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Market Roundup: 2s10s Curve New Inverted Low

US TSYS
Tsys weaker at midday, off early session lows, early volatility subsiding ahead the $15B 10Y TIPS auction at the top of the hour.
  • Hawkish comments by StL Fed Bullard that rates are not restrictive and belong above 5%, perhaps well above -- kicked off the session while Tsys bounced off early session lows following weaker than exp Philly Fed Mfg index of -19.4 vs. -6.0 exp. Housing Starts and Permits little stronger than expected (1.425m vs. 1.411m est; 1.526M vs. 1.515M est).
  • Key move - continued sell-off in 2s10s curve to new all-time inverted low of -71.249, a measure of market expectations of a coming recession as the Fed moves to stem the rise in inflation.
  • Eurodollar/SOFR 2023 futures levels under considerable pressure as Fed terminal rate has climbed to 5.1% from 4.93% in Jun'23 earlier (5.08% pre-CPI). Fed funds implied hike for Dec'22 back to 50.9bp, Feb'23 cumulative +2.4bp to 87.3bps (84.9bp earlier) to 4.722%.
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