Leaning On EGBs For Support

The early Wednesday uptick in EGBs supports Tsy counterparts, before a block sale in TU futures (-7.5K/DV01 ~$295K) helps cap the move.

• TY futures have failed to challenge yesterday’s best levels thus far, last -0-02 at 110-27+, 0-03 off the high of its 0-09 session range.
• Cash Tsy yields are little changed to 1bp higher across the curve, with a modest bear flattening bias seen.
• 2s10s and 5s30s tick further away from the multi-week highs seen at the back end of November.
• Fed funds futures pricing holds off the recent dovish extremes, but still shows ~127bp of cuts for ’24 on the whole as of typing.
• The first full 25bp cut is priced come the end of the May FOMC, with ~18bp of cuts showing for the March gathering.