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Goldman Sachs note that "while the substantial increase to long-end Treasury supply is one factor supporting our yield curve steepening (and long end swap spread tightening) view, we do not believe that has been a material factor over the past week. Indeed, into Jackson hole, changes were largely swap-led, with 30y spreads reaching the widest (and spread curves the steepest) levels since before the COVID shock. While we generally expect the period ahead of long-end auctions to see somewhat more regular yield curve steepening, the fact that the curve has steepened already may dampen any auction supply-driven curve pattern in the coming weeks. Instead, heading into September, the supply impact could show up more in swap spreads, where we see scope for some of the recent widening to retrace. In addition to the usual Treasury supply, September typically sees a material pick-up in corporate issuance volumes versus August, with it being the heaviest month for investment grade supply in each of past two years. To be sure, this August has already been a relatively strong month for issuance, but so long as September is somewhat consistent with recent seasonals in the context of a record-setting year (our credit strategists see risks around their $1.7tn issuance forecasts as skewed to the upside), the overall weight of supply should bring some downward pressure on swap spreads further out the curve."
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