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Tsys Futures At Session's Best, Curve Flattens

US TSYS
  • Treasury futures are off earlier lows and now trade at session's best, although well within Friday's ranges, while volumes are elevated early however have dropped off in the afternoon. TUU4 -00⅝ to 103-04¾, while TYU4 + 00+ to 113-04.
  • Cash treasury curve has twist-flattened over the day, with the 2yr yield +0.6bps to 4.056%, while the 10yr yield was -0.2bp at 3.881%, the 2s10s is back near pre-FOMC levels -0.773 at -17.907.
  • Projected rate cuts into year end vs. this mornings pre-data levels (*): Sep'24 cumulative -33.8bp (-33.8bp), Nov'24 cumulative -64.2bp (-62.0bp), Dec'24 -96.8bp (-93.5bp).
  • Looking ahead, the Fed's Waller to speak, Democratic Convention & Leading Index

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