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Treasuries Continue A Week Of Swings With ECB-Led Cheapening

  • Cash Treasuries have seen a reasonable bear flattening today (2YY +5.6bps, 10YY +2.3bps) with nearly all of the cheapening coming from the ECB 75bp hike announcement and then press conference.
  • They only edged out further moves with Powell doing little to push back on market pricing nearing a 75bp hike (currently 71.5bps, and with GS late yesterday and Barclays today joining calls for a 75bp hike). The main hurdle remains Tuesday’s US CPI prior to the Sep 21 FOMC decision.
  • TYZ2 trades 6 ticks lower at 115-31+ having rallied pre-ECB, continuing to build on its vulnerability to the downside from a technical perspective having breached the bear trigger at 115-23. Support is seen at 115-13+ (Sep 7 low).
  • Fedspeak highlights an otherwise light US docket tomorrow, with appearances from Governor Waller and ’22 voter George plus Evans again (today said see’s topping out at 4% “before too long” before pausing). The media blackout will kick in at Friday midnight.

2Y Tsy yield fluctuations ever since the mixed payrolls report, Sep 2Source: Bloomberg

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