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On Session Lows, With FOMC, Tsy Refunding And BoJ Eyed

US TSYS

Treasuries are easily underperforming global core FI counterparts in overnight Monday trade, with the belly underperforming early.

  • Futures are on session lows as we write though still within Friday's ranges, with Treasury Refunding and Fed decisions taking most focus, and the Bank of Japan tonight also highly anticipated.
  • Tsys saw gains in early European trade as Eurozone inflation data (Spain and German state-level prints) has come in below forecasts.
  • While EGBs have maintained gains, Tsys have headed lower alongside USD weakness and as equities have found a footing. US STIR futures point to a modest pickup in implied rates for 2024 (FF +3bp for Dec 2024, helping explain belly underperformance), in contrast to Eurozone futs eyeing more cuts over next year.
  • Latest levels: 2-Yr yield is up 4.4bps at 5.0457%, 5-Yr is up 5.5bps at 4.8164%, 10-Yr is up 4.7bps at 4.8815%, and 30-Yr is up 2.3bps at 5.0371%. Dec 10-Yr futures (TY)are down 9.5/32 at 106-04 (L: 106-03.5 / H: 106-14.5)
  • In a quiet session for US data (Dallas Fed manufacturing at 1030ET), the key release of the session is Treasury's quarterly marketable borrowing estimates at 1500ET.
  • This release will provide a sense of how much Tsy supply is set to increase in the upcoming quarter (the full refunding announcement incl coupon sizes is on Wednesday). MNI will
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