TREASURY WRAP: T-NOTE FUTURES (U5) SETTLE 8 TICKS HIGHER AT 111-24+

Analysis details (20:10)

T-Notes catch bid as attention turns to Jackson Hole and downbeat sentiment boosts haven demand. At settlement, 2-year -1.7bps at 3.756%, 3-year -2.2bps at 3.713%, 5-year -2.9bps at 3.826%, 7-year -3.4bps at 4.039%, 10-year -3.3bps at 4.306%, 20-year -3.4bps at 4.884%, 30-year -3.7bps at 4.905%.

INFLATION BREAKEVENS: 1-year BEI -1.7bps at 3.206%, 3-year BEI -1.7bps at 2.680%, 5-year BEI -1.9bps at 2.423%, 10-year BEI -2.4bps at 2.348%, 30-year BEI -1.8bps at 2.257%.

THE DAY: T-Notes were bid from the European morning through the European close, with the upside holding until settlement. The data highlighted in the US saw the housing starts rise above all analyst forecasts, but these are typically quite volatile, while the forward looking building permits came in beneath St. consensus, which saw brief two-way action in T-Notes. T-Notes then resumed higher with the data out the way, perhaps aided by the cooler than expected Canada inflation data which saw traders boost BoC rate cut bets. The Atlanta Fed GDPNow estimate was also revised down to 2.3% from 2.5% while attention now turns to Jackson Hole, particularly Fed Chair Powell on Friday to see whether he signals a September rate cut. However, he may be reluctant to openly confirm one given another CPI and NFP report are due before the September meeting. Elsewhere, Bowman spoke today, mainly focusing on supervision and regulation, but stating her views on monetary policy and the economy have not changed since July.  Waller will speak tomorrow at a Blockchain event while the July FOMC minutes will be eyed, as will the 20yr bond auction. 

Bills:

• US to sell USD 65bln of 17-wk bills on August 20th


• US to sell USD 100bln of 4-wk bills and USD 85bln of 8-wk bills on August 21st


• US sold USD 85bln of 6-wk bills at a high rate of 4.245%, B/C 2.57x

STIRS/OPERATIONS

• Market Implied Fed Rate Cut Pricing: September 22bps (prev. 21bps), Oct 35bps (prev. 34bps), Dec 54bps (prev. 53bps).


• NY Fed RRP op demand at USD 22bln (prev. 38bln) across 29 counterparties (prev. 19).


• EFFR at 4.33% (prev. 4.33%), volumes at USD 112bln (prev. 114bln) on August 18th.


• SOFR at 4.34% (prev. 4.36%), volumes at USD 2,810tln (prev. 2.821tln) on August 18th.


• Treasury Buyback (1m-2yr, liquidity support): Accepts maximum amount of USD 4bln of 28.7bln offers (offer to cover, 7.18x), accepts 12 issues from 60 eligible.

19 Aug 2025 - 20:10- ForexData- Source: Newsquawk