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Re-Cheapening Ahead Of Early Cash Close

US TSYS
  • Treasuries are seeing a re-cheapening of late, with yields back to 5-7bps higher on the day but remaining off pre U.Mich session highs.
  • Those session (yield) highs were also month to date highs from 5Y tenors onwards, with the 2Y at highs since the Nov CPI miss on Dec 13 and the subsequent fall in terminal Fed pricing from close to 5% to ~4.9% currently.
  • Only modest steepening on the day with 2s10s +1bp at -57.5bp, within the week’s range of -52 to -70bps.
  • SIFMA recommends cash close at 1400ET.

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