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US TSYS: Tsys Futures Mixed, Short-end Outperforms, Curve Twist-Steepens

US TSYS
USBulletMarketsFixed Income BulletsNorth America
  • Tsys futures were mixed on Thursday with the short-end outperforming, following dovish decisions overnight by the BOJ and BOE. At one point 2yr yield was 8bp below Wednesday's post-FOMC highs (they had risen 15bp on the decision), and they would held on to most of the steady declines made through Thursday's session. Outside the dovish central banks, there was no new catalyst behind the moves on the day, with little reaction offered to both GDP and initial jobless claims.
  • TU closed +0-01⅞ at 102-22⅛, while TY closed -0-13 at 108-19+
  • There have been some decent size flows, with a 10yr note futures block trade $925k/DV01 saw losses pared and knocked 2s10s spread off highs of the day, there was also a massive $3m/DV01 block trade in January Fed Funds futures at 95.675, the lower end of the day's trading range. Following the block, significant screen trades were recorded, including sizes of 28,000, 25,000, and 25,000 contracts, all at the same price. Total daily volume for January Fed Funds futures exceeded 350,000 contracts, marking the third-highest volume in the contract's history.
  • Data had little significant impact on market pricing: continuing and initial jobless claims, final GDP growth and Q3 core PCE prices were all on the stronger side of expectations, offset somewhat by a weak Philly Fed manufacturing index.
  • Cash tsys twist steepened, as the short-end outperformed, yields closed -4bps to +6bps. The 2yr closed -3.8bps at 4.316%, while the 10yr closed +4.8bps at 4.562. The 2s10s reached its steepest levels for since June 2022 at 28bps, before closing the session +9bps at 24.141.
  • Friday's schedule includes the November PCE report and the final December UMichigan survey, while we also get the first post-FOMC meeting commentary with SF's Daly and NY's Williams appearing in the morning.
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  • Tsys futures were mixed on Thursday with the short-end outperforming, following dovish decisions overnight by the BOJ and BOE. At one point 2yr yield was 8bp below Wednesday's post-FOMC highs (they had risen 15bp on the decision), and they would held on to most of the steady declines made through Thursday's session. Outside the dovish central banks, there was no new catalyst behind the moves on the day, with little reaction offered to both GDP and initial jobless claims.
  • TU closed +0-01⅞ at 102-22⅛, while TY closed -0-13 at 108-19+
  • There have been some decent size flows, with a 10yr note futures block trade $925k/DV01 saw losses pared and knocked 2s10s spread off highs of the day, there was also a massive $3m/DV01 block trade in January Fed Funds futures at 95.675, the lower end of the day's trading range. Following the block, significant screen trades were recorded, including sizes of 28,000, 25,000, and 25,000 contracts, all at the same price. Total daily volume for January Fed Funds futures exceeded 350,000 contracts, marking the third-highest volume in the contract's history.
  • Data had little significant impact on market pricing: continuing and initial jobless claims, final GDP growth and Q3 core PCE prices were all on the stronger side of expectations, offset somewhat by a weak Philly Fed manufacturing index.
  • Cash tsys twist steepened, as the short-end outperformed, yields closed -4bps to +6bps. The 2yr closed -3.8bps at 4.316%, while the 10yr closed +4.8bps at 4.562. The 2s10s reached its steepest levels for since June 2022 at 28bps, before closing the session +9bps at 24.141.
  • Friday's schedule includes the November PCE report and the final December UMichigan survey, while we also get the first post-FOMC meeting commentary with SF's Daly and NY's Williams appearing in the morning.