The swap market shows a 90% probability of a rate cut by the Fed in September.

Odaily News U.S. Treasury prices fell as the earlier released U.S. Producer Price Index data was stronger than expected, prompting traders to adjust their bets on a Fed rate cut next month. The two-year Treasury yield — the most sensitive to changes in monetary policy — erased earlier losses in morning trading in New York, rising 2 basis points to 3.69%. The U.S. dollar strengthened against a currency basket. According to a report released by the U.S. Bureau of Labor Statistics on Thursday, the Producer Price Index rose 0.9% compared to last month, remaining flat month-over-month in June. After the report was released, the swap market indicated a 90% probability of a Fed rate cut at the September meeting. Just a day earlier, the market had fully digested that scenario.