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Treasury Futures Steady, Ranges Tight, RBA To Come Shortly

US TSYS
  • Treasury futures are little changed today, volumes are on the low side while ranges have been very tight. The 10Y is traded well within Tuesdays ranges, and is currently trading unchanged from NY closing levels, with highs of 108-29 and lows of 108-26, while the 5Y and 2Y contracts trade in a similar manner.
  • Earlier we saw a Block flattener trade sell the 5Y buy the 30Y, while there were also a couple of TU-FV-UXY Flys going across the screen.
  • The cash treasury curve is little changed today, yields are flat to 0.5bps lower. We currently trade near sessions best levels after initially opening 0.5bps higher across the curve. The 2Y yield is now -0.4bps at 4.826%, while the 10Y yield is -0.6bps at 4.481%.
  • Across local rate markets: ACGBs curve flatter, yields are 0.5bp-2bps lower, NZGB curve has pivoted at the 7yr, yields are 2-6bps lower while JGBs continue to see better buying in the belly of the curve with yields 1bp higher to 2bps lower.
  • Projected rate cut pricing looks steady to mildly cooler vs. this morning's levels: June 2024 steady at -10% w/ cumulative rate cut -2.5bp at 5.298%, July'24 at -24% w/ cumulative at -8.5bp at 5.238%, Sep'24 cumulative -20.7bp (-22.8bp earlier), Nov'24 cumulative -30.3bp (-32.8bp earlier). Dec'24 cumulative currently -43.7bp (-47.7bp earlier).
  • Looking Ahead: Little on the data calendar for the week, focus will turn to Fed speakers with MN Fed Kashkari at 1130ET.
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