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Treasuries Touch Session Highs With Equity Drop, Three Cuts Priced For June

US TSYS
  • Cash Tsys trade 6-9.5bp richer, led by 2s as has been the case through the day.
  • There have been various stages to today’s rally. An overnight bid was accelerated by spillover from notably softer than expected UK CPI, and whilst beats for existing home sales and Conf. Board consumer confidence prompted cheapening it didn’t last long. The same can be said for the modest sell-off seen after the largest tail for a 20Y auction this year, before the late session slide in equities belatedly fed through to Treasuries.
  • It’s seen TYH4 recently touch a fresh high of 112-30+ (+ 16+), pushing through resistance at 112-28+ after which lies 113-12+ (both Fibo projection points).
  • Fed Funds implied rates have also slipped, modestly for near-term meeting with the 22bp of cumulative cuts for March similar to levels at the start of the US session, but more notably beyond with now a cumulative 75bp for June and 155bp for end-2024.
  • Tomorrow sees jobless claims, with initial for a payrolls reference week, plus the third revision for Q3 GDP before Friday’s monthly PCE report, durable goods and the finalized U.Mich consumer survey.

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