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Tsys Futures Sell Off On Month/Quarter-End Positioning, Curve Steepens

US TSYS
  • Treasury futures tracked higher after UofM Inflation expectations were revised lower, although the move was short lived, as rates as well as equities reversed course, extended lows heading into the London close. No obvious headline driver, trading desks widely cited month end, positioning squaring ahead of the first round of French elections (June 29-30). TUU4 finished -0-00⅜ at 102-03+, while we have opened down a touch this morning at 102-01⅜, TYU4 closed down -0-08+ at 109-31+ and has opened trading on Monday down another -0-13 at 109-18+.
  • TYU4 has broken below initial support at 109-26+ this morning with the next support now 109-00+ (Jun 10 low), to the upside resistance lays at 110-25 (Jun 14 high), a break here would open a move to 111-13 (Mar 25 high)
  • Cash treasury curve near-steepened on Friday with yields 4-13bps. The 2Y +4.2bps at 4.753%, 5Y +7.9bps at 4.377% while the 10Y was +11bps at 4.396%, the 2y10y was +6.814 at -45.946.
  • In-line with the steepening, projected rate cut pricing through year end looks steady to mildly higher vs. pre-data levels (*): July'24 at -10% w/ cumulative at -2.5bp at 5.302%, Sep'24 cumulative -18.6bp (-17.5bp), Nov'24 cumulative -27.6bp (-26.6bp), Dec'24 -47.3bp (-45.3bp).
  • Looking ahead, S&P Global US Manufacturing PMI, ISM Manufacturing, Construction Spending MoM
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