Very Tight Overnight, Roll Flow Dominates

T-Notes have operated in a very narrow 0-01+ range thus far, last printing +0-00+ at 132-20+, with yields little changed across the cash Tsy curve. ~100K T-Notes have traded, with ~60% of that coming in the roll. There has been nothing of note on the broader macro headline front. Comments from Kansas City Fed President George ('21 non-voter) had no impact on the space, while the limited round of COVID cases evident in China & Australia have failed to generate a reaction given the respective track records in containing the virus. In more detail, Fed's George noted that although current factors boosting inflation are likely to be transitory, she cannot dismiss today's pricing signals. On broader monetary policy matters she stressed that a flexible approach has served the central bank well and that it should maintain highly accommodative policy for some time.

• To recap, Tsys stuck to a narrow range on Monday, with little in the way of meaningful macro headline flow evident (European liquidity was thinned by the Pentecost holiday) and a lack of tier 1 economic releases slated. Nonetheless, the curve flattened at the margin as the long end richened by ~2.0bp, with T-Notes finishing a touch shy of best levels. Late NY trade saw 3,517 USM1 lifted on block. Once again, activity was boosted by quarterly roll flow. On the corporate supply front, AstraZeneca mandated for multi-tranche issuance, including 30-Year paper.
• Tuesday's U.S. economic docket will be headlined by consumer confidence, Richmond Fed m'fing & new home sales data, which will be supplemented by Fedspeak from Quarles, Barkin & Evans, in addition to 2-Year Tsy supply.