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Tsys Futures Slightly Lower Ahead Of 2yr & 5yr Auctions

US TSYS
  • Treasury futures are trading at session lows, although little changed from NY closing levels. Early morning we continued the late move higher only to be met with some selling pressure as equity markets sold off. Ranges have remained tight while volumes are likely related to rolls, later today we have $28B 2Y & $70B 5Y bond auctions.
  • TYU4 is -0-01 at 113-17+, while TUU4 is trading -00⅝ at 103-11¾
  • A bullish theme in Treasuries remains intact and the contract continues to trade above support. Note that moving average studies are in a bull-mode position and this highlights bullish sentiment. Initial resistance is 114-03 (Aug 6 highs), with 114-16 (6.4% of the Aug 5 - 8 pullback) the next resistance, to the downside initial support is 113-03+ (20-day EMA) followed by 112-03 (50-day EMA).
  • Cash treasury yields have traded in very tight ranges, the 3-5yr part of the curve has underperformed with yields 1-1.5bps higher while the rest of the curve is about 0.5bps higher, the 2yr is currently 3.907%, while the 10yr is 3.825%.
  • The 2s10s curve has jumped 3.400 to -4.578, the least inverted since Aug 9th.
  • Projected rate cut pricing through year end has gained vs. early Tuesday levels: Sep'24 cumulative -34.1bp (-31.8bp), Nov'24 cumulative -67.4bp (-64.7bp), Dec'24 -104.6bp (-99.2bp)
  • Today, MBA Mortgage Applications, US Treasury auctions include $28B 2Y & $70B 5Y, while Atl Fed Bostic will discuss his economic outlook.
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