Tailing Auctions Facilitate Steepening Ahead Of CPI

TYZ2 operates around late NY levels after recovering from its Monday low ahead of the close.

• The cash Tsy curve bear steepened on Monday with the major benchmarks running 1.5-6.5bp cheaper at the close.
• Concession ahead of double 3- & 10-Year Tsy supply helped the space pull back from best levels, with further cheapening observed on the back of the presence of notable tails at both of the auctions.
• Another brisk day of corporate issuance also helped the space away from best levels.
• Pre-NY trade saw the space work off its early ECB/Ukraine advance-inspired London lows, with a pullback in European natural gas prices and a move higher in European core FI helping, before early NY tightening in swap spreads aided the bid further.
• The space looked through another move lower in NY Fed consumer inflation expectations.
• There isn’t much in the way of tier 1 macro risk events slated for Asia-Pac hours, with focus already on Tuesday’s CPI print (see our full preview of that release here). Real wage data, the NFIB small business survey and 30-Year Tsy supply are also due Tuesday.