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Markets Roundup: Tsys Back Off Lows

US TSY FUTURES
  • Treasury futures remain weaker, but off recent lows after futures inexplicably reversed a post UofM sentiment data rally, front month 10Y futures slipped to 112-24.5 low (above technical support of 112-12+, Low Jun 14).
  • No particular headline driver for the reversal. It appears FI longs took the post UofM rally (sentiment 63.9 vs. 60.0 est, 59.2 prior while 1Y inflation exp falls to 3.3% vs. 4.1% est) as an opportunity to unwind ahead the long holiday weekend.
  • Two-way trade as futures rebound to 113-02.5, sill within yesterday's range. The more worrisome metric, however, is the 2s10s curve inversion nearing March 8 43 year lows, this as short end rates price in projected 25bp hike in one of the next 3 FOMC meets.
  • Chances of a 25bp hike next at the July 26 FOMC is approximately 72% with Fed funds implied at 18bp. Probability of a 25bp hike over the two meetings that follow remain above 80%: September cumulative at +21.1bp to 5.290%, November cumulative 20.9bp to 5.287%. while December cumulative holds at 12.8bp to 5.206%. At the moment, Fed terminal at 5.290% in Oct'23.
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