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US TSYS: Tsy Futures Fall Following FOMC Minutes

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America
  • Tsys futures have continued the sell-off from overnight after Wednesday's FOMC minutes showed "some" voting members failed to sway the 50bp cut majority at the September policy meeting, with some participants observed that they would have preferred a 25bps reduction of the target range at the meeting. TU closed -0-02¾ at 103-11⅛, while TY closed -0-08+ at 112-06+, we trade slightly lower in early morning trading here in Asia.
  • The front & belly of the curves underperformed, with the 5s30s -2.339bps. The front-end saw selling as swaps priced in less fed easing following comments from Citadel head of rates trading, where he sees just a further 25bps cut this year, with a large SOFR Feb'25 put spread block trading which supported the comments.
  • The 10yr saw weakness following 10yr auction tailed by 0.4bp; allotment data showed 13.9% primary dealer award was higher than previous as direct bidder award dropped to 8.4%, lowest in almost six years.
  • Cash tsys curves bear-flattened, with yields 4.5-7.5bps higher. The 2yr closed +6.4bps at 4.022%, while the 10yr closed +6.1bps at 4.073% the highest since July 30th. The 2s10s was little changed at 4.684.
  • Fed fund futures are now pricing in just 20bps of cuts at the November meeting, or a 82% cut of a cut and 45bps of cuts by December.
  • Looking ahead focus will turn to CPI which is expected to ease modestly in September from the 0.33% in August, with seven analysts eyeing an average 0.27% M/M from a range of 0.20-0.34. We also have Jobless claims, 30y Bond Auction and more fed speakers to come.
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  • Tsys futures have continued the sell-off from overnight after Wednesday's FOMC minutes showed "some" voting members failed to sway the 50bp cut majority at the September policy meeting, with some participants observed that they would have preferred a 25bps reduction of the target range at the meeting. TU closed -0-02¾ at 103-11⅛, while TY closed -0-08+ at 112-06+, we trade slightly lower in early morning trading here in Asia.
  • The front & belly of the curves underperformed, with the 5s30s -2.339bps. The front-end saw selling as swaps priced in less fed easing following comments from Citadel head of rates trading, where he sees just a further 25bps cut this year, with a large SOFR Feb'25 put spread block trading which supported the comments.
  • The 10yr saw weakness following 10yr auction tailed by 0.4bp; allotment data showed 13.9% primary dealer award was higher than previous as direct bidder award dropped to 8.4%, lowest in almost six years.
  • Cash tsys curves bear-flattened, with yields 4.5-7.5bps higher. The 2yr closed +6.4bps at 4.022%, while the 10yr closed +6.1bps at 4.073% the highest since July 30th. The 2s10s was little changed at 4.684.
  • Fed fund futures are now pricing in just 20bps of cuts at the November meeting, or a 82% cut of a cut and 45bps of cuts by December.
  • Looking ahead focus will turn to CPI which is expected to ease modestly in September from the 0.33% in August, with seven analysts eyeing an average 0.27% M/M from a range of 0.20-0.34. We also have Jobless claims, 30y Bond Auction and more fed speakers to come.