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Yield Curves Bounce as 30YY Climbs Over 2.0%

US TSYS
Tsys yields near late session highs after the bell (10YY 1.6686%; 30YY 2.0279%), futures just off late session lows, long end underperforming, yield curves steeper. Heavy volumes tied to ongoing Dec/Mar quarterly roll (Nov 30 first notice), TYZ1 >2.8M.
  • Coming into the session central banks remained active in short end, better sellers with some sporadic buying, fast- and real$ selling 10s, extension selling in intermediates. Two-way option-tied hedging ahead Dec expiry on Friday.
  • Tsy futures bounced briefly off lows after $59B 7Y note auction (91282CDL2) stopped through: 1.588% high yield vs. 1.597% WI; 2.42x bid-to-cover 2021 high (five auction avg: 2.28x). Indirect take-up 59.29% vs. Oct's 63.89% (highest since Jan).
  • Due to intermittent technical difficulties this morning, the NY Fed has decided to postpone today's purchase operation of app $1.075B 7.5Y-30Y TIPS at 1010-1030ET to Wednesday at 1100-1120ET.
  • Heavy slate of data Wednesday includes weekly claims (260k est vs. 268k prior) with Thursday closed for Thanksgiving holiday.
  • The 2-Yr yield is up 2bps at 0.6043%, 5-Yr is up 1.1bps at 1.3278%, 10-Yr is up 3.5bps at 1.6582%, and 30-Yr is up 5.5bps at 2.0165%.
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