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Modest Paring Of PMI Losses, Flattener Flow Limits Steepening

US TSYS
Homepagemarkets-real-timeBulletMarketsFixed Income Bullets
  • Treasuries have pared a little more of yesterday’s PMI-driven sell-off, which built on an earlier, smaller move after weekly jobless claims data showed another week close to expectations with no sign of accelerated weakening in the labor market.
  • Cash yields sit 0-1bp lower on the day, with the front end leading the decline.
  • The curve trades modestly steeper with 2s10s at -45bps (+0.7bps) after yesterday's -46.4bps touched the lowest in six weeks. There’s been some notable flattener flow to help limit the move though: a ~$350k DV01 TY/WN flatter block followed a ~$290k DV01 flatter block on the same curve in early London trade.
  • TYM4 holds particularly narrow ranges overnight, with 108-22+ vs yesterday’s lows of 108-17+. Volumes are elevated at 460k with the quarterly roll well underway.
  • Yesterday’s drop came close to a key support at 108-15 (May 14 low) after which lies 108-06 (May 3 low).
  • Data: Durable goods Apr prelim (0830ET), U.Mich survey May final (1000ET), KC Fed services May (1100ET)
  • Fedspeak: Waller keynote address on R* (0920ET)
  • No issuance
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  • Treasuries have pared a little more of yesterday’s PMI-driven sell-off, which built on an earlier, smaller move after weekly jobless claims data showed another week close to expectations with no sign of accelerated weakening in the labor market.
  • Cash yields sit 0-1bp lower on the day, with the front end leading the decline.
  • The curve trades modestly steeper with 2s10s at -45bps (+0.7bps) after yesterday's -46.4bps touched the lowest in six weeks. There’s been some notable flattener flow to help limit the move though: a ~$350k DV01 TY/WN flatter block followed a ~$290k DV01 flatter block on the same curve in early London trade.
  • TYM4 holds particularly narrow ranges overnight, with 108-22+ vs yesterday’s lows of 108-17+. Volumes are elevated at 460k with the quarterly roll well underway.
  • Yesterday’s drop came close to a key support at 108-15 (May 14 low) after which lies 108-06 (May 3 low).
  • Data: Durable goods Apr prelim (0830ET), U.Mich survey May final (1000ET), KC Fed services May (1100ET)
  • Fedspeak: Waller keynote address on R* (0920ET)
  • No issuance