Treasuries Near Lows After PPI, Projected Rate Cut Timing Recedes

Treasury futures extended their losses on Friday as non-oil import price data showed some additional inflationary pressure at the margin after the week’s stronger CPI and PPI releases, a slightly softer than expected U.Mich survey briefly helped regain some loses although this was short lived.

• Jun'24 10Y futures finished the week at 110-01 just off daily lows of 109-31 and the bear trigger at 109-25+. As trading gets underway for the week, we are inline with closing levels at 110-01
• Looking at technical levels, initial support is 109-25+ (Feb 23 and the bear trigger), below here 109-14+ (Nov 28 low). While to the upside, initial resistance is 110-30+ (Mar 14 high) above here 111-03+( 50-day EMA).
• Cash yields were -0.5 to +5bps with the curve flatter on Friday, the 2Y was +3.4bps to 4.728%, 10Y +1.6bps to 4.306%, while the 2y10y is -1.801 to -42.340
• At the very front end and ahead of this week’s FOMC, Fed Funds implied rates are back consistent with the December dot plot with 74bp of cuts for the year. Near-term cumulative cuts: 0.5bp Mar, 3bp May, 16bp Jun and 27bp Jul.
• Looking ahead the US calendar is empty today, with Building Permits & Housing starts on Tuesday main focus this week will be on the FOMC on Thursday