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Mildly Bid Awaiting Payrolls On Final Day Before FOMC Blackout

US TSYS
  • Cash Tsy yields sit 0.5-1.5bp lower on the day, whilst 2s10s consolidate yesterday’s twist steepening at -41.7bps, awaiting a US docket entirely centered around the payrolls report.
  • Treasuries underperform European FI as ECB Governing Council rhetoric has indicated a growing consensus concerning a June cut.
  • TYM4 trades close to session highs of 111-26+ on strong volumes of 350k. It stopped just short of yesterday’s 111-27, which had met resistance at 50% of the Feb 1-23 bear leg. Clearance here would open 112-04 (Feb 7 high).
  • Data: Payrolls Feb (0830ET) – preview here: https://roar-assets-auto.rbl.ms/files/60262/USNFPMar2024Preview.pdf
  • Fedspeak: NY Fed’s Williams in moderated discussion (0700ET), final day before FOMC blackout
  • No Tsy issuance

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