TREASURIES SO FAR: Treasuries making new lows, and steeper, after BoE pause in wake of hawkish FOMC pause; eyes on jobless claims and Philly Fed survey

BLOCKS

• @ 22:54ET: 2.1k ZTZ3 at 101-057 vs 900 TNZ3 at 112-26 


• @ 00:43ET: 2.5k ZTZ3 at 101-058 vs 1.1k TNZ3 at 112-275


• @ 04:36ET: 8.1k ZFZ3 at 105-102

OI CHANGES

Futures: Massive additions in short end after FOMC and UK CPI: ZT +1.97%, ZF -0.02%, ZN +0.65%, TN -0.06%, ZB +0.59%, UB -0.34%.

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Analysis details (13:17)

T-Notes (Z3) down 23+ ticks at 108-15+ on above-average volumes in a 108-13+/108-25+ range.

CASH YIELDS: 2yr +5.4bps at 5.174%, 5yr +11.0bps at 4.623%, 10yr +11.3bps at 4.46%, 30yr +9.9bps at 4.499%.

SO FAR: Treasuries continued their post-FOMC decline into the APAC Thursday session, where T-Notes found support at 108-16 in the Tokyo morning. Citi's rates desk noted that amid the leak lower its desk saw net better buying into the dip (real$ mostly in intermediates) before cash activity died out into the APAC afternoon. T-Notes gently recovered to resistance at 108-24 early in the European session before some long-end weighted selling kicked in again. After the BoE left rates unchanged, the govvie selling picked up momentum, and T-Notes went on to print new session lows just recently of 108-13+ ahead of the US data.

THURSDAY: Philly Fed mfg. survey, Initial Jobless Claims, and Q2 Current Account all at 08:30ET, Existing Home Sales (Aug) and ECB's Lagarde at at 10:00, 2s, 5s, 7s, and 2yr FRN auction announcement at 11:00, USD 15bln 10yr TIPS auction at 13:00.

21 Sep 2023 - 13:17- Fixed IncomeData- Source: Newsquawk/CME