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Tsys Futures Continue Move Higher, Curve Twist-Steepened

US TSYS
  • Treasury futures reversed earlier moves as the US session kicked off on Tuesday, the moves followed decent 2y auction results which stopped through 0.6bp, while the Conference Board consumer survey saw overall confidence surprise higher again. The Fed's Waller will speak at a payments conf in Mumbai at 15:15 AEST/ 13:15 HKT.
  • Heavy session Tsy futures volumes tied to Sep'24/Dec'24 roll efforts, 2s near 80% complete, 10s 70% complete.
  • TYU4 closed the session -0-02+ at 113-16+, while TUU4 closed +0-01⅝ at 103-12⅜, we have continued the moves higher in Asia this morning and have pushed slightly higher again.
  • Cash treasury curves twist-steepened on Tuesday, yields were -4bps to +1bps higher, with the 2yr yield -3.7bps to 3.899%, while the 10yr yield was +0.6bps at 3.822%, the 2s10s rose 4.015 to -8.174 the least inverted since early August.
  • Projected rate cut pricing through year end has gained vs. early Tuesday levels: Sep'24 cumulative -34.1bp (-31.8bp), Nov'24 cumulative -67.4bp (-64.7bp), Dec'24 -104.6bp (-99.2bp)
  • Today, MBA Mortgage Applications, US Treasury auctions include $28B 2Y & $70B 5Y, while Atl Fed Bostic will discuss his economic outlook.
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