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Putting The Intraday Steepening Into Perspective

  • Cash Tsys has steepened intraday, with 2s10s up 6bps from the London open (Japanese holiday) and 5s30s up 4bps.
  • 2s10s of 45bps are down 12bps from immediately prior to CPI and close to flats through summer 2020 but remain 50bps above the inversion of Aug 2019.
  • 5s30s is lower historically. At 38bps, it’s 6bps flatter than prior to CPI and slightly above the fleeting ’20 COVID vol flats (36.3bp). Through there, the ’18 flats sit 19bps lower than current levels.

UST 2s10s (white), 5s30s (yellow)Source: Bloomberg

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