US TSYS: Modestly Lower, Recent Flattening Consolidated

• Treasuries are a little off earlier lows but hold a twist steepening ahead of important data in JOLTS and ISM Services reports at 1000ET.
• Cash yields are 1bp lower (2s & 3s) to 1bp higher (30s), twist steepening with 2s10s at 37bps (+1.2bp) having earlier set fresh highs of 37.6bp since mid-2022.
• 10Y yields probed 4.64% earlier today (currently 4.632%), having done so yesterday as well, at seven-month highs.
• TYH5 is within a few ticks of session lows of 108-12+ having held within yesterday’s range throughout, on subdued volumes of 250k.
• A bearish trend condition remains with support at 108-06+ (Dec 26 low) after which lies 108-00 (Fibo projection of Oct 1-14-16 price swing).
• Data: Trade bal Nov (0830ET), JOLTS Nov (1000ET), ISM Services Dec (1000ET)
• Fedspeak: Barkin (0800ET)
• Note/bond issuance: US Tsy $39B 10Y Note re-open - 91282CLW9 (1300ET)
• Bill issuance: US Tsy $85B 42D CMB auction (1130ET)

• Spread set at MS+128bp (Guidance was MS+140bps area then MS+135bps area)
• Size: EUR Benchmark (MNI expects E1.0-1.5bln)
• Books in excess of E3.2bln (inc E505mln JLM interest)
• Maturity Date: 14 April 2055
• Settlement Date: 14 January 2025 (T+5)
• Joint Bookrunners: Deutsche Bank, Erste Group, Goldman Sachs Bank Europe SE, HSBC, J.P. Morgan (B&D) and OTP Banka Slovenia
• ISIN: SI0002104873
• Timing: Books to close at 11:45GMT / 12:45CET

From market source

OI data points to a mix of net long setting (TU), short setting (TY, UXY & WN) & long cover (FV & US) during yesterday’s twist steepening of the futures curve.

• Net exposure was added in curve-wide DV01 equivalent terms, with the biggest net DV01 equivalent positioning swing coming via net short setting in UXY futures.