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US TSYS: Tsys Futures Make New Highs Ahead Of US CPI

US TSYS
  • Tsys futures continue to edge higher today, and now trade at session best levels. TUZ4 is + 02¼ at 104-14⅝ and TYZ4 is + 05+ at 115-20.
  • Initial moves higher came about 30 minutes into the Trump v Harris debate, although there wasn't anything new really spoke about. Betting odds have Harris winning the debate and up about 5pts from prior.
  • Cash tsys have seen better buying through the belly of the curve, with the 3yr outperforming -3.1bps at 3.427%, while the 30yr has declined to it's lowest since July 2023.
  • Volumes have increased ahead of US CPI today, there was earlier a block TU/FV/TY fly seller of the belly, and a block seller of UXY.
  • Projected rate cuts through year end have regained some ground after receding Monday into early Tuesday (*): Sep'24 cumulative -33.5bp (-32.7bp), Nov'24 cumulative -73.3bp (-71.8bp), Dec'24 -115.4bp (-112.0bp).
  • Later today we have MBA Mortgage Applications, followed by CPI.

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