CPI and 10y auction
June 11, 2025
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–Relatively quiet session, marked by flatter curve. Two year rose 1 bp to 4.008 as the three-yr auction was slightly soft. Ten-yr was down 0.8 to 4.472 in front of today’s auciton and CPI. 30y auction is tomorrow, with 30y yield 4.938, down 1.5.
–CPI today expected +0.2 with Core +0.3. Risk is higher given tariffs. YOY 2.4 from 2.3 last with Core 2.9 from 2.8. June SOFR options expire Friday. 0QM5 9650^ settled 10.25 vs 9646.5. Market has been subdued, but if I had to make a choice I would buy rather than sell. Worth a mention is that ten-year tip/treasury breakeven eased to a new recent low of 231 bps. It’s been in a fairly tight range this year of 218 to 248, which I suppose could be interpreted as stable and low inflation expectations.
–Added to 0QV5 9637.5/9612.5/9587.5 p tree for 4.25. Settled 4.0 vs SFRZ6 at 9661.0, about 45-50k bought in last two days.
