Not much of a rebound in US Treasury yields this morning following the epic plunge on Tuesday afternoon in the wake of the very disappointing US ISM Manufacturing PMI. Just to refresh your memory, the PMI dropped to 47.8 from 49.1 on expectations of a reading just above the breakeven level of 50. Nearly every component of the survey was weak, hence yields edged lower and lower yesterday afternoon. At pixel time the 10y Treasury yield traded at 1.66, up 4bps from yesterday’s low but 10bps below yesterday’s high. The USD OIS 21m1m, the lowest point of the forward curve, was at 1.09 this morning after trading at 1.22 or so pre-ISM.
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