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Back In Black (Barely)

US TSYS
Tsys have bounced back into mildly higher territory after nearly trading through late Tue lows an hour ago. Gold bounced off lows around the same time while US$ and equities remain weaker (ESH1 off lows -29.0 at moment).
  • Sources report real$ buying 10s, rolling in 20s as rates consolidated on equity weakness on desk said. Mar/Jun rolls continue at slower than expected pace.
  • Some chatter making the rounds that another duration drop on Tuesday's magnitude could usher in mortgage convexity selling (unlikely). Some insurance portfolio unwinds in swaps Tuesday did add to the rout, however.

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