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Yield Curves Extend Steeper

US TSY FUTURES
  • Heavy two-way trade following latest employment data (Feb NFP +311k, Jan-Dec down-revised by -34k), better buying across the board, 2Y yield has dropped to 4.6746% vs. 5.08% high on Tuesday (2006 lvls), 30Y yield falls to 3.7631% low.
  • Yield curves bull steepening, 2s10s hit -91.431, over 5.5bp higher, compares to -110.9 inverted low early Wednesday.
  • Fed terminal rate has fallen to 5.335% in August'23 (5.495% pre-data), compared to 5.69% early Thursday high for October'23.
  • Fed funds implied hike for Mar'23 at 34.2bp vs 42.1bp early Thursday, May'23 cumulative 68.4bp to 5.255%, Jun'23 82.7bp to 5.398%.

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