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Treasury Futures Edge Higher On Increased Volume, 2s10s Near Ytd Low

US TSYS
  • Treasury futures have edged higher throughout the day, volumes have also picked up the TU is up (+ 00.375) at 101-16.25, while TY is (+ 01) at 108-24. Futures are now on track for their biggest weekly drop in 5 weeks as rate cut projections get pushed back and the 2s10s curve trading near ytd lows.
  • Volumes: TU 47k, FV 102k, TY 119k
  • Tsys Flows: Block Flatter FV-US, DV01 160k
  • Treasuries traded lower Thursday on the back of strong PMI data, extending the pullback from the recent 109-31+ high on May 16. Support to watch lies at 108-15 (May 14 lows), on the upside initial resistance is 109-07 (50-day EMA).
  • The treasury curve has slightly bear-flattened throughout the trading session with yields now 1-1.5bps lower, the 2Y yield -1.3bps at 4.922%, 10Y -1.2bp to 4.465%, while the 2y10y +0.319 at -45.962
  • Regionally: ACGBs are 5bps higher, NCGBs are 3-4bps, JGBs are +/- 1bp, the 10Y touched 1%.
  • Rate cut projections have receded vs late Wednesday levels (*): June 2024 at -0% w/ cumulative rate cut 0.0bp at 5.328%, July'24 at -10.0% (-16.0%) w/ cumulative at -2.5bp (-5.2bp) at 5.302%, Sep'24 cumulative -14.2bp (-17.8bp), Nov'24 cumulative -21.2bp (-26.2bp), Dec'24 -34.8bp (-40.6bp).
  • Looking ahead: Durables/Cap Goods and the latest UofM Sentiment, Fed's Waller to Speak while June Treasury options expire as well.
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