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Tsys Futures Edge Higher, Volumes Below Average

US TSYS
  • Treasury futures have edged higher this morning although the long-end still underperforms after Monday's sell-off. TU is + 00+ at 102-14+, while TY is + 03 at 110-26.
  • The treasury curve is slightly flatter, with the 2yr -0.9bps at 4.508% and the 10yr -1.2bps at 4.241%. The past week has seen the treasury curve move about 9bps wider with the 2s10s little changed at -27bps over the week after rallying from -43bps in July.
  • The 1yr USD Inflation Swap is trading near yearly lows at 1.9175, falling 51bps since July 1, futures markets are pricing in just under 2.5 cuts into year-end. (See Chart - Source BBG)

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