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Off Midday Lows, Curves Hold Steeper

US TSYS
  • Treasury futures trading just off midday lows, curves maintaining steeper profiles with short end rates outperforming: 3m10Y +7.261 -113.328, 2Y10Y +4.652 at -67.252. Robust volumes for late summer trade: TYU3 over 1.3M already.
  • Of note, 30Y yield climbed past late Dec 2022 high to 4.4219% in the first half -- last seen in late June 2011.
  • 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, however, with rates marking session lows on similar moves in Gilts and Bunds.

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