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Treasuries Rally But Confined To Wide Range With CPI On Horizon

  • Cash Tsys see an accelerating rally across the curve, led through 5-10Y tenors, along with the dollar sliding as Kuroda talked down USD/JPY. It comes with terminal and in particular end’23 Fed Funds rate expectations cooling from most recent gains but has struggled to offer support for the long-end.
  • 2YY -4.9bps at 3.455%, 5YY -7.4bps at 3.347%, 10YY -7.0bps at 3.247%, 30YY -5.3bps at 3.422%.
  • TYZ2 trades +11 ticks at 116-10, in the middle of yesterday’s range on average volumes. It moves further away from support at 115-13+ (Sep 7 low) and moves closer to resistance at 116-26 (Sep 2 high).
  • Barring particular surprises from the FOMC members Waller and George, it is unlikely to have the impetus to move out of the week’s wide ranges with CPI on Tuesday.

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