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Update: Extending Highs, Projected Year-End Rate Cuts Climbing

US TSY FUTURES
  • Front month Treasury futures are extending early session highs after some selling dropped prices following the initial post-data gap bid.
  • Jun'23 10Y futures mark 115-31.5 (+9) high, yield down to 3.3812% low. A bullish theme remains intact and moving average studies highlight an uptrend. Initial resistance at 116-08 April 12 high, followed by 117-01+, the Mar 24 high, is the bull trigger.
  • Some sporadic selling into the short end strength is prompting curves to scale off highs a little: 2s10s currently at -53.400 (+3.949) vs. -51.414 high.
  • STIR rates: Fed funds implied hike for May'23 slips to 17.3bp from 18.4bp pre-data, Jun'23 at 17.5bp vs. +19.1bp cumulative at 5.001%.
  • Projected rate cuts later in the year climbing back to Wednesday's post-CPI highs: Nov'23 cumulative -35.0bp to 4.476%, Dec'23 cumulative -54bp at 4.286. Fed Terminal currently at 4.995% in Jun'23.

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