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Markets Roundup: Tsys Extending Highs

US TSY FUTURES
  • Treasury futures continue to extend highs, following Bund lead as German 10Y yield falls 10.9bp (largest down-move since April 28.
  • Front month 10Y Treasury futures nearing last Thursday's post-weekly claims highs, marks 113-15.5 session high (+14), yield 3.7053% low.
  • Initial firm resistance is at 114-00, the Jun 13 high, followed by 114-06+ / 114-17 High Jun 6 / 50-day EMA.
  • Weaker equities (ESU3 down to 4411.0) and crude prices (WTI -1.78 at 70.0) contributing to the current risk-off support.
  • Of note, no significant change in rate hike expectations with short end SOFR futures holding weaker. Market confidence of a hike at the July 26 FOMC is appr 70% with an implied rate of +17.3bp to 5.258%, September and November pricing in appr 86% with cumulatives of +22.5bp and 21.0 respectively at 5.3-5.295%.
  • Dec'23 cumulative running near 12bp at 5.205%, Fed terminal at 5.30% in Oct'23 and Nov'23 at the moment.
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