues Thursday with weekly jobless claims and PPI.