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Modestly Richer Ahead Of Important Session

US TSYS
  • Cash Tsys trade 0.5-2.5bp richer, bull flattening but only modestly pare yesterday’s two-step sell-off with strength in flash US PMIs before a poorly received 5Y auction.
  • TYH4 at 111-02 has held narrow ranges with solid but not particularly elevated volumes of 300k. The bear cycle remains in play, earlier overnight touching a low of 110-27+, close to support at 110-26 (Jan 19 low) before 110-16 (Dec 13 low).
  • A heavy docket today, with the ECB decision before a data deluge including the US Q4 advance for real GDP/core PCE inflation (the latter providing a clue to tomorrow’s December core PCE print), jobless claims, durable goods and 7Y supply. Yellen also speaks
  • Fed Funds cumulative cuts: 11bp for March (near recent lows), 31bp for May, 55bp for June and 133bp for Dec.
  • Data: US GDP/Core PCE Q4 advance (0830ET), Weekly jobless claims (0830ET), Durable goods Dec prelim (0830ET), Goods trade balance Dec (0830ET), Retail/wholesale inventories Dec/Dec prelim (0830ET), New home sales Dec (1000ET), Kansas City Fed mfg index Jan (1100ET).
  • Note/bond issuance: US Tsy $41B 7Y Note auction (91282CJX0) – 1300ET
  • Bills issuance: US Tsy $90B 4W, $90B 8W bill auctions – 1130ET
  • Tsy Sec Yellen speaks on the economic outlook, Chicago Economic Club (1235ET).

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