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Tsys Futures Off Highs Post Dovish FOMC

US TSYS
  • Treasury futures had a reasonably volatile session after the BLS numbers had an issues being up loading, with reports some banks had called through to get the figures which then started being spread through the market.
  • futures traded higher post BLS with TYU4 testing 114, before paring some gains after dovish DOMC minutes were released, TYU4 closed the session +0-10+ at 113-28+, while TUU4 closed +0-04+ at 103-12⅜ we have continued to slid post NY close and into Asia open with TYU4 now trading at 113-24.
  • Cash treasury curves twist-steepened, yields were 5.5bps lower to 2bps higher, the 2yr yield was -5.3bps to 3.931%, while the 10yr yield was -0.6bps at 3.801% after earlier hitting a new yearly lows of 3.7595%.
  • The 2s10s has spent the past week trading little changed, although jumped 4.760 overnight to -13.354.
  • As expected, the July FOMC minutes signaled that participants were eyeing a cut in September, with "several" seeing it as "plausible" to cut already in July. There weren't many clues in the minutes on future monetary policy beyond that, with no mention for example of a potential >25bp cut.
  • The BLS reports that the preliminary benchmark payrolls revision is a very large -818k. It implies seasonally adjusted average monthly payrolls growth through the twelve months to Mar 2024 was closer to 174k rather than 242k seen in the current vintage, this was largest revision since 2009.
  • Projected rate cuts through year end gained vs. early Wednesday levels (*): Sep'24 cumulative -33.6bp (-33.3bp), Nov'24 cumulative -65.7bp (-64.4bp), Dec'24 -101.3bp (-98.3bp).
  • Focus turns to the KC Fed hosted Jackson Hole economic symposium "Reassessing the Effectiveness and Transmission of Monetary Policy," will be held Aug. 22-24, Fed Chairman Powell speaking 1000ET Friday morning.
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