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A Further Extension Of The Tsy Rally As Breakevens Fall Further

US TSYS
  • Cash Tsys have pushed to new session highs, including 5s which earlier rallied swiftly on the stronger auction.
  • There’s little by way of obvious headline driver for the latest extension of the earlier rally, but 10s are leading the rally (7.6bp richer) which comes with a large further decline in the breakeven rate (-5.5bp to 2.225%) to levels last sustained in early July.
  • There’s relatively little change in expectations for FOMC meetings though compared to levels at the start of the US session, with the first cut in June and 86bp of cuts from current levels to end-2024.

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