Belly Underperforming Ahead Of 5Y Supply

Treasuries and rate futures are a little lower to start Thanksgiving week, with initial support overnight from China COVID concerns fading in the European morning.

• Moves across the curve have been limited so far, with flattening overall, with the belly underperforming. Supply in some focus with $42B of 2Y Note and $43B of 5Y Note on offer later today (1130ET and 1300ET, respectively).
• Rate futures are a little weaker across the strip, off 2-2.5 ticks, but minimal change in either Dec FOMC OIS hike pricing (54.5bp) or terminal rate (Jun '23, 5.06%).
• Comments from Atlanta Fed's Bostic over the weekend pointed to another 75-100bp in the hike cycle (to 4.75-5.00%).
• Early futures rolls are underway ahead of the holidays and next week's 1st notice.
• A light schedule in terms of data and speakers today: Chicago Fed Nat Activity Index (never a market mover, at 0830ET) is the data, and the speaker is SF Fed's Daly at 1300ET.
• The 2-Yr yield is down 0.2bps at 4.531%, 5-Yr is up 0.7bps at 4.0154%, 10-Yr is down 0.2bps at 3.8269%, and 30-Yr is down 1.2bps at 3.9145%.