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Post-Data Update

US TSYS
  • Treasury futures holding session lows after last round of data: in-line Business Inventories, dip in NAHB housing Market index. Sep'24 10Y trades 112-25.5 low (-31), yield at 3.9513. Curves still flatter but off lows (2s10s currently -2.628 at -15.315 vs. -17.615 low) with the short end underperforming as rate cut pricing recedes.
  • Current projected rate cuts recede vs. earlier pre-data levels (*) post-CPI: Sep'24 cumulative -31.8bp (-35.2bp), Nov'24 cumulative -62.0bp (-69.6bp), Dec'24 -93.5bp (-104.1bp).

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