Tsys Underpinned Off Highs, FRA-OIS Widens

TYM2 continues to operate comfortably shy of best levels, last +0-27+ at 127-01, while the front end of the cash Tsy curve leads the bid, with the major benchmarks 5.5-9.5bp richer on the session. The odds of a 50bp rate hike in the Fed’s March meeting have evaporated in the OIS space, which is supporting the front end of the Tsy curve.

• A light bid has come in on the back of a recent Washington Post source piece which suggested that “Belarus is preparing to send soldiers into Ukraine in support of the Russian invasion in a deployment that could begin as soon as Monday,” citing a U.S. administration official
• In the STIR space, note that EDH2 is actually lower on the day, -3.25, while the remainder of the whites and reds trade 7.5-13.5bp richer, with all of the contracts back from their early highs. FRA-OIS is wider. Some focus has fallen on the latest note from Credit Suisse’s Pozsar, who flagged the need for central banks to re-open USD swap lines in the wake of the SWIFT limitations placed on Russia, which has likely driven the FRA-OIS widening and EDH2 selling.