Treasury Futures Off Lows, Fed Blackout Starts

Treasuries continued to rebound off midweek lows Friday, rebounding/extending highs after in-line PCE Deflator and they continued their move after MNI Chicago PMI data came out lower than expected.

• Treasury futures closed the week at session highs, the front-end out performing over the week. As trading gets underway on Monday, TU is testing Friday highs (+ 01.875) at 101-29.125, while TY trades just below the highs although up + 05+ at 108-31.
• Treasuries remain vulnerable and this last weeks move lower reinforces the current bearish theme. This move down marks an extension of the reversal from the May 16 high. Initial support rests at 107-31 (May 29 lows), while initial resistance holds just above currently levels at 109-00 (May 31 highs) a break here we opened a move to 109-13 (50-day EMA)
• Cash treasury curve bull-steepened on Friday, yields were 3-6bps lower, the 2Y -5.3bps to 4.873%, the 10Y -4.7bps at 4.499% while the 2y10y was +0.671 at -37.621.
• Rate cut projections have gained slightly post data: June 2024 at -0% w/ cumulative rate cut 0.0bp at 5.328%, July'24 at -12% w/ cumulative at -3.5bp at 5.293%, Sep'24 cumulative -14.7bp (-13.9bp pre-data), Nov'24 cumulative -21.7bp (-20bp pre-data), Dec'24 -35.5bp (-32.9bp pre-data).
• Looking ahead; S&P Global US Manufacturing PMI, while the Fed is in blackout period until June 13