Steepening Evident Ahead Of CPI

A flat re-open for TYM2, as the contract deals around late NY levels, +0-00+ at 119-24+.

• To recap, the cash Tsy curve twist steepened on Monday, pivoting around the 3-Year point, with 2s providing the firmest point on the curve, richening by ~1.5bp, while 20s were the best part of 10bp cheaper come the bell.
• Spill over from the softer EGB space in the wake of the first round of the French Presidential election helped to cheapen Tsys ahead of NY dealing (pollsters have incumbent Macron winning the second round, although the race is by no means a landslide)
• The most notable flow of the day was in line with the broader steepening theme, with a block TU/FV/WN steepener package (+49,000/-11,167/-3,006) crossing late in the NY morning.
• Amazon’s 7-part jumbo issuance (including 10-, 30- & 40-Year tranches) also aided the steepening.
• 3-Year Tsy supply passed smoothly, stopping through WI by 0.1bp, while the cover ratio ticked above the recent average observed at 3-Year auctions, even as dealer takedown ticked above its own recent average.
• Monday’s Fedspeak didn’t move the needle, with ~95bp of tightening priced into the OIS curve over the next two FOMC meetings.
• There isn’t much in the way of tier 1 risk slated for Asia-Pac hours. Looking ahead, CPI, average earnings data, NFIB small biz optimism, 10-Year Tsy supply & Fedspeak from Brainard will cross during NY hours.