A Touch Cheaper Alongside Bunds, NFPs Eyed

Tsys drift lower alongside Bunds as Europe settles in.

• TYZ3 last -0-06+ at 107-03+. The contract is comfortably off the lows of the week, but below initial resistance at 107-14, sticking to a contained 0-07 range thus far.
• Cash Tsys run 2-3bp cheaper across the curve, with 7s leading the weakness.
• 2s10s sits a handful of bp off YtD highs, printing -30bp, while 5s30s operate just shy of recent multi-month highs at +20bp.
• The monthly labour market report headlines the NY docket today, presenting the key macro risk event of the week. Find our full preview of that release here.
• Fedspeak from Governor Waller is due, although that will be centred on the payments system, limiting the scope for meaningful monetary policy communication.
• Terminal policy rate pricing on the FOMC-dated OIS strip is ~10bp above prevailing rate levels, covering the Dec ’23 meeting. Beyond there, ~57bp of cuts are showing through Sep ’24 (vs. current terminal policy rate pricing).