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US TSYS: Late Session Rebound, Post-Auction Short Sets Unwound

US TSYS
USBulletMarketsFixed Income BulletsNorth America
  • Treasury futures look to finish Tuesday's shortened Christmas-eve session near session highs, TYH5 +2.5 at 107-17 vs. 108-19 high, after trading much of the session weaker. The 10Y contract had breached a couple levels of technical support on it's way down to 108-09.5 low, 10Y yield climbing to 4.8160% high last seen in late May.
  • Rates recovered soon after the $70B 5Y note auction (91282CMD0) stopped 0.2bp through (second consecutive stop since June): drawing 4.478% high yield vs. 4.480% WI; 2.40x bid-to-cover vs. 2.43x for the prior auction.
  • The bounce helped projected rate cuts into early 2025 look steady to slightly higher vs. this morning (*) as follows: Jan'25 steady at -2.1bp, Mar'25 at -12.6bp (-11.7bp), May'25 -17.2bp (-16.7bp), Jun'25 -24.6bp (-23.1bp).
  • No substantive reaction to regional Fed data:
  • -6.0 reading for December's Philadelphia Fed's Nonmanufacturing current regional activity index (-2.4 expected) represented a steady outturn from -5.9 prior, and suggested a regional services sector that remained "weak", per the report.
  • Richmond Fed's regional manufacturing survey index came in in at -10 as expected in December, the best reading since June (-14 prior). The shipments and employment subindices were flat, but new orders saw a solid improvement to -11 from -19 prior.
  • Markets closed for Christmas holiday Wednesday, Globex pre-open Wednesday evening at 1700ET/re-open at 1800ET. Full sessions Thursday & Friday.
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  • Treasury futures look to finish Tuesday's shortened Christmas-eve session near session highs, TYH5 +2.5 at 107-17 vs. 108-19 high, after trading much of the session weaker. The 10Y contract had breached a couple levels of technical support on it's way down to 108-09.5 low, 10Y yield climbing to 4.8160% high last seen in late May.
  • Rates recovered soon after the $70B 5Y note auction (91282CMD0) stopped 0.2bp through (second consecutive stop since June): drawing 4.478% high yield vs. 4.480% WI; 2.40x bid-to-cover vs. 2.43x for the prior auction.
  • The bounce helped projected rate cuts into early 2025 look steady to slightly higher vs. this morning (*) as follows: Jan'25 steady at -2.1bp, Mar'25 at -12.6bp (-11.7bp), May'25 -17.2bp (-16.7bp), Jun'25 -24.6bp (-23.1bp).
  • No substantive reaction to regional Fed data:
  • -6.0 reading for December's Philadelphia Fed's Nonmanufacturing current regional activity index (-2.4 expected) represented a steady outturn from -5.9 prior, and suggested a regional services sector that remained "weak", per the report.
  • Richmond Fed's regional manufacturing survey index came in in at -10 as expected in December, the best reading since June (-14 prior). The shipments and employment subindices were flat, but new orders saw a solid improvement to -11 from -19 prior.
  • Markets closed for Christmas holiday Wednesday, Globex pre-open Wednesday evening at 1700ET/re-open at 1800ET. Full sessions Thursday & Friday.