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Rate Hike Price Discovery

US TSY FUTURES
Tsy futures clawing off lows, short end gaining as market pricing chance of 75bp hike on Sep 21 cools slightly - as opposed to more hawkish chatter from ECB (Governing Council member Holzmann sees "no reason for leniency in inflation fight" as 75bp should be debated" next week.
  • Current pricing remains fluid - data dependent and can change on a dime if Friday's August NFP outperforms current estimates (+300K) like they did in July (528k vs. +250k est) in which case current short sell off sharply, curves likely bear flattening.
  • Current curve levels:
    • 3M10Y +4.358, 17.608 (L: 10.992 / H: 19.35)
    • 2Y10Y +1.891, -32.428 (L: -36.415 / H: -32.054)
    • 2Y30Y +1.397, -21.62 (L: -24.772 / H: -20.294)
    • 5Y30Y +0.147, -5.139 (L: -6.205 / H: -2.346)

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