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Tsys Futures Off Highs As Curve Steepens, Rate Cut Pricing Cools

US TSYS
  • Tsys futures are given back recent gains as we now test the post NFP lows, TUU4 is -05 5/8 at 103-12 1/8, while TYU4 is - 14+ at 113-20+.
  • Cash treasury curve has bear-flattened, there is slightly better selling occurring through the belly, with yields 3-6bps higher. The 10yr yield is +4.7bps at 3.833% vs 3.665% lows, we still trade 10bps lower than pre NFP and 22bps lower than Thursday jobs report.
  • Fed funds futures were at one point overnight pricing in 60bps of cuts at the September meeting, we are now pricing in 46.5bps of cuts.
  • Equity markets are bouncing off Monday's lows with Japanese benchmarks up around 10%

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