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Continue to Extend Lows, Curves Bear Steepen

US TSYS
  • Treasury futures steadily extend lows since ISM mfg and prices paid miss. Sep'24 10Y nearing key support of 109-00+ (Jun 10 low), trading 109-06 (-26) vs. 109-05 low. Rather decent volumes with TYU4 over 1.3M contracts.
  • Tsy 10Y yield taps 4.4752% high (+.0791), curves bull steeper: 2s10s taps -30.730 high.
  • Various factors at play, include carry-over month end positioning since Tsys reversed early support last Friday. Curve flattener unwinds in play, while rate cut positioning cools vs. morning levels (*): July'24 at -8.5% w/ cumulative at -2.1bp at 5.307%, Sep'24 cumulative -17bp (-17.6bp), Nov'24 cumulative -25.7bp (-26.1bp), Dec'24 -43.4bp (-45bp).

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