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Extending Late Session Lows

US TSY FUTURES
  • Treasury futures have completely reversed this morning's post-PPI and weekly claims-tied bid, and are currently extending modest session lows: 10Y futures at 115-15 (-7.5) vs. 116-03 high, 10Y yield back up to 3.4430% highs.
  • For a technical perspective, initial support is at 115-05, the 20-day EMA, where a break would signal scope for a deeper retracement - down to 114-18 potentially, the Apr 3 low.
  • No obvious headline or flow-related driver, overall volumes fairly modest with 10Y futures still under 970k.
  • Curves are maintaining steeper profiles, however, as short end rates keep pace with the intermediates, 2s10s currently +4.007 at -53.342.
  • As noted recently, Fed funds implied hike for May'23 holding steady around 18.4bp, as well as Jun'23, while projected rate cuts later in the year have receded slightly from this morning's levels: Nov'23 cumulative -31.5bp to 4.511%, Dec'23 cumulative -49.5bp at 4.331. Fed Terminal currently at 5.01% in Jun'23.
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