FxWirePro: Preview of rate futures markets of USTs and OCRs ahead of Fed

The US 10yr treasury yield ranged sideways between 2.58% and 2.61%, while the 2yr yield nudged higher from 2.43% to 2.45%. Futures markets continued to price little chance of any further Fed rate hikes in this cycle, but a 30% chance of a cut by December. Fed is scheduled for monetary policy this week, which is most likely to be on the status quo.

The macro outlook is little changed and rate yields are at the upper end of their YTD range; we see taking profits on tactical shorts in 10-year US Treasuries.

The market depth in 2-year Treasuries remains poor following a redefinition of minimum tick size on its interdealer trading platform. Meanwhile, liquidity across most other tenors has recovered from its year-end lows. We project Treasury’s extraordinary measures should last until late August.

On the flip side, the RBNZ is likely to remain on hold over the next few years. That should cap 2yr swap yields at 2.10%, while a loss of economic momentum – both in NZ and in developed economies – could see fresh record lows below 1.77%.

Currency Strength Index:FxWirePro's hourly NZD spot index is inching towards 16 levels (which is mildly bullish), while hourly USD spot index was at -114 (highly bearish) while articulating (at 10:15 GMT).

For more details on the index, please refer below weblink: http://www.fxwirepro.com/currencyindex