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Off Lows, Curve Steepening Holds

US TSYS

Tsys have stabilised after the cheapening linked to the FOMC meeting minutes and soft 20-Year JGB auction.

  • TYU3 last -0-05+, 0-07 off lows, while cash Tsy Yields are little changed to 4bp higher as the curve bear steepens
  • A quick reminder that 5+-Year yields hit fresh YtD highs in Asia, before the move moderated.
  • The moderation came as global equity benchmarks found a base and the broader USD moved back from best levels.
  • A sizable block buy in FV futures (+15,629/DV01 ~$644K) also provided support.
  • We haven’t received much in the way of meaningful macro headline flow since London trade got underway.
  • FOMC-dated OIS shows terminal rate pricing of 5.44%, a touch firmer than this time yesterday (owing to FOMC minutes), with ~48bp of cuts then showing through June ’24, meaning that some easing has been priced out over the last 24 hours.
  • Weekly jobless claims data and the latest Philly Fed survey provide the highlights of a slim NY docket.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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