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Off Overnight Lows Tied To BoJ Yld Band Widening Story


Can't read too much into it, but Tsys broke session range into the closing bell,

still weaker and well off overnight levels, but trading at best levels of the NY session.
  • Nascent buying around 1.75% in 10s (1.7082% after the bell, 1.7526%H/1.6268%L range on day) from prop, fast$ accts noted early in the session. Meanwhile, pick-up in geopolitical tensions between US and Russia, return of lockdowns in Europe (France, Italy, and Czechoslovakia) and accelerating weakness stocks spurred some positioning, and/or short covering in rates.
  • Rates opened under pressure across the curve, long end underperforming after overnight spike in Tsys yields on back of Nikkei report ahead London open that the BoJ will widen 10Y JGB yield band +/- .25% vs +/- 0.2% around zero) at Fri's policy annc.
  • Little to no react on weekly claims (+45K TO 770K; continuing claims 4.124M) but a huge jump in Philly Fed Mfg Index from 23.1 in Feb to 51.8 in march (highest lvl since 1973!) underscored the early risk-on tone.
  • Yield curves bear steepened, 5s30s climbed to 166.240 high (just off Feb 25 high of 166.984 -- Aug 2014 lvl) but retraced late morning and traded flatter after the bell. Note multiple steepeners (5s vs. 10s and 30s) Blocked overnight..
  • The 2-Yr yield is up 2bps at 0.1531%, 5-Yr is up 5.7bps at 0.8555%, 10-Yr is up 7.1bps at 1.7135%, and 30-Yr is up 4.3bps at 2.4612%.

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