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US TSY/RECAP: T-Notes finished near the bottom of their range Tuesday, with the
curve running flatter on the day. Truth be told it was a rather muted day on
deceptively heavy volume (TYH>1.67M). Risk-on/off/on session, as equities
recovered late after reversing early gains. Late $600k/DV01 block trade in TUH9
helped underpin flattening.
- U.S. President Trump is seemingly willing to shut down the U.S. government
over border issues.
- 0.3bp tail noted on the latest 3-Year note auction, cover ratio held steady,
below recent averages. Direct bidders took down the largest share seen at a
3-Year auction in over 2 years, with indirect participation also moving higher,
as dealer participation fell to the lowest level seen since Jan's 3-Year supply.
- 2-Year swap spreads narrowed again, underlying factors remain: year-end
funding pressure for banks w/higher LIBOR sets, forced liquidations and/or
deleveraging chatter on risk-parity a/c's.
- Focus Wednesday moves to U.S. CPI data & 10-Year supply.
- T-Notes last 120.13+, U.S. 10-Year cash Tsy yield closed at 2.879%.
MNI London Bureau | +44 0203-865-3809 |
MNI London Bureau | +44 0203-865-3809 |

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