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COMMODITY TRADING SCHOOL US TREASURY FUTURES REPORT 06/24/09

ECONOMIC DATA 06/25/09: all times EST

  • 2009 1ST QUARTER GDP (REAL -5.7%)
  • WEEKLY JOBLESS CLAIMS (613K)
  • EIA INVENTORY REPORTS (NAT GAS)
  • US 7 YEAR NOTE AUCTION ($27B)

US DURABLE GOODS (+1.8 VS -0.5%) US NEW HOME SALES (342 K VS. 365K)

EIA INVENTORY (CL -3.9M, RBOB +3.9 M, DIS +2.1M CAP UTIL 87.1)

US 5 YEAR NOTE AUCTION ($37 B B/C 2.58, YIELD 2.70)

FOMC MEETING-RATES UNCHANGED, SEES LITTLE INFLATION PRESSURE, DEBT BUYING PROGRAM UNCHANGED.

US TREASURIES FALL AFTER FOMC ANNOUNCEMENT SUGGESTS RECESSION ENDING, NO STEP UP OF BUYBACK PLAN OR EXIT STRATEGY

US TREASURIES finished out a volatile session in negative territory, the first time in three sessions, after the FOMC announcement created a “triple witching” against the recent run up in US debt prices. Expectations early in the session were for the FOMC comments to mirror the prolonged recession outlook taken by the World Bank on Monday. It should be noted that despite their perceived similarities, it is important to note that the Focus of the World Bank is on the outlook for developing nations, while the Fed’s primary sphere remains centered upon the US, which is expected to lead the recovery if and when it appears. This perception, along with another unexpectedly favorable Treasury Auction ($37 B of US) ran the long end of the yield curve to its highest price/lowest yield levels of the month.

The “triple witching” that deflated Treasuries displayed itself through the Federal Reserve stating the recession pressures continue to ease, there would be no additional purchases of Treasury or mortgage obligations beyond its original commitments, and the lack of an announced exit strategy suggests that the flood of record supply of Treasury Debt will not be abating in the foreseeable future. Equities gained on this outlook, though off their highs, as an earlier report on US Durable Goods came in more positive than expected. The market may experience new parameters of volatility as the market contends with modified variables of supply concerns (fueled by apparent lack of defensive interest by the Federal Reserve) and a renewed sense of uncertainty due to the inability to formulate an exit strategy at this time, midway through the “rebuilding year” of 2009.

TECHNICAL OUTLOOK-US 30 YEARS- US 30 years have pulled back and broke the support set earlier in the week at 116-25. Based on this apparent failure, the market should continue to retrace back to 116-020, with near term target setting up at 114-260.

US 10 YEARS- Downward target for the Sept 10 years sets up at 114-130. A break of this level should find the next downward target at 113-175. This target could be reached by the end of June before likely short covering by 4th of July.

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EURODOLLARS- December Eurodollars should be topping out at 9908.0,downward momentum could gain even stronger momentum to pullback to 9884.0.

US DEBT FUTURES

OPEN

HIGH

LOW

CLOSE

CHANGE

US U9 (US 30 YRS)

117-125

117-300

116-100

116-180

-20.5/32nds

TY U9 (US 10 YRS)

115-165

116-030

114-315

115-060

-9.5/32nds

ED Z9 (EURO $)

9906.0

9909.0

9901.0

9905.0

-0.50

Prepared by Rich Roscelli & Paul Brittain.

EMAIL QUESTIONS OR COMMENTS TO RICH@BINVSTGRP.COM

Past performance is not indicative of future results. The information and data in this report were obtained from sources considered reliable. Their accuracy or completeness is not guaranteed and the giving of the same is not to be deemed as an offer or solicitation on our part with respect to the sale or purchase of any securities or commodities. Whitehall Investment Management, its officers and directors may in the normal course of business have positions, which may or may not agree with the opinions expressed in this report. Any decision to purchase or sell as a result of the opinions expressed in this report will be the full responsibility of the person authorizing such transaction.