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Belly Bearing The Brunt

US TSYS

The worst performing segment in the Tsy curve over the last two sessions has been the latter part of the belly, with the 7-Yr yield up 8.8bps. The short end (2Yr +0.3bps) and long end (30Y +0.1bps) are basically unchanged.

  • These moves are indicative of expectations that Fed tightening will be coming over the medium term, and when it does, perhaps faster tightening than previously expected.
  • Note also that the 7Yr auction last week arguably marked the 'flash crash' of the current downturn in bonds, and demonstrated little buyer appetite for that segment of the curve.


BBG, MNI

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