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Treasury Futures Edge Lower, Ahead Of FOMC Mins Later

US TSYS
  • Treasury futures have ticked lower in the second half of the trading session, the 10Y contract is (- 02) at 109-05+, while the 2Y contract is ( - 00.375) at 101-21+.
  • Volumes: TU 35k, FV 42.5k, TY 50k
  • Tsys flows: Large SOFR futures strip block, totaling 1.7mm DV01, looks to be a buyer.
  • The treasury curve is little changed today, yields are about 1bps higher, the 2Y yield +0.8bp at 4.839%, 10Y +0.8 at 4.420%
  • Regionally: ACBGs yields are 1-2bps higher curve has bear-flattened, NZGBs yields are 3-7bps higher, curve bear-flattened post a hawkish RBNZ, while JGBs are 0.5bps to 6bps higher, with the 10y now trading at 0.99%
  • Earlier, the Fed's Bostic, Collins & Mester have been involved in a moderated discussion, with the key points from each; Bostic stated that the economy is incredibly resilient and that it will take longer for interest rates to influence decisions, Mester believes economic growth will be above trend this year, inflation will take longer to decrease, and current policy is well-positioned but needs monitoring while Collins emphasized the importance of patience in policy adjustments, noting that it will take longer to see progress and that a methodical, holistic approach is needed.
  • Rate cut projections hold steady vs. late Monday: June 2024 at -5% w/ cumulative rate cut -1.2bp at 5.318%, July'24 at -20% w/ cumulative at -6.3bp at 5.267%, Sep'24 cumulative -19.9bp, Nov'24 cumulative -27.6bp, Dec'24 -43.7bp.
  • Looking ahead: May 1 FOMC Minutes, Existing Home Sales and US Tsy 20Y Bond Sale.
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