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Short End Firms Ahead Of CPI

  • Cash Tsys have bull steepened on the day with the short end down 2bps and the long end flat, having started as a broad rally through Asian hours before the long end unwound gains as Europe came in.
  • 2YY are -2bps at 1.343%, 5YY -1.5bps at 1.802%, 10YY +0.2bps at 1.937% and 30YY -0.1bps at 2.243%.
  • TYH2 is in a relatively narrow range at 126-22 on marginally below average volumes. Whilst well within yesterday’s range, it sits in a narrow technical corridor with support at 126-13+ (Feb 8 low) and resistance at 127-01 (Feb 7 high).
  • Focus is on CPI for January (0830ET) with consensus for core at +0.5% M/M (average 0.45% M/M) after the 0.56% M/M in Dec. It’s followed by the monthly budget statement at 1400ET.
  • Fedspeak: Barkin (2023 voter, hawk) on the policy response amid pandemic uncertainty at 1900ET.
  • NY Fed buy-op: Tsy 7Y-10Y, appr $3.225B vs. $2.425B prior (1030ET)
  • Issuance: US Tsy $50B 4W, $40B 8W bill auctions (1130ET) followed by $23B 30Y Bond auction (1300ET)

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