Tight Overnight, Limited By Thanksgiving

The lack of macro headline flow and the Thanksgiving holiday-hampered nature of the session (when it comes to both liquidity and a shortened trading day for futures/closure for cash Tsys) has resulted in a narrow round of trade for TYZ1 thus far. The contract last deals -0-01 at 129-25, operating within the confines of a 0-03+ range.

• To recap, the curve was subjected to twist flattening pressure on Wednesday, with 2s and 3s 2.5bp cheaper, 5s little changed and 30s ~6.5bp richer. The 5-/30-Year yield spread printed yet another YtD flat in the process, after the long end rebounded from session cheaps.
• San Francisco Fed President Daly, one of the more dovish members of the current Fed cohort, took markets by surprise early in the NY day, pointing to an openness re: a faster tapering timeline, although she did note that she would need to see more data before making such a decision. This pressured the front end of the curve, with further Fed rate hike premium baked in.
• A much larger than exp. fall in initial jobless claims was seen (with the print hitting the lowest level witnessed since the '60s), while personal spending & income data beat expectations as the headline PCE readings roughly met broader exp, ticking up from the previous month.
• There was no real reaction to the minutes from the latest FOMC meeting, with worries re: longer lasting inflationary forces, the potential for a faster tapering timeline and risks of a quicker than envisaged start of a hiking cycle if inflationary pressures persist presenting the major takeaways.