There have only baby step...........>

US TSYS SUMMARY: There have only baby step movements in the Treasury on Friday

as the market looks forward to the big data release of CPI later today.

- The 10Y UST yield is 1bp higher at 2.546% as the curve makes a marginal

steepening between 2 and 10Y maturities.

- The 2Y yield is just one strong CPI release from hitting the key psychological

barrier of 2%. The average reaction of the TY contract in the past 6 core CPI

releases has been a 5-32 rise within 2 minutes of the release, mainly because on

four of those six occasions, the release printed 0.1%M/M below expectations. the

reaction is complicated by the simultaneous release of Dec retail sales.

- Swap spreads have narrowed 0.4bp in the 2Y sector but there really is no trend

at present and the move likely reflects Treasury buying as the yield approaches

2%. 

- Decent swap flow in USD going through this morning with the pick being paying

in the belly of a $245k DV01 10Y-15Y-20Y swap fly. 

- Note that US markets will be closed on Monday.