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Extending Lows, Consecutive Hikes Gain Momentum

US TSY FUTURES
  • Treasury futures continue to extend session lows, curves still flat but off deeper inverted levels as intermediates to long end lead the sell-off. Knock-on pressure in EGBs as well this morning, while recent Block sales in 5s and 10s contributing to move.
  • At the moment, front month 10Y futures trading 112-04 (-104) vs. 112-01 low, just above technical support of 112-00 (March 10 low) where a breach puts focus on 111-14+ (March 9 low) then key support of 110-27+ (March 2 Low).
  • Morning data got the ball rolling: showing economy grew faster than anticipated GDP Annualized QoQ 2.0% vs. 1.4% est, 1.3% prior. Weekly claims recede (239k vs. 265k est, 264k prior) after showing stronger than expected gains the last few weeks. Latest pending home sales moderating, however, -2.7% MoM vs. -0.5% est.
  • In turn, Secured Overnight Financing Rate 3M futures extending session lows as projected rate hike(s) gaining traction. Front month Sep'24 SOFR futures are currently trading -0.045 at 94.59 (3M SOFR settled -0.00443 to 5.53343% this morning); balance of Whites (SFRZ3-SFRM4) are trading -0.125-0.195, Reds-Golds (SFRU4-SFRM8) -0.185-0.135.
  • Projected rate hikes gaining: July 26 FOMC has climbed to 86% w/ implied rate of +21.5bp to 5.283%. September fully pricing hike w/ cumulative of +29.1bp at 5.365%, November cumulative climbs to 35.1 at 5.425%, December cumulative 33.2 at 5.406%. Fed terminal at 5.42% in Nov'23 vs. 5.445% earlier.
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