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Markets Roundup: Tsy Bull Flattening Extends

  • Treasury futures continue to march higher across much of the curve after midday, Mar'24 10Y futures at early September highs, while 2Y futures underperform (-1.75 at 102-14.25 vs. 102-16.12 high).
  • Looking to open the NY session weaker, futures pared losses after lower than expected ADP Employment Change (+103k vs. +130k est, 113k prior). This comes after Tuesday's lower than expected JOLTS Job Openings (8.733M vs. 9.3M est, 9.350M prior down-revised from 9.553M) - the biggest monthly drop since May 2023.
  • Futures continued to inch higher after lower than expected Unit Labor Costs (-1.2% vs. -0.9% est), Nonfarm Productivity gain (5.2% vs. 4.9% est), Trade Balance more or less in line (-$64.3B vs. -$64.2B est).
  • March'24 10Y futures mark an intraday high of 111-07 (+9.5; 10Y yield 4.104% low) with focus on technical resistance of 111-19: 1.236 proj of the Oct 19 - Nov 3 - Nov 13 price swing.
  • Overall flow appears consolidative ahead this Friday's headline employment report for November. Another disinflationary data set would surely rekindle rate cut projections in 2024. at the moment December is at .3bp at 5.333%, January 2024 cumulative -2.7bp at 5.302%, March 2024 chance of rate cut climbs to -60% (vs. -56.2% this morning) with cumulative of -17.7bp at 5.153%, May 2024 -70.3% with cumulative of -35.3bp at 4.977%. Fed terminal at 5.335% in Jan'24.

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