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US TSYS: Tsys Futures Edge Slightly Higher Following Last Weeks Sell-Off

US TSYS
USBulletMarketsFixed Income BulletsNorth America
  • Tsys futures are a touch higher today, although ranges have been narrow, volumes have also been below recent averages. TU -00⅛ at 102-28⅛, while TY is trading +01+ at 109-29+, just off initial support at 109-26 (Low Dec 13)
  • Earlier, there was a large TY put seller at 0'28 x10,000.
  • Cash tsys yields are -1bps lower today, with the 2yr -1.1bps at 4.234%, while the 10yr is -1bps at 4.387%. The 2s10s is hovering around recent highs at 15bps
  • Investors will be focused on tonight's December US preliminary Mfg and services PMI for signs on the health of the US economy, while eyes are also on the 10yr break-even inflation rate after it climbed the most in two months as rising oil prices posed upside risks to the cost of living.
  • Hedge funds trimmed net short positions in ultra 10-year to ultra-long bond futures by $6.1m/DV01 in the week to Dec. 10, while remaining bearish on the front end, adding $3m/DV01 to 2-year note shorts. Asset managers were bullish on ultra 10-year notes, extending net longs by $2.8m/DV01 to a record high, but added $1.2m/DV01 to net shorts in SOFR futures. Meanwhile, hedge funds increased their SOFR futures net longs by $2.4m/DV01.
  • Projected rate cuts into early 2025 look near steady to lower vs. this morning levels (*) as follows: Dec'24 cumulative -24.3bp (-23.7bp), Jan'25 -28.6bp (-29.6bp), Mar'25 -42.2bp (-43.9bp), May'25 -48.4bp (-50.5bp).
  • Later we have Empire Manufacturing & S&P Global PMI, the Fed remains in blackout ahead of the FOMC decision later this week
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  • Tsys futures are a touch higher today, although ranges have been narrow, volumes have also been below recent averages. TU -00⅛ at 102-28⅛, while TY is trading +01+ at 109-29+, just off initial support at 109-26 (Low Dec 13)
  • Earlier, there was a large TY put seller at 0'28 x10,000.
  • Cash tsys yields are -1bps lower today, with the 2yr -1.1bps at 4.234%, while the 10yr is -1bps at 4.387%. The 2s10s is hovering around recent highs at 15bps
  • Investors will be focused on tonight's December US preliminary Mfg and services PMI for signs on the health of the US economy, while eyes are also on the 10yr break-even inflation rate after it climbed the most in two months as rising oil prices posed upside risks to the cost of living.
  • Hedge funds trimmed net short positions in ultra 10-year to ultra-long bond futures by $6.1m/DV01 in the week to Dec. 10, while remaining bearish on the front end, adding $3m/DV01 to 2-year note shorts. Asset managers were bullish on ultra 10-year notes, extending net longs by $2.8m/DV01 to a record high, but added $1.2m/DV01 to net shorts in SOFR futures. Meanwhile, hedge funds increased their SOFR futures net longs by $2.4m/DV01.
  • Projected rate cuts into early 2025 look near steady to lower vs. this morning levels (*) as follows: Dec'24 cumulative -24.3bp (-23.7bp), Jan'25 -28.6bp (-29.6bp), Mar'25 -42.2bp (-43.9bp), May'25 -48.4bp (-50.5bp).
  • Later we have Empire Manufacturing & S&P Global PMI, the Fed remains in blackout ahead of the FOMC decision later this week