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US TSYS: TY At Lows On Columbus Day, Fed’s Waller In Firm Focus

US TSYS
USGlobalCentral Bank NewsFederal ReserveBulletMarketsFixed Income BulletsRegionNorth America
  • Treasury futures have pushed lower today amidst low volumes with Columbus Day, as S&P 500 futures extend for fresh highs.
  • TYZ4 has seen session lows of 111-30, nudging through Friday’s 111-30+, with cumulative volumes of just 160k. Low volumes have been further exacerbated by a Japan holiday.
  • It remains above Thursday’s post-CPI low of 111-22 but the bear threat has nevertheless firmed. Further support is seen at 111-14 (50% retrace of Apr-Sep bull cycle).
  • There is no data of course but Columbus Day doesn’t stop Fedspeak with Fed Governor Waller (voter) speaking on the economic outlook at 1500ET (text + Q&A). Kashkari (non-voter) is in discussions either side at 0900ET and 1700ET.
  • Waller, who has done some of the heavy lifting for Fed communications in recent months, noted last month the particularly soft run of core PCE inflation that had been seen in the four months to August, averaging 1.8% annualized (or 0.15% M/M). Latest tracking after last week’s CPI and PPI reports looks for circa 0.25% M/M. Waller told CNBC on Sep 20 that a 50bp cut felt right for the September FOMC to keep the economy strong but the size of future cuts will depend on incoming data. He could consider another 50bp cut if the job market worsens (said prior to a stronger than expected payrolls report) or could argue for a pause if inflation progress stalls.
  • Fed Funds cumulative cuts from 4.83% effective: 22bp Nov, 45bp Dec, 64bp Jan and 119bp June. 
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  • Treasury futures have pushed lower today amidst low volumes with Columbus Day, as S&P 500 futures extend for fresh highs.
  • TYZ4 has seen session lows of 111-30, nudging through Friday’s 111-30+, with cumulative volumes of just 160k. Low volumes have been further exacerbated by a Japan holiday.
  • It remains above Thursday’s post-CPI low of 111-22 but the bear threat has nevertheless firmed. Further support is seen at 111-14 (50% retrace of Apr-Sep bull cycle).
  • There is no data of course but Columbus Day doesn’t stop Fedspeak with Fed Governor Waller (voter) speaking on the economic outlook at 1500ET (text + Q&A). Kashkari (non-voter) is in discussions either side at 0900ET and 1700ET.
  • Waller, who has done some of the heavy lifting for Fed communications in recent months, noted last month the particularly soft run of core PCE inflation that had been seen in the four months to August, averaging 1.8% annualized (or 0.15% M/M). Latest tracking after last week’s CPI and PPI reports looks for circa 0.25% M/M. Waller told CNBC on Sep 20 that a 50bp cut felt right for the September FOMC to keep the economy strong but the size of future cuts will depend on incoming data. He could consider another 50bp cut if the job market worsens (said prior to a stronger than expected payrolls report) or could argue for a pause if inflation progress stalls.
  • Fed Funds cumulative cuts from 4.83% effective: 22bp Nov, 45bp Dec, 64bp Jan and 119bp June.