A Little Firmer On The Day

A bid in European peers helped the Asia-Pac richening in Tsys to extend a little further, even as JGB futures ticked lower on the back of adjustments to the BoJ’s Q124 purchase plans.

• A block buy in FV futures (~$150K DV01) also helped underpin the space in early London trade.
• A Tokyo bid in JGBs (linked to perceptions surrounding the summary of opinions covering the latest BoJ meeting) had provided support in pre-London trade.
• TYH4 looked through yesterday’s best levels before backing off to trade +0-00+ at 112-23+. That leaves the contract 0-02+ shy of the peak of its 0-08 session range. Volumes are understandably subdued given the time of year.
• More broadly, the contract holds to the recently observed range, with last week’s high (113-04+) providing initial technical resistance. Meanwhile, initial support comes in at 111-31+, the Dec 14 low.
• Cash Tsy yields are 0.5-2.5bp lower on the day, with a light bull flattening bias seen.
• FOMC-dated OIS shows ~155bp of cuts through ’24, with the first 25bp cut essentially fully discounted come the end of the March ’24 FOMC.
• Regional Fed activity data and 5-Year Tsy supply headline the NY docket (4-month and 2-Year FRN supply is also due).