Treasuries accommodated the data rapidly as conditions deteriorated. Prices in the belly were the heaviest, but losses are spread pretty broadly across the curve and the front-end quickly shed its early advances. The June bond closed down 27/32 at 98-5/32, up from 97-22 lows, while the cash bond tumbled over a point before recovering. The two-year note and 30-year bond spread closed at 209 basis points from 217 basis points, thanks to the roll.
San Francisco Fed's Parry said the shallow recession likely ended in December, but the Fed would be careful to mull its options before altering policy.