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US TSYS: Tsys Futures Edge Lower, Focus On CPI Later

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America
  • Tsys futures are off session highs, and now trade slightly lower for the session. TU is -00⅝ at 102-18+ vs the overnight lows of 102-17⅝, TY is trading -01 at 109-12+ vs overnight lows of 109-10.
  • 10yr Dec'24 futures remain in a bearish trend with last week’s move lower reinforces the downtrend and the contract is trading closer to its recent lows. A resumption of the bear leg would open 109-05 next, the 76.4% retracement of the Apr - Sep bull cycle (cont). The 109-00 handle remains exposed too. Initial firm resistance is seen at 111-29+, the 20-day EMA.
  • Overnight the selloff led to a sharp tightening of SOFR 10yr swap spreads, which dropped around 3bps, marking the largest one-day tightening since March 2023. The spreads fell to -48bps after peaking at -46.8bps earlier in the session, the move follows a period of spread widening after the US election, reflecting investor reactions to potential deregulation.
  • The cash tsys yields are slightly higher again today following overnight bear-steepening move where yields closed 8-13bps higher. The 2yr is 4.342%, while the 10yr is 4.429% only 5bps off the highs made on Nov 6. The 2s10s is -0.420 at 7.899, while ovenright the 2s7s30s fly cheapened 8bps.
  • Projected rate cuts into early 2025 compared to early Tuesday levels (*): Dec'24 cumulative -15.5bp (-17.2bp), Jan'25 -23.0bp (-25.2bp), Mar'25 -36.0bp (-38.2bp), May'25 -41.8bp (-44.3bp).
  • Later today we have MBZ Mortgage Applications, followed by CPI.
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  • Tsys futures are off session highs, and now trade slightly lower for the session. TU is -00⅝ at 102-18+ vs the overnight lows of 102-17⅝, TY is trading -01 at 109-12+ vs overnight lows of 109-10.
  • 10yr Dec'24 futures remain in a bearish trend with last week’s move lower reinforces the downtrend and the contract is trading closer to its recent lows. A resumption of the bear leg would open 109-05 next, the 76.4% retracement of the Apr - Sep bull cycle (cont). The 109-00 handle remains exposed too. Initial firm resistance is seen at 111-29+, the 20-day EMA.
  • Overnight the selloff led to a sharp tightening of SOFR 10yr swap spreads, which dropped around 3bps, marking the largest one-day tightening since March 2023. The spreads fell to -48bps after peaking at -46.8bps earlier in the session, the move follows a period of spread widening after the US election, reflecting investor reactions to potential deregulation.
  • The cash tsys yields are slightly higher again today following overnight bear-steepening move where yields closed 8-13bps higher. The 2yr is 4.342%, while the 10yr is 4.429% only 5bps off the highs made on Nov 6. The 2s10s is -0.420 at 7.899, while ovenright the 2s7s30s fly cheapened 8bps.
  • Projected rate cuts into early 2025 compared to early Tuesday levels (*): Dec'24 cumulative -15.5bp (-17.2bp), Jan'25 -23.0bp (-25.2bp), Mar'25 -36.0bp (-38.2bp), May'25 -41.8bp (-44.3bp).
  • Later today we have MBZ Mortgage Applications, followed by CPI.