###POV:PRECEDENTS FOR TSY/S&P DIVERGENCE:...>

US TSYS: ###POV:PRECEDENTS FOR TSY/S&P DIVERGENCE: US Treasuries` weak

performance in October despite a big equity market drop has attracted attention.

But while this disconnect is unusual, it is not unprecedented.

- See charts + tables here for more detail: https://tinyurl.com/MNI-EQYLD

- Since 1980 there have been 41 months in which the S&P fell 5+%, with an

average drop of 8.0%. Oct 2018 was the 21st worst (-6.9%, equal to the median).

- In such months, 2-Yr Tsy yields have fallen 16.4bps on median/12.7bps on

average; 10-Yrs have fallen 9.1bps on median/6.6bps on average.

- Oct 18 defied these trends: 2-Yr yields rose by 4.8bps, and 10-Yrs by 8.2bps.

- 2-Yr yields rose in 15 of 41 S&P 5+% down months, and 10-Yr yields rose in 17,

suggesting that October's disconnect is not a total anomaly.

- More notable is the failure in Oct for 2s10s to bull steepen, which was seen

in 16 of the 24 times the curve steepened, including famous equity drops like

Oct-87 and Sep/Oct-08 when Fed tightening expectations were sharply repriced.

- This time, markets may be signalling expectations for the FOMC to look beyond

equity volatility and stay the course on its hiking path.