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Tsys Futures Off Overnight Highs, 90% Chance Of Cut In September

US TSYS
  • Treasury futures are slightly lower this morning, although still hold onto most gains made post the softer-than-expected US CPI overnight. TU is -0-01 at 102-15⅛, while TY is -0-05 and through initial support of 110-04+ (20-day EMA) at 111-00
  • Volumes are slightly above recent averages: TU 21k, FV 27k & TY 57k
  • Tsys flows: Block Seller TYQ4C at 0'16 x10k
  • The cash treasury curve is little changed this morning with the 10Y yield at 4.212%
  • OIS market is now pricing in a 90% chance of a rate cut in September, up from 67% prior to CPI.
  • Citi strategists are emphasizing the attractiveness of steepener trades heading into the US election, driven by dovish FOMC policies and weak June CPI data. They highlight that steepeners benefit from both a more accommodative Fed stance and election-related market dynamics, making them an exception among Trump trades, (per BBG)

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