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Treasuries See-Saw Off Lows, In-Line PPI Twist Steepens Curve

US TSYS
  • Treasury futures are looking to finish mixed Thursday, late support following large 2Y and 5Y Block buys evaporating, though curves hold steeper (2s10s +4.736 at -38.427).
  • Volatile morning as Treasury futures drew fast two-way trade after ECB steady rate announcement and largely in-line US Producer Price data brought some relief to global core FI market after Wednesday's hot CPI figure: PPI inflation misses at 0.15% M/M (0.3) in March but core measures in line.
  • Initial claims were lower than expected at a seasonally adjusted 211k (cons 215k) in the week to Apr 6 after a marginally upward revised 222k (initial 221k).
  • Treasuries dipped briefly after $22B 30Y auction (912810TX6) re-open tailed for the first time in 5 auctions (5.2bp tail in Nov'23): 4.671% high yield vs. 4.662% WI; 2.37x bid-to-cover vs. 2.47x in the prior month.
  • Indirect take-up falls to 64.38% (lowest since Nov'23) vs. 69.29% prior; direct bidder take-up climbs to 18.28% vs. 16.77% prior; primary dealer take-up 17.34% (highest since Nov) vs. 13.93%.
  • Projected rate cut pricing gained slightly vs. late Wednesday levels: May 2024 at -2.6% w/ cumulative -.6bp at 5.322%; June 2024 at -22.6bs vs. -16.2% earlier (-55.1% pre-CPI) w/ cumulative rate cut -6.3bp at 5.226%. July'24 cumulative at -14.1bp, Sep'24 cumulative -25bp.
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