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Treasuries Rally Further, Supporting Risk Assets

US TSYS
  • Cash Tsys see a continuation of yesterday’s sizeable rally, this time with the 2Y taking the outperformance reins from the 5Y with further decline in terminal and end’23 rate expectations for the Fed and the concentration in real yield space further supportive for risk assets.
  • Treasuries underperform European FI, particularly Gilts and BTPs, whilst we wait to see whether the US coming in drives a further acceleration as was the case yesterday.
  • 2YY -11.4bps at 4%, 5YY -10.4bps at 3.775%, 10YY -6.9bps at 3.57%, and 30YY -4bps at 3.639%.
  • TYZ2 trades 20+ ticks higher at 113-27 only just off an overnight high of 113-30 having cleared resistance at the 20-day EMA of 113-27+. With the correction extends, the next resistance is eyed at 114-31+ (38.2% retrace of Aug 2 – Sep 28 bear leg).
  • Data: August releases factory orders/final core durables and JOLTS
  • Fedspeak: Logan, Williams, Mester, Jefferson, Daly
  • Bill issuance: US Tsy $34B 52-W bills auction – 1130ET
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  • Cash Tsys see a continuation of yesterday’s sizeable rally, this time with the 2Y taking the outperformance reins from the 5Y with further decline in terminal and end’23 rate expectations for the Fed and the concentration in real yield space further supportive for risk assets.
  • Treasuries underperform European FI, particularly Gilts and BTPs, whilst we wait to see whether the US coming in drives a further acceleration as was the case yesterday.
  • 2YY -11.4bps at 4%, 5YY -10.4bps at 3.775%, 10YY -6.9bps at 3.57%, and 30YY -4bps at 3.639%.
  • TYZ2 trades 20+ ticks higher at 113-27 only just off an overnight high of 113-30 having cleared resistance at the 20-day EMA of 113-27+. With the correction extends, the next resistance is eyed at 114-31+ (38.2% retrace of Aug 2 – Sep 28 bear leg).
  • Data: August releases factory orders/final core durables and JOLTS
  • Fedspeak: Logan, Williams, Mester, Jefferson, Daly
  • Bill issuance: US Tsy $34B 52-W bills auction – 1130ET