June 21. China reval
In what was perhaps a foreshadowing of China’s weekend revaluation announcement the curve steepened Friday with red/gold pack spread up over 6.5 bps.
–The initial response Sunday evening to China’s announcement indicates a return to risk assets, though moves are muted at best. Treasuries are lower; a better indication of ramifications will likely occur with this week’s auctions of 2, 5 and 7 year treasuries.
–There was a buyer of about 20k midcurve Sept 9825/9900 combo Friday, helping EDU11 perform best on the curve.
