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Unwinding Tuesday's PMI Rally, Curves Bear Steepen Near 3M Highs

US TSYS
  • Treasuries remain weaker after the bell, off late morning lows amid moderate two-way positioning in the second half. Rates followed EGBs lead on the open with BTP, Bund and Gilt yields supported after Bund supply and higher than expected Australia CPI.
  • Treasury futures held near lows following this morning's largely in-line Durables/Cap goods data - brief short cover support on down-revisions to prior: Durable Goods Orders (2.6% vs 2.5% est; prior down-revised to 0.7% from 1.3%), Cap Goods Orders Nondef Ex Air (0.2% vs 0.2% est, prior down revised to 0.4% from 0.7%.).
  • Futures remained weaker after the $70B 5Y note auction (91282CKP5) tailed: drawing 4.659% high yield vs. 4.655% WI; 2.39x bid-to-cover vs. 2.41x for the prior auction.
  • Jun'24 10Y futures marked a 107-20 low (-14.5) in the first half, traded 107-25 after the bell, 10Y yield climbs to 4.6686% high. 2s10s curve bear steepened to -27.488 - steepest level since February 1.
  • In turn, projected rate cut pricing swung back to recent lows: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -16.2% vs. -13.6% this morning w/ cumulative rate cut -4.7bp at 5.282%. July'24 cumulative at -12.6bp vs. -11.6bp earlier, Sep'24 cumulative -24bp vs. -22.9bp.
  • Thursday Data Calendar: Wkly Claims, GDP, Core PCE Index.
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