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Currently Extending Lows

US TSY FUTURES
  • Treasury futures have completely reversed this morning's post-CPI rally, and currently extending session lows, curves bear steepening with the short end outperforming (3M10Y +3.2414 at -140.910, 2Y10Y +3.488 at -76.519).
  • Front month Sep'23 10Y futures marking 111-05.5 low (-7), nearing technical support of 110-23 (Aug 7 low)/109-24 (bear trigger).
  • Reversal off firmer levels ongoing and little to do with current comments from San Fran Fed Pres Daly (data as expected, more work to do to address inflation, premature to decide on another hike, a long way from talking too-restrictive). Fed speakers Bostic and Harker are up later in the day (1500ET and 1615ET resp).
  • Futures have rebounded slightly, TYU3 111-07.5 last (-5), amid modest pre-auction short sets ahead upcoming 4W/8W bill auctions at the bottom of the hour, $23B 30Y Bond sale at 1300ET.
  • Rate hike projections through year end have receded from this morning's levels, but off lows following Daly's comments: Sep 20 FOMC is 10% w/ implied rate change of +2.5bp to 5.354%. November cumulative of +7.5bp at 5.404, December cumulative of 3.6bp at 5.365%. Fed terminal at 5.405% in Nov'23.

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