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Treasuries Pare Losses After Fresh YTD Yield Highs Across Curve

US TSYS

Treasury Futures pushed lower as the US session got underway on Monday, breaking below initial resistance and the bear trigger of 109-25+, futures were able to break back above to close the session at 109-30. The calendar was empty, market headlines remained quiet and volumes were low at just 70% of recent session volumes.

  • Jun'24 10Y futures finished at 109-30, off daily lows of 109-24+ and the bear trigger at 109-25+. As trading gets underway for Tuesday, we are + 02+ higher at 109-28+. Post NY Close a 5,000 Block of TYM4 traded at 102-03⅛, looked Sold DV01 190k.
  • 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).
  • In cash treasury space 5Y yields touched fresh YTD highs after the 2Y did so earlier on, while the 10Y stopped just 0.25bps shy of their high of 4.3486%. Yields finished flat to 2bps higher, the 2Y was +0.4bps to 4.732%, 10Y +1.8bps to 4.324%, while the 2y10y is +1.359 to -40.981.
  • Fed swaps briefly showed more than a 50% likelihood of no change in the June meeting. CME’s FedWatch currently shows 50.8% chance of a 25bp cut and 3.4% of a 50bp cut.
  • Looking ahead the US calendar is empty today, with Building Permits & Housing starts on Tuesday focus this week will be on the FOMC on Thursday
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