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Post-PMI Rebound

US TSY FUTURES

Tsys bouncing off lows following another round of weak/lower than expected PMIs: MFG still over 50.0 at 51.3 but off 51.8 est, broad miss for Services (May 2020 low) at 44.1 vs. 49.8 est, Composite miss (July 2020 low) at 45.0 vs. 47.7 est.

Yield curves snap steeper, short end outperforming as rate hike pricing past 50bp at Sep FOMC recedes. Current levels:

  • 3M10Y -0.488, 26.211 (L: 16.776 / H: 29.411)
  • 2Y10Y +4.481, -25.464 (L: -33.091 / H: -25.16)
  • 2Y30Y +4.431, -4.421 (L: -12.933 / H: -3.958)
  • 5Y30Y +1.995, 8.602 (L: 3.6 / H: 9.338)

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