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US TSYS: VIEW: Goldman Sachs note that "in addition to fundamentals, we believe
a couple of shorter term factors have led to the rally - our PCA framework
attributing changes to the 3 macro factors (growth, inflation & MonPol) leaves a
residual of over 10-15bp. We think positioning is one such factor; steepeners
have been a widely held view, and the rally from early-Jun highs has probably
triggered some unwinds. Indeed, following very strong demand at the 30y auction
(the indirect award was an all-time high going back to the start of history in
'06), our standing 5s30s real yield curve steepener hit its trailing stop, and
we unwound the position at 18bp profit. The auction results and market action
going into and following the auction suggest not just short-covering, but also
potentially a real money bid. While the early part of the rally suggests Asian
and domestic investor buying, more recent price action suggests the bid has
largely been domestic, and from an intraday timing perspective, followed updates
on virus caseloads. Although there's some room for 30y UST yields to decline,
which could keep this type of demand active, we think the argument is less
compelling for UST 10s. Therefore, we recommend selling 10y USTs."