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US TSY FUTURES

BLOCK, Second 2Y Sale

FED

NY Fed Underlying Inflation Gauge (UIG)

EUROZONE T-BILL ISSUANCE

Bill Supply For W/C Sep 27, 2021

FED

NY Fed Operational Purchase

US SWAPS
US SWAPS: While the UST cash curve has flattened, there has been a 1bp widening
of swap spreads at the front end (2Y) of the US curve as well, so the swap curve
is flattening faster than the cash. After the Eurozone PMI data, the 2-10Y swap
curve flattened to its lowest spread since 2006 at 26.7bp.