Treasury Futures Push Higher Into The Close, Curves Bull-Steepen

Front-end treasuries pushed to session highs into the close, while further out the curve lagged the move. The day’s drivers were initially some European spillover before more notably a miss for CAD CPI and then the first stop for a 20Y auction since Nov. Auction details included a solid 2bp trade through along with the highest bid-to-cover since Jun and lowest dealer take since Sep.

• Jun'24 10Y futures finished at 110-04+, off a post-auction high of 110-08, TY cumulative volumes of 1.2m again lag recent averages (70-75%) for the time of day, with tomorrow’s FOMC decision looming.
• Resistance is seen at 110-26 (20-day EMA) but yesterday’s 109-24+ pierced the bear trigger at 109-25+ (Feb 23 low) and has opened 109-14+ (Nov 28 low).
• In cash treasury space curves bull steepened with yields finishing 1-5bps lower, the 2Y was -4.9bps to 4.683%, 10Y -3.2bps to 4.293%, while the 2y10y is +1.502 to -39.478.
• Fed Funds implied rates have drifted lower from the June meeting onwards, whilst the Dec implied rate continues to hover around the median dot from the Dec SEP ahead of tomorrow’s new dot plot and forecasts. Cumulative cuts from 5.33% effective: 0.5bp Mar, 2.5bp May, 16.5bp Jun, 26.5bp Jul and 73bp Dec.
• Looking ahead: MBA Mortgage Applications later Today, while all eyes will be on the FOMC on Thursday.