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Belly Leads US Curve In Europe-Led Rally

US TSYS

Treasuries have joined in the Bund rally, with the 10Y yield extending another 2bp lower in the last half hour, now down 5.7bp in overnight trade at the lowest level since Jun19 at 3.750%.

  • The belly leads the rally, with 5Y yields down 6.7bp, but just the lowest levels since last Friday at 3.95%.
  • In contrast with bull steepening leanings in in European counterparts, the US curve remains relatively flat as 2Ys have rallied a similar magnitude as 10s. One factor: Fed terminal pricing off just 1.8bp vs 4bp for ECB and 5+bp in Europe this morning (with the rally driven by dovish comments by hawkish ECB member Knot).

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