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Soc Gen Take On Tsy Calendar Roll

US TSY FUTURES
Soc Gen analyst quick take on Tsy futures roll from March to June ahead the Feb 26 first notice date: "Yields and inflation breakevens, amid a steepening of the curve, have seen a spectacular rise in recent days, breaching key levels on the back of the reflation trade, mortgage convexity and short gamma hedging flows amid rising equity markets and oil prices."
  • Yields will likely come under upward steepening pressure over the coming days, as higher yields could prompt more hedging flows, which should exert a bullish bias on the calendar rolls.

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