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Sizeable Bear Steepening As 10YY Nears Fresh Post-2008 High

  • Cash Tsys trade with a notable bear steepening, with the front end seeing an intraday rally back closer to pre-FOMC minutes levels but the long end extending pressure after the largest tail for a 20Y JGB auction since 1987. It’s against a backdrop of China state bank USD sales stories from first Reuters and more recently Bloomberg.
  • Of note, the 10Y yield session high of 4.3098% came close to Oct’22’s 4.3354% for what is otherwise the highest since 2008, whilst 2s10s steepen to -65bps for the least inverted since May.
  • 2YY -0.2bp at 4.963%, 5YY +2.7bp at 4.430%, 10YY +5.5bp at 4.306% and 30YY +6.7bps.
  • TYU3 trades 8+ ticks lower at 109-09+ having notched a fresh cycle low of 109-05+, next signalling scope for a major support at 108-26+ (Oct 21, 2022 cont). Volumes are far above average at a cumulative 410k.
  • Data: Weekly jobless claims (0830ET), Philly Fed Mfg Aug (0830ET) and Conf Board Leading Index Jul (1000ET)
  • Bill issuance: US Tsy $80B 4W, $70B 8W bill auctions (1130ET)

Source: Bloomberg

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