TREASURY WRAP: T-NOTE (H5) FUTURES SETTLE 9 TICKS LOWER AT 111-05+

Analysis details (20:41)

T-notes bear steepened ahead of CPI and supply. At settlement, 2s +3.1bps at 4.129%, 3s +2.8bps at 4.088%, 5s +3.5bps at 4.071%, 7s +4.2bps at 4.130%, 10s +4.6bps at 4.199%, 20s +5.3bps at 4.469%, 30s +5.8bps at 4.389%.

INFLATION BREAKEVENS: 5yr BEI +2.2bps at 2.357%, 10yr BEI +2.3bps at 2.274%, 30yr BEI +2.2bps at 2.229%.

THE DAY: T-notes sold off throughout the session with the curve bear steepening with attention turning to US CPI on Wednesday, as well as the 3, 10 and 30-year supply throughout the week. T-notes saw mild gains overnight to see a peak of 111-18+ in wake of softer-than-expected China CPI data before selling was observed in European trade. The downside was seen after the Chinese Politburo shifted its monetary policy stance to be moderately loose, with the downside in T-notes a function of risk on trade as it was accompanied by an initial upside in equity futures. T-notes then meandered ahead of US trade before better selling resumed to ultimately see T-notes fall as low as 111-05 ahead of settlement. The downside was gradual throughout US trade with likely concessions taking place ahead of supply this week while perhaps some profit-taking also took place ahead of key CPI data this week. The data will be important in helping shape expectations for the December FOMC rate decision, which is currently expected to be cut by 25bps but a hot report may support arguments for a December skip.

THIS WEEK SUPPLY: US Treasury to sell USD 58bln in 3yr notes on Dec 10th, USD 39bln of 10yr notes on Dec 11th and USD 22bln in 30yr bonds; all to settle Dec 16th (sizes as expected)

STIRS:

• Market Implied Fed Rate Cut Pricing: December 21bps (prev. 22bps), January 28bps (prev. 30bps), March 45bps (prev. 47bps).


• US sold USD 73bln of 6-month bills at 4.200%, covered 2.90x; sold USD 82bln of 3-month bills at 4.300%, covered 2.89x


• NY Fed RRP op demand at USD 153bln (prev. 130bln) across 52 counterparties (prev. 50)


• SOFR at 4.60% (prev. 4.59%), volumes at USD 2.277tln (prev. 2.325tln).


• EFFR at 4.58% (prev. 4.58%), volumes at USD 107bln (prev. 109bln).

09 Dec 2024 - 20:41- ForexData- Source: Newsquawk