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Bull Steepening As Rate Expectations Slashed

  • Cash Treasuries firm significantly, led by the short-end and belly driving a sizeable bull steepening on the day as the rate expectations are cut heavily on the sixth day of the Russian invasion.
  • 2YY -13.1bp at 1.303%, 5YY -11.9bp at 1.599%, 10YY -8.7bp at 1.736% and 30YY -7.2bp at 2.089%. 2YY sit 34bp below post US CPI highs of 1.636%.
  • TYM2 sits 0-30+ higher at 128-12+ on extremely high volumes. It has blown through resistance levels and next eyes 128-17 (Jan 24 high).
  • Biden gives his first State of the Union address at 2100ET.
  • Fedspeak: Bostic (non-voter) speaks again with attention on whether he rows back from saying a 50bp hike in March is conditional on M/M CPI inflation trending higher in the upcoming Feb release (as per yesterday). Mester (2022) also gives opening remarks at an inflation conference at 1400ET.
  • Data: Important manufacturing surveys scheduled with the final PMI and the new ISM for Feb, with the usual focus on price and employment components.
  • NY Fed buy-op: TIPS 7.5Y-30Y, appr $0.625B vs. $1.225B prior (1120ET).

UST 2s10sSource: Bloomberg

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