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Tsy Futures Near Late Highs, Rate Cut Projections Gradually Gaining

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  • Treasuries climbed steadily off early session lows Tuesday, late profit taking sees futures 2-3 points off session highs. Projected rate cuts through year end have regained some ground after receding Monday into early Tuesday (*): Sep'24 cumulative -33.5bp (-32.7bp), Nov'24 cumulative -73.3bp (-71.8bp), Dec'24 -115.4bp (-112.0bp).
  • Dec'24 10Y futures currently trade +12 at 115-13.5 vs. 115-16 high, shy of 115-19 technical resistance (High Aug 5 and the bull trigger). 10Y yield -.0563 at 3.6442%. Curves mildly steeper after disinverting last Friday (climbing to highest level since June 2022 early Monday at 7.405), 2s10s currently +.805 at +3.765.
  • No economic data on today, markets await Wednesday's CPI, PPI inflation measure on Thursday. Core non-housing service inflation is expected to see at least a repeat of the 0.21% M/M from July, with six analysts between 0.20-0.35% M/M.
  • The Federal Reserve's top banking regulator Michael Barr on Tuesday said the biggest U.S. banks would face a 9% increase in capital requirements in a re-proposal of Basel endgame and G-SIB surcharge rules.
  • For other large banks that are not G-SIBs, Barr said the impact from the re-proposal would mainly result from the inclusion of unrealized gain and losses on their securities in regulatory capital, estimated to be equivalent to a 3% to 4% increase in capital requirements over the long run, according to prepared remarks.
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  • Treasuries climbed steadily off early session lows Tuesday, late profit taking sees futures 2-3 points off session highs. Projected rate cuts through year end have regained some ground after receding Monday into early Tuesday (*): Sep'24 cumulative -33.5bp (-32.7bp), Nov'24 cumulative -73.3bp (-71.8bp), Dec'24 -115.4bp (-112.0bp).
  • Dec'24 10Y futures currently trade +12 at 115-13.5 vs. 115-16 high, shy of 115-19 technical resistance (High Aug 5 and the bull trigger). 10Y yield -.0563 at 3.6442%. Curves mildly steeper after disinverting last Friday (climbing to highest level since June 2022 early Monday at 7.405), 2s10s currently +.805 at +3.765.
  • No economic data on today, markets await Wednesday's CPI, PPI inflation measure on Thursday. Core non-housing service inflation is expected to see at least a repeat of the 0.21% M/M from July, with six analysts between 0.20-0.35% M/M.
  • The Federal Reserve's top banking regulator Michael Barr on Tuesday said the biggest U.S. banks would face a 9% increase in capital requirements in a re-proposal of Basel endgame and G-SIB surcharge rules.
  • For other large banks that are not G-SIBs, Barr said the impact from the re-proposal would mainly result from the inclusion of unrealized gain and losses on their securities in regulatory capital, estimated to be equivalent to a 3% to 4% increase in capital requirements over the long run, according to prepared remarks.