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June FOMC Minutes Shed Little Light on Taper Timing

Another session for declining Tsy ylds last seen mid February: 10YY 1.2946% low; 30YY 1.9169% low, and no single driver to pin it on. Sources suggested several factors including stimulus tailwinds starting to fade, Covid Delta variant angst, short squeeze weaker oil, "bland" employment and ISM metrics in addition to slow-down in Asian markets creating more pain for large short positions.
  • No significant data on the day, rates held narrow range off late morning highs ahead the June FOMC minutes that shed little extra light on timing of tapering. Gist: voting members debated the debate over when it would be appropriate to begin tapering. It feels like it could be a long, hot summer.
  • Decent Tsy and Eurodollar option volumes reported: some carry-over upside call buying early followed by better low delta put buying and conditional bear curve flatteners on the day.
  • Near $14B in swappable corporate issuance generated some hedging volume in the second half.
  • The 2-Yr yield is down 0.4bps at 0.2141%, 5-Yr is down 1.5bps at 0.782%, 10-Yr is down 2.9bps at 1.3196%, and 30-Yr is down 3.2bps at 1.9423%.

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