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Tsys Futures Edge Lower, 10Y Yield Tests Trendline

US TSYS
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  • Treasury futures are slightly lower today, ranges have been tight. Futures made highs on the opened and have since edged lower TU is -0-00⅝ at 102-05⅜, while TY - 01+ at 110-08.
  • Volumes: TU 33k, FV 55k TY106k - largely in line with Wednesday.
  • Tsys flows: 5,606k Block UXY at 114-00, likely seller.
  • The 10Y yield is now testing trendline support, while the recent move in Oil (down ~8% over the past week) could point to a break of the trendline support as the 10y yield has largely followed Oil prices over the past year by a few weeks. See chart 1 - Source BBG

  • Cash treasury curve have moved wider today, yields are 1-2bps higher, the 2Y +1.6bp to 4.739%, the 10Y +1.7bps at 4.293%, the 2y10y +0.078 at -44.808.
  • Late year rate cut projections have gradually gained vs. late Tuesday levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -18% w/ cumulative at -4.8bp (-4.3bp) at 5.283%, Sep'24 cumulative -19.8bp (-19.3bp), Nov'24 cumulative -28.9bp (-27.8bp), Dec'24 -47bp (-44.3bp).
  • Looking ahead; Weekly Claims & Trade Balance as well as ECB policy announcement.
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  • Treasury futures are slightly lower today, ranges have been tight. Futures made highs on the opened and have since edged lower TU is -0-00⅝ at 102-05⅜, while TY - 01+ at 110-08.
  • Volumes: TU 33k, FV 55k TY106k - largely in line with Wednesday.
  • Tsys flows: 5,606k Block UXY at 114-00, likely seller.
  • The 10Y yield is now testing trendline support, while the recent move in Oil (down ~8% over the past week) could point to a break of the trendline support as the 10y yield has largely followed Oil prices over the past year by a few weeks. See chart 1 - Source BBG

  • Cash treasury curve have moved wider today, yields are 1-2bps higher, the 2Y +1.6bp to 4.739%, the 10Y +1.7bps at 4.293%, the 2y10y +0.078 at -44.808.
  • Late year rate cut projections have gradually gained vs. late Tuesday levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -18% w/ cumulative at -4.8bp (-4.3bp) at 5.283%, Sep'24 cumulative -19.8bp (-19.3bp), Nov'24 cumulative -28.9bp (-27.8bp), Dec'24 -47bp (-44.3bp).
  • Looking ahead; Weekly Claims & Trade Balance as well as ECB policy announcement.