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Quietly Extending Lows

US TSY FUTURES
  • Front month Treasury futures have quietly rolled back over, extending moderate session lows in the last few minutes (TYM3 -16.5 at 115-17, yield climbs to 3.4457% high).
  • No obvious headline or Block-driven trigger at the moment while curves extending inversion (2s10s -3.272 at -54.991). This may be the impetus as projected rate cuts continue to climb off Thursday's lows given the rise in UofM's long term inflation expectations and cooling sentiment.
  • Yesterday saw three consecutive 25bp cuts projected to start in September.
  • At the moment, however, September cumulative -21.6bp at 4.850%, November cumulative -44.1bp at 4.625%, Dec'23 cumulative -68.4bp at 4.382%, while Jan'24 cumulative is at -91.9bp (vs. 110.2bp Thu) at 4.148%. Fed Terminal currently at 5.08% in Jun'23 and Jul'23.

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