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US TSYS/RESEARCH: Analysts at JPM said "risks around yields over the near term
are more symmetric" so they turn "neutral on duration" and unwind "shorts in
the 2-year sector" due to several factors. "First, valuations are no longer
rich. We continue to project the next 25bp hike at the December 13 FOMC meeting,
and markets are now pricing more than a 60% probability that this occurs, up
from just 20% two weeks ago."
- They add also "IOR/2-year Treasury curve has moved to its steepest level since
mid-June. With nearly 3 months until the December meeting, we do not expect OIS
markets to sharply reprice in coming weeks as they have since the beginning of
September. Further out the curve, OIS forwards continue to price substantially
less tightening than the FOMC dots, but this has been persistent for the last
number of years, and market participants will require inflation firming toward
the FOMC's 2% goal in order to reprice expectations."
- They said "traditional post-Fed dynamics suggest risks of lower yields over
the near term," eyeing "behavior of 2-yr ylds from 2 wks prior to an FOMC
meeting accompanied by a press conference and SEP until 2 wks after."