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2-Year Yield Rises In Asia, CPI In Focus


TYM3 deals at 114-04+, -0-16+, a touch off the base of the 0-13 range on elevated volume of ~223k.

  • Cash tsys sit 16bps cheaper to 2bps richer across the major benchmarks. The curve has twist flattening pivoting on 10s.
  • The front end of the curve continued to lead swings in Asia as local participants faded yesterday's historic move in the short end of the curve.
  • 2-Year Yields had moved ~115bps from peak to trough from Wednesday to Monday, with Monday’s fall the largest since the early 1980s.
  • With an eye on this evening's CPI print, movements in FOMC dated OIS have been seen in Asia today. There is ~25bps of tightening priced into the next two Fed meetings with the terminal rate seen in May at 4.83%, with ~70bps of cuts now priced in for 2023. There was over 90 bps of cuts priced in early in the Asian session
  • In Europe today the UK Labour Market survey headlines. Further out February's CPI print headlines the docket, our preview is here. Fed Governor Bowman will also cross today.

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