TREASURIES SO FAR: Treasuries mixed as bear-flattening after hawkish Williams has already nearly faded

BLOCKS

• @ 00:47ET: 8k ZFH4 at 108-112 vs 1.6k UBH4 at 132-15 (flattener)


• @ 06:59ET: 14k ZQG4 at 94.70 (buyer)


• @ 08:31ET: 5k ZTH4 at 102-248 (seller)


• @ 08:38ET: 5k ZTH4 at 102-222 (seller)


• @ 09:16ET: 4.7k ZBH4 at 123-16 (buyer)


• @ 09:22ET: 11k ZNH4 110.00 puts for '33


• @ 09:26ET: 8.5k ZFH4 at 108-14 (buyer)

OI CHANGES

• 
  Futures (H4): ZT +18k (+0.46%), ZF +18k (+0.31%), ZN +24k (+0.54%), TN +12k (+0.59%), ZB +16k (+1.23%), UB +15k (+0.98%).


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  Options:

Analysis details (14:30)

T-Notes (H4) down 5+ ticks at 112-11 in a 112-04/112-24 range 

CASH YIELDS: 2yr +3.3bps at 4.432%, 5yr +1.8bps at 3.928%, 10yr flat at 3.93%, 30yr -0.3bps at 4.051%.

SO FAR: The pullback lower seen post-ECB in USTs extended into the Friday APAC session where T-Notes hit a trough of 112-08, contracts held just above the figures until European trade got underway. The soft PMI figures across Europe, which Oxford Economics says are pointing to a contraction in GDP of around 0.3% Q/Q in Q4, saw a sizeable govvies bid. T-Notes hit session highs of 112-24 at the NY handover. 

With eyes to the impromptu Wiliams interview on CNBC, T-Notes began paring lower again as stateside traders arrived. The tumble in the NY Fed's Empire mfg. survey saw a fleeting bid before Williams started speaking a few minutes later. The NY Fed official gave some pushback to recent market moves, saying "we aren't really talking about rate cuts right now", saying the market moves have been quite large. The bear-flattening that followed saw T-Notes trough at 112-04, although contracts have already pared significantly as the dust has settled, aided by softer-than-expected IP data. There are currently 145bps of Fed cuts priced across 2024 vs 148bps before Williams. 

AHEAD: There is little else on the calendar on Friday aside from Flash PMIs. Attention to next week's 5yr TIPS and 20yr bond auctions in thinning trading conditions. Bostic, the outspoken dove, is the only Fed speaker on the calendar next week (Tuesday, taking part in a fireside chat) for now. We also get some economic data in Tuesday's housing starts, Wednesday's consumer confidence and existing home sales, Thursday's final Q3 GDP and Philly Fed survey, and Friday's PCE, Durable Goods, Michigan survey, and new home sales.

NEXT WEEK's AUCTIONS: US to sell USD 13bln of 20yr bonds (reopening) on Dec 20th, to settle on Jan 2nd; to sell USD 20bln of 5yr TIPS (reopening) on Dec 21st, to settle on Dec 29th.

15 Dec 2023 - 14:30- Fixed IncomeData- Source: Newsquawk/CME