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Tsy Futures Extend Gains Ahead Midday, Early 2024 Projected Hike Dips

US TSYS
  • US Treasury futures extended gains in the last few minutes, near the middle of the week's range as shorts consolidate following this morning's higher than expected Q3 GDP (4.9% vs. 4.5% est, 2.1% prior) - largely driven by inventories and softer than expected core PCE prices (2.4% vs. 2.5% est) and jobless claims (210k vs 207k est, 198k prior) at their highest in five months, suggesting that labor market tightness may start to wane.
  • Current Dec'23 10Y futures +11.5 at 106-01 vs. 106-03.5 high, still well below initial technical resistance of 106-31 (20-day EMA). 10Y yield at 4.8997% (-.0552) vs. 4.9873% high overnight.
  • Curves running mostly steeper: 3M10Y an exception at -57.951 (-4.398), 2Y 10Y +.722 at -16.058, while 5Y30Y gains +5.054 at 21.278.
  • FI short end support translates to softer projected rate hikes into early 2024: November holding at 1.6%, w/ implied rate change of +.4bp to 5.333%, December cumulative of 5.5bp at 5.383%, January 2024 cumulative 7.9bp at 5.408%, while March 2024 slips to 3.5bp at 5.364%. Fed terminal at 5.438% in Jan'24. Fed terminal at 5.410% in Feb'24.

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