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Curves Bending Flatter

US TSY FUTURES
  • Following this morning's whippy trade in Tsys, intermediate to long end rates are marking modest session highs in the last few minutes (TYZ3 +2.5 at 109-19, USZ3 +9 at 118-28), curves flatter (3M10Y -2.168 at -115.794; 2Y10Y -3.678 at -74.116).
  • No obvious headline or Block/flow driver as volumes remain exceptionally light (TYZ3 <650k), more likely just repositioning ahead this Wednesday's FOMC policy announcement.
  • Traders expect the Fed to keep rates on hold at this Wed's annc but with a tightener bias ahead. Rate hike projections through year end largely static: Sep 20 FOMC is .8% w/ implied rate change of +0.02bp to 5.333%. November cumulative of +7.9p at 5.410, December cumulative of 11.5bp at 5.446%. Fed terminal at 5.445% in Jan'24.

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