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2s10s Most Inverted Since December At Early Close Ahead Of Memorial Day

US TSYS
  • Cash Tsys close early with the curve twist flatter ahead of their full closure for Memorial Day on Monday.
  • Cash yields range from 1.1bp higher (2s) to 1.3bp lower (20s), with the front end having unwound a large part of the intraday rally on the downward revision for U.Mich inflation expectations, aided by a recovery in crude oil futures, but with the longer end seeing a greater paring of earlier losses.
  • 2s10s at -47.9bps (-2.3bps) has pushed through fleeting lows seen Apr 10 for its lowest since late December.
  • 10Y yields met firm resistance at 4.50%, last seen May 14, and are now back at 4.465%.
  • The high for yields came with TYM4 touching 108-16 as it stopped just short of a key support at 108-15 (May 14 low). It has since lifted to 108-23+ for similar levels to before the US session.
  • Fed Funds implied rates have extended the post-PMIs jump higher in what’s been a thin data week, with 20bp of cumulative cuts for Nov (25bp prior to PMIs) and 34bps for Dec (38bps prior).

2s10s most inverted since DecemberSource: Bloomberg

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