May 31, 2024 19:31 GMT
Rates Off Midweek Lows Ahead Fed Blackout Start
US TSYS
- Treasuries continued to rebound off midweek lows Friday, rebounding/extending highs after in-line PCE Deflator MoM (0.3% vs. 0.3% est); YoY (2.7% vs. 2.7% est) and PCE Core Deflator MoM (0.2% vs. 0.2% est); YoY (2.8% vs. 2.8% est). Meanwhile, Personal Income (0.5% vs. 0.3% est), Personal Spending (0.2% vs. 0.3% est).
- Treasury futures continued to extend session highs, Sep'24 10Y closing in on initial technical resistance of 108-31 (20-day EMA) after latest Chicago PMI data came out lower than expected at 35.4 vs. 41.1 est, and weaker than prior 37.9 in April.
- Current cash yields lower: 2s -.0438 at 4.8810%, 10s -.0396 at 4.5065%, 30s -.0303 at 4.6491%, while curves inch off earlier flatter levels: 2s10s +0.432 at -37.860, 5s30s +1.724 at 12.786.
- Holding steady for the next couple meetings -- late year rate cut projections have gained slightly post data: June 2024 at -0% w/ cumulative rate cut 0.0bp at 5.328%, July'24 at -12% w/ cumulative at -3.5bp at 5.293%, Sep'24 cumulative -14.7bp (-13.9bp pre-data), Nov'24 cumulative -21.7bp (-20bp pre-data), Dec'24 -35.5bp (-32.9bp pre-data).
- Reminder, the Federal Reserve enters it's self imposed policy blackout at midnight, running through June 13, the day after the next FOMC policy announcement.
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