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CPI Inflation Data Weighs Heavily on Tsys, Rate Cut Pricing Evaporates

US TSYS
  • Treasury futures gapped lower after this morning's higher than expected CPI inflation data kicked the day off: MoM (0.4% vs. 0.3% est), YoY (3.5% vs. 3.4% est); CPI Ex Food and Energy MoM (0.4% vs. 0.3% est), YoY (3.8% vs. 3.7% est).
  • Jun'24 10Y futures fell to 108-05.5 low after a poorly received 10Y auction re-open tailed 3.3bp (largest since Dec'22: 4.560% high yield vs. 4.527% WI; bid-to-cover falls to 2.34x vs. 2.51x prior).
  • Treasury futures drifting near late session lows, little reaction to March FOMC minutes where majority favor cutting QT pace by half "soon": Jun'24 10Y at 108-08.5 (-112) vs. 108-05.5 low, 10Y yield 4.5497% +.1880 vs. 4.5660% high. Curves still flatter but off lows: 2s10s -3.391 at -41.697, 5s30s inverted briefly is flatter by -10.082 at 2.015.
  • Projected rate cut pricing remains well off morning levels: May 2024 at -2.6% vs. -4.7% earlier w/ cumulative -.6bp at 5.322%; June 2024 at -17.2% vs -55.1% earlier w/ cumulative rate cut -5bp vs -14.9bp at 5.279%. July'24 cumulative at -12.1bp vs. -24.4bp, Sep'24 cumulative -22.7bp vs. -41.2bp.
  • Treasury futures briefly bounced off post auction lows after Bbg headline: "US SEES MISSILE STRIKE ON ISRAEL BY IRAN, PROXIES AS IMMINENT". Carry-over from late last Thursday when Tsys surged on heavy risk-off support on rumors that Iran would retaliate soon for an Israeli strike on an Iranian consulate in Syria earlier in the week.
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  • Treasury futures gapped lower after this morning's higher than expected CPI inflation data kicked the day off: MoM (0.4% vs. 0.3% est), YoY (3.5% vs. 3.4% est); CPI Ex Food and Energy MoM (0.4% vs. 0.3% est), YoY (3.8% vs. 3.7% est).
  • Jun'24 10Y futures fell to 108-05.5 low after a poorly received 10Y auction re-open tailed 3.3bp (largest since Dec'22: 4.560% high yield vs. 4.527% WI; bid-to-cover falls to 2.34x vs. 2.51x prior).
  • Treasury futures drifting near late session lows, little reaction to March FOMC minutes where majority favor cutting QT pace by half "soon": Jun'24 10Y at 108-08.5 (-112) vs. 108-05.5 low, 10Y yield 4.5497% +.1880 vs. 4.5660% high. Curves still flatter but off lows: 2s10s -3.391 at -41.697, 5s30s inverted briefly is flatter by -10.082 at 2.015.
  • Projected rate cut pricing remains well off morning levels: May 2024 at -2.6% vs. -4.7% earlier w/ cumulative -.6bp at 5.322%; June 2024 at -17.2% vs -55.1% earlier w/ cumulative rate cut -5bp vs -14.9bp at 5.279%. July'24 cumulative at -12.1bp vs. -24.4bp, Sep'24 cumulative -22.7bp vs. -41.2bp.
  • Treasury futures briefly bounced off post auction lows after Bbg headline: "US SEES MISSILE STRIKE ON ISRAEL BY IRAN, PROXIES AS IMMINENT". Carry-over from late last Thursday when Tsys surged on heavy risk-off support on rumors that Iran would retaliate soon for an Israeli strike on an Iranian consulate in Syria earlier in the week.