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Markets Roundup: Late Risk Off Bouys' Rates

US TSYS
  • Still weaker but well off midday lows now, Treasury futures are have rebounded over the last hour (TYU3 109-11.5 -6.5), partially a risk-off move as stocks continue to weaken, SPX Eminis back to late June levels (4387.0 -33.0)
  • Curves maintaining steeper profiles with short end rates outperforming: 3m10Y +6.865 -113.724, 2Y10Y +4.652 at -67.252. Robust volumes for late summer trade: TYU3 over 1.5M. Of note, 30Y yield had climbed past late Dec 2022 high to 4.4219% in the first half, a level last seen in late June 2011, is currently at 4.4043%.
  • Earlier, Treasury futures traded lower after Philadelphia Fed Business Outlook comes out higher than expected at 12.0 vs. -10.0 est, prices paid 20.8 vs. 9.5 prior. Weekly claims largely in-line with expectations: -11k to 239k vs. 240k est while continuing claims climbs to 1.716M vs. 1.700M est.
  • With data out of the way early (and no data Friday) Treasury futures managed to recover by midmorning, front month 10Y futures marking 109-20.5 high amid a combination of two-way position, option hedging and early cycle Sep/Dec quarterly futures rolling. Nascent support evaporated going into the European close with rates marking session lows on similar moves in Gilts and Bunds.
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