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Bouncing Back, Projected Rate Cut Pricing Continues to Ebb

US TSYS
  • Cash Treasuries running firmer, yields 1-2bp lower are near mid-range for the overnight hours, curves steeper (2s10s +2.279 at -35.934). Treasury futures firmer but off early overnight highs after Jun'24 10Y futures gapped to 110-23.5 high on approximate volume of 21,000.
  • Futures levels quickly pared half the move, no apparent catalyst for the initial bid but some desks contemplate month end extension trade ahead of the early week close for the Easter holiday. Current levels are near the middle of the overnight range, TYM4 at 110-21 (+4.5) with initial technical resistance at 110-30.5 (Mar 21/22 high).
  • Another busy data and debt issuance day while scheduled Fed speakers are absent. Economic data includes Philly Fed Non-Mfg Activity and Durable/Capital Goods at 0830ET, FHFA House Price Index at 0900ET. Consumer Confidence and regional Fed data from Richmond and Dallas wraps up the day at 1000ET.
  • US Treasury auctions continue with $70B 42D CMB bills at 1130ET and $67B 5Y Notes (91282CKG5) at 1300ET.
  • Short end SOFR futures moderately weaker while projected rate cut pricing continues to ebb: May 2024 at -12.9% w/ cumulative -3.2bp at 5.296%; June 2024 -63.1% vs. -65.8% late Monday w/ cumulative rate cut -19.0bp at 5.139%. July'24 cumulative at -30.1bp, Sep'24 cumulative -48.8bp at 4.831%.
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