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Tsys Futures Recover From Sell-Off, Curve Steepens

US TSYS
  • Treasury futures edged lower throughout the day before gapping lower into the London close with sell-stops being triggered, there wasn't any major headlines causing the selling with some desks citing incoming Treasury coupon supply (2s, 5s, 7s and 2Y FRN) or possibly some hedging. Front-end treasury recovered the move with TUU4 closing -0-01⅛ at 102-14, while TYU4 was only able to recovered about half of the London close sell off move finishing the session -0-03+ at 110-23.
  • The treasury curve bear-steepened on Monday, with yields flat to 2.5bps cheaper across the curve. The 2y closed +0.5bps at 4.517%, while the 10yr closed +1.4bps at 4.253%
  • It seems very likely that Kamala Harris will be the Presidential Nominee for the Democrats with focus now turning to her running mate, betting markets have Josh Shapiro the favourite with a 32% chance followed by Andy Beshaer at 26% and Roy Cooper at 20%.
  • Projected rate cut pricing into year end has receded vs. early Monday levels (*): July'24 at -2.5% w/ cumulative at -0.6bp at 5.323%, Sep'24 cumulative -24.3bp (-25bp), Nov'24 cumulative -38.5bp (-39.5bp), Dec'24 -60.7bp (-62bp)
  • looking ahead today we have Regional Fed and Existing Home Sales data and $69B 2Y Note auction.
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