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Sizeable Intraday Re-Firming In 2Y Yields On Fed Expectations

US TSYS
  • Front end Tsy yields sit close to session highs (currently -1bp at 4.103% from low of 3.99%) with intraday increases in rate expectations after softer labor demand in JOLTS earlier only had a fleeting impact.
  • The 70bp hike priced for the Nov FOMC is the highest in five days whilst there is a sizeable unwinding from session lows with the terminal of 4.49% in Mar’23 now +4bp on the day although the Dec’23 of 4.12% still lags -2bps.
  • A first appearance from Fed Gov. Jefferson was broadly neutral vs other Fed commentary (resolute, committed to reducing inflation whilst adding may take some time to restore price stability) whilst we now have Daly (’24) speaking in moderated Q&A.

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