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Tsy Yld Curve Bear Steepening Ahead August CPI

US TSYS

Tsys trading near late session lows after starting off near highs - bonds experienced a wide range (30YY 3.5284% late high vs. 3.4102% low) on light overall volumes (TYZ2 <985k) with no economic data to trade off of - participants close to the sidelines ahead Tuesday's CPI read for August MoM (0.00% prior, -0.10% est); YoY (8.5% prior, 8.0% est).

  • Rush of Treasury issuance Mon-Tue due to Thu settle, maintains 2 day gap between last auction and settle generated some midday interest:
  • Treasury futures pare gains slightly after $41B 3Y note auction (91282CFK2) tail: 3.564% high yield vs. 3.545% WI; 2.49x bid-to-cover vs. 2.50x last month.
  • Futures sale accelerated after $32B 10Y note auction re-open (91282CFF3) underperformed: large tail w/ 3.330% high yield vs. 3.302% WI; 2.37x bid-to-cover vs. last month's 2.53x.
  • Despite a late Block sale of 7,531 FVZ2 at 110-03.75, yield curves extended steepener move w/ 2s10s tapping -20.167 high.
  • Note on short end Eurodollar futures expiration: The CME Group has confirmed the final settlement price for Sep'22 Eurodollar (EDU2) futures (and 3M Sep options expiration) will be based on the 3M USD Libor fix published this Friday, Sep 16 due to UK bank closure for the Queen's funeral next Monday Sep 19.
  • Currently, the 2-Yr yield is up 0.9bps at 3.5652%, 5-Yr is up 1.9bps at 3.4545%, 10-Yr is up 4.6bps at 3.3558%, and 30-Yr is up 5.6bps at 3.503%.
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