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Vaccine Headline Driven Volatility; Wrong-Way Month End Flow

US TSYS SUMMARY
Tsy mostly weaker after the bell, short end outperforming, yield curves broadly steeper as January draws to an end (2s30s +6.1bp; large midmorning block buy +17,733 TUH at 110-15.75). Heavy volumes on late month end flow drew better selling instead of extending duration, approximate volumes in last 5 minutes of trade: TYH1 175k, USH1 35k, 115k FVH1 and 30k TUH.
  • Prior to the sell-off, Tsys pared losses -- headed back to pre-open levels when futures gapped higher on J&J effectiveness headlines. J&J bump didn't last long: follow-up headline notes slightly higher effectiveness in US of 72% and "shot's immunity likely to ramp up over time" Bbg.
  • Second-half support from falling equities (ESH1 -67.0) w/energy sector (refiners, extractors, etc) leading losses. Desks also pointed out risk negative headline: "PFIZER CEO: HIGH POSSIBILITY FUTURE VARIANT WILL ELUDE VACCINES," Bbg added to risk-off tone.
  • Heavy buying in Eurodollar front end, Whites through Reds were +0.010-0.015 for much of day scaled back slightly late. Note 3M LIBOR -0.00312 to 0.20188% (-0.01337/wk) ** 3M New record Low vs. 0.20488% on 11/20/20
  • The 2-Yr yield is down 0.2bps at 0.1152%, 5-Yr is up 1.6bps at 0.443%, 10-Yr is up 4.6bps at 1.091%, and 30-Yr is up 5bps at 1.8545%.
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