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Treasury Futures Unwind Post CPI/Retail Sales Rally, Curve Steeper

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Treasury futures gradually traded lower throughout the Friday session, finishing the day at session lows and fully unwinding Wednesday's post-CPI/Retail Sales related rally. There was little data to trade off of Friday with just the Conference Board leading indicator, which fell by more than expected in April, -0.6% M/M (cons -0.3) after -0.3% in March.

  • Jun'24 10Y futures closed the session down (- 09+) at 109-06 and we have opened unchanged on Monday. Support now holds at 108-15 (Low May 14), while a break above 109-31+(May 16 high), would open up a move to 110-06+ (Apr 4 high)
  • The treasury curve bear-steepened on Friday, yields were 2-5bps higher, the 2Y yield +2.9bps at 4.825%, 10Y +4.8bps to 4.420%, while the 2y10y +1.562 at -40.684
  • (MNI): Bowman Supports Steady Fed Stance, Warns of Upside Risks - (See Link)
  • Rate cut projections remain largely in-line with this morning's levels (*): June 2024 at -10% w/ cumulative rate cut -2.5bp at 5.313%, July'24 at -22% w/ cumulative at -8bp at 5.258%, Sep'24 cumulative -21.1bp, Nov'24 cumulative -29.2bp, Dec'24 -44.4bp
  • Today, the calendar is empty
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Treasury futures gradually traded lower throughout the Friday session, finishing the day at session lows and fully unwinding Wednesday's post-CPI/Retail Sales related rally. There was little data to trade off of Friday with just the Conference Board leading indicator, which fell by more than expected in April, -0.6% M/M (cons -0.3) after -0.3% in March.

  • Jun'24 10Y futures closed the session down (- 09+) at 109-06 and we have opened unchanged on Monday. Support now holds at 108-15 (Low May 14), while a break above 109-31+(May 16 high), would open up a move to 110-06+ (Apr 4 high)
  • The treasury curve bear-steepened on Friday, yields were 2-5bps higher, the 2Y yield +2.9bps at 4.825%, 10Y +4.8bps to 4.420%, while the 2y10y +1.562 at -40.684
  • (MNI): Bowman Supports Steady Fed Stance, Warns of Upside Risks - (See Link)
  • Rate cut projections remain largely in-line with this morning's levels (*): June 2024 at -10% w/ cumulative rate cut -2.5bp at 5.313%, July'24 at -22% w/ cumulative at -8bp at 5.258%, Sep'24 cumulative -21.1bp, Nov'24 cumulative -29.2bp, Dec'24 -44.4bp
  • Today, the calendar is empty