Curve positively sloped; modest easing expectations
April 1, 2026
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–The month of March saw the US 10y yield go from 3.94% on 27-Feb to 4.43% on 27-March, nearly 50 bps. Currently 4.28% with halfway back level 4.186%. Using TYM with actual high and low ticks, 50% retrace is 111-31 (now 111-10); likely a reasonable target as oil stabilizes and the needle is moving in the direction of an end to Iran hostilities. Implied vol has been receding directionally with yields.
–Yesterday yields ended slightly lower, with 10s (at futures settlement) at 4.309%, down 3.3 bps. SOFR contracts +2 to +4 on the day. Peak SOFR contracts Z7 and H8 settled 9659.5 or 3.405%, about 25 bps below current funds. 2y yield ended at the top end of the FF target at 3.797%. 2/10 is just over 51 bps.
–News today includes ADP expected 40k from 63k last. Retail Sales expected +0.5%, +0.3% ex-auto/gas. ISM Mfg 52.3 from 52.4 last. Last year ended 47.9. Yesterday Consumer Confidence posted a minor bounce at 91.8 (87.9 exp), but forward expectations at 70.9 remains mired near lows of the past 4 years.
–Early close Friday with trade stopping 11:15 EST (10:15 CST). Settlements at 10:00 CST.
