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US TSYS: Tsys Futures Lower As US CPI Beats, Focus Turns To PPI

US TSYS
Bullet
  • Tsys futures continued to edge higher as we headed into US CPI overnight, before stronger-than-expected numbers saw a sharp drop, volatility picked up and tsys briefly erased the sell-off only to then continue the move lower although closed well off session lows.
  • TUZ4 closed -0-02⅜ at 104-10⅛ vs 104-07⅛ , while TYZ4 closed -0-04 at 115-10+ vs lows of 115-02.
  • U.S. core CPI surprised higher in August on a housing inflation rebound, rising 0.281% last month against expectations for a 0.2% increase. Headline CPI added 0.187%, in line with expectations. That brings the 12-month rate for headline and core CPI inflation to 2.5% and 3.2%, respectively.
  • Cash tsys curve bear-flattened with yields flat to 5bps higher. The 2yr closed +4.7bps at 3.641%, 10yr +1.1bps at 3.653% with the 2s10s briefly inverting again before closing the session -3.417 at 0.988.
  • There was a 10-year note auction during US afternoon, a $39b reopening, drew 3.648%, the lowest since May 2023 and 1.4bp lower than indicated by WI yield at the 1pm bidding deadline, bid cover ratio was 2.64, up slightly from recent averages of 2.53.
  • Projected rate cuts through year end remain soft vs. pre-data levels (*): Sep'24 cumulative -28.5bp (-32.7bp), Nov'24 cumulative -65.1bp (-72.5bp), Dec'24 -105.3bp (-114.5bp).
  • Today, we have PPI and weekly claims.
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  • Tsys futures continued to edge higher as we headed into US CPI overnight, before stronger-than-expected numbers saw a sharp drop, volatility picked up and tsys briefly erased the sell-off only to then continue the move lower although closed well off session lows.
  • TUZ4 closed -0-02⅜ at 104-10⅛ vs 104-07⅛ , while TYZ4 closed -0-04 at 115-10+ vs lows of 115-02.
  • U.S. core CPI surprised higher in August on a housing inflation rebound, rising 0.281% last month against expectations for a 0.2% increase. Headline CPI added 0.187%, in line with expectations. That brings the 12-month rate for headline and core CPI inflation to 2.5% and 3.2%, respectively.
  • Cash tsys curve bear-flattened with yields flat to 5bps higher. The 2yr closed +4.7bps at 3.641%, 10yr +1.1bps at 3.653% with the 2s10s briefly inverting again before closing the session -3.417 at 0.988.
  • There was a 10-year note auction during US afternoon, a $39b reopening, drew 3.648%, the lowest since May 2023 and 1.4bp lower than indicated by WI yield at the 1pm bidding deadline, bid cover ratio was 2.64, up slightly from recent averages of 2.53.
  • Projected rate cuts through year end remain soft vs. pre-data levels (*): Sep'24 cumulative -28.5bp (-32.7bp), Nov'24 cumulative -65.1bp (-72.5bp), Dec'24 -105.3bp (-114.5bp).
  • Today, we have PPI and weekly claims.