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Bonds Extending Highs

US TSY FUTURES
  • Treasury futures are extending session highs at the moment, curves flatter with short end rates lagging: 3M10Y -3.784 at -91.016, 2Y10Y -3.482 at -39.007.
  • Dec'23 10Y tap 108-10 high +6, focus on initial technical resistance at 108-25 (Nov 3 high). Breach of that level puts focus on 109-20 (Sep 19 high).
  • Projected rate cut chance into early 2024 holding ground: December holds at 2.4bp at 5.347%, January 2024 cumulative 4.4bp at 5.373%, while March 2024 pricing in -26.1% chance of a rate cut with cumulative at -2.1bp at 5.307%, May 2024 cumulative -12.7bp at 5.201%. Fed terminal at 5.370% in Feb'24.
  • Cross asset summary: West Texas crude WTI -1.72 at 75.65, Gold -14.43 at 1955.01, US$ index DXY -0.21 at 105.521.

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