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USD Swaps: Busting through upper end of rate range; Spreads follow

The belly of the Treasury curve broke through the upper end of the rate range, with a strong 11-15bps move to still higher yields. For those who thought that Treasuries were already over its skis in terms of the selloff last week, today’s price action was a head-scratcher. “It is strange times. Yields had already looked high before, especially with the backdrop of possible recessionary headwinds,” suggested one source.


The 10y note yield is last 14.3bps higher at 2.14% while 5s30s is last 2.3bps flatter at 38.4bps and 2s10s 3.5bps steeper at 27.7bps. Meanwhile, the energy complex took another down leg (WTI -6.8%, Brent -6%), sending the front end of the TIPS BE curve down 7bps while the belly of the BE curve also dropped around 2bps. Equities ended lower (DJIA 0%, S&P -0.74% and Nasdaq -2.04%).

USD Vol: Breakout higher in yield drives vol higher; Payers, CFS bid


Treasuries yields have grinded higher into a double digit move, with yields 9.5 to 14.5bps higher on the day, led by the 7y. Meanwhile, energy has sunk lower (WTI -6.6%, Brent -6.1%) and equities are now lower, erasing earlier gains (DJIA -0.1%, S&P -0.87% and Nasdaq-1.86%). The vol surface is higher with the large realized selloff out of the recent range. 3m expiries are roughly 2.5 to 5 normals firmer, with the firming led by the belly 5y to 10y. 1y expiries are roughly 1.5 to 3 normals, led by the left. Further out, long expiries are 0.2 to 0.5 normal higher.


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