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

Treasuries 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. PPI inflation misses at 0.15% M/M (0.3) in March but core measures in line, while 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).

• Jun'24 futures edged lower heading into US PPI data, the contract tapped 107-27+ before briefly making intraday highs of 108-16 as the market digested the data. The downward trend then continued with the contract closing the session at 108-03+. As Asia logs in we are -01+ lower at 108-2.
• Looking at technical levels: Initial support lays at 108-00 (round number support), below here 107-26+ 2.382 (proj of Dec 27 - Jan 19 - Feb 1 price swing), while a break here would open a move to 107-07+ (76.4% of the Oct - Dec ‘23 bull leg). While to the upside resistance holds at 109-02/26+ (Apr 8 low / Apr 10 high), a break back above here would open up 110-06 (Apr 4 high)
• Cash Treasury curve twist steepened on Thursday, with yields 1.2bps lower to 6bps higher. The 2Y yield was -1.2bps at 4.961%, 10Y +4.3bp to 4.587%, while the 2y10y +5.517 at -37.646.
• 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.
• Looking Ahead: Import Price Index, U. of Mich. Sentiment later tonight & Fed Speak