- Treasury futures have edged slightly higher throughout with the front-end out-performing again which has been helped by multiple block steepener trades going through. Futures are trading at session's best with TU + 02⅝ at 102-19⅜, while TY trades + 05 at 110-26+.
- Tsys flows: Sellers of TY 109.5 puts, 0'18 x6000, Buyer TYU4 111/112 Call spread, 0'22 x12,000. Multiple Block Steepener trades 2x FV/TY DV01 330k & FV/US DV01 525k
- The tsy curve has bull-steepened today with yields 1-4.5bps lower. The 2y is -4.1bps at 4.389%, while the 10y is -2.2bps at 4.262%
- The 2s10s continues to trade higher last +2.176 at -12.927, the least inverted this year.
- Projected rate cut pricing into year end are gained vs. this morning's levels (*): July'24 at -5.5% w/ cumulative at -1.4bp at 5.315%, Sep'24 cumulative -27.3bp (-25bp), Nov'24 cumulative -42.8bp (-40.1bp), Dec'24 -65.3bp (-62.8bp).
- looking ahead we have GDP, Core PCE Weekly Claims and 7Y Note Sale
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