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Equity Bounce Goes Unnoticed In Treasuries

US
  • A reasonable bounce in equites (ESU2 +0.7% off the session low, Nasdaq erasing its drop and hitting session highs) has gone largely unnoticed in Tsys, which remain close to session highs.
  • In yield space, 5Y and 10Y tenors still lead the moves on the day at -9bps from Friday’s close, at or below lows touched on Friday after the accelerated rally with the ISM manufacturing miss before it was fully retraced.
  • The curve remaining incredibly flat in major benchmarks, with 2Y, 5Y and 10Y tenors all between 2.789-2.796%.
  • Treasury volatilities are back at Mar-2020 levels on the back of these recent moves, with TY 1m 50D vol just off an earlier session high of 10.43.
  • With growth fears in such focus, tomorrow’s service ISM releases is particularly notable with consensus for a moderation from 55.9 to 54.0.
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  • A reasonable bounce in equites (ESU2 +0.7% off the session low, Nasdaq erasing its drop and hitting session highs) has gone largely unnoticed in Tsys, which remain close to session highs.
  • In yield space, 5Y and 10Y tenors still lead the moves on the day at -9bps from Friday’s close, at or below lows touched on Friday after the accelerated rally with the ISM manufacturing miss before it was fully retraced.
  • The curve remaining incredibly flat in major benchmarks, with 2Y, 5Y and 10Y tenors all between 2.789-2.796%.
  • Treasury volatilities are back at Mar-2020 levels on the back of these recent moves, with TY 1m 50D vol just off an earlier session high of 10.43.
  • With growth fears in such focus, tomorrow’s service ISM releases is particularly notable with consensus for a moderation from 55.9 to 54.0.