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Long End Notably Doesn't Participate In Rally


A notable Tsy curve twist steepening after the WSJ Fed article which implied a more dovish near-term Fed outlook came out. It is interesting to see the long end unresponsive as 2s rally - 30s have seen a mild yield rise, driven by 30Y inflation breakevens, with real yields falling.

  • Perhaps this is a sign that the Fed taking its foot off the accelerator is unwelcomed by the long end due to increasing inflation risk premia.
  • 2s30s (which we highlighted earlier in the session) is set for one of its biggest steepening days of the last decade, and the biggest since March 17th 2020. See chart.

Source: BBG, MNI

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