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Bonds Near Highs Into Month End

US TSYS

Trading mixed after the bell, yield curves flatter after 30s extended highs on late month end buying. Note, 30s scaling off highs last couple minutes on late month end sales. Current 10YY at 3.9220% (+.0079) after tapping 3.9806% high in the first half (highest level since Nov 10 when rates surged on back of lower than expected Oct CPI: +0.4% MoM vs. 0.6% est, core +0.27% unrounded vs forecast of 0.5%, cooling rate hike expectations at the time).

  • US FI mkts opened weaker following higher than expected inflation data for France and Spain overnight, see-sawed lows on spate mixed US data. Tsy futures ultimately rebounded off lows following drop in consumer confidence (102.9 vs. 106.0 prior) and weaker Chicago PMI (43.6 vs. 45.5 est.).
  • Corporate debt and option-tied hedging added to early pressure, while markets remain skittish ahead month end rebalancing expected to draw selling in stocks vs. FI.
  • STIR: Fed funds implied hike for Mar'23 at 29.4bp, May'23 cumulative 55.4bp to 5.133%, Jun'23 74.0bp to 5.318%, terminal at 5.415% in Aug-23-Oct'23.
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