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Treasuries Twist Flatten Ahead Of Payrolls

US TSYS
  • Cash Tsys have twist flattened ahead of payrolls after yesterday’s large sell-off across the curve on the BoE and ECB, pushing 2YY briefly to new pandemic era highs.
  • 2Y yields +2.1bps at 1.217%, 5Y -0.3bps at 1.667%, 10Y -1.2bps at 1.818% and 30Y -2.4bps at 2.129%.
  • TYH2 is at the high end of today’s range at 127-21 on above average volumes, but remains at the low end of the weekly range after falling 17+ ticks between the BoE announcement and the end of the ECB press conference.
  • Data: The sole focus today is payrolls at 0830ET. Bloomberg consensus has an increase of +125k in Jan but risks are seen to the downside, with the dealer median of +75k and a Bloomberg whisper now at 0k. Unemployment and participation rates remain key to watch, expected to be flat.
  • No Fedspeak currently scheduled for today.
  • No Tsy auctions or NY Fed buy operations today.

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