A touch Firmer On Gilt Rally, Very Tight Ranges Ahead Of CPI

The rally in gilts lends some very light support to Tsys.

• UK labour market data has supported gilts and driven a dovish move in BoE pricing.
• TYM4 last +0-02 at 111-21, sticking to a narrow 0-04 range after recovering from Monday’s low.
• Familiar technical levels remain in place.
• Cash Tsy yields are 0.5-1.0bp lower across the curve.
• CPI data headlines the U.S. calendar today. Our full preview of that release can be found here.
• FOMC-dated OIS prices ~89.5bp of ’24 cuts ahead of the release, with ~21.5bp of cuts priced through the June FOMC.
• Proximity to the data is seemingly limiting activity, with only ~164K TY futures changing hands so far.
• 10-Year Tsy supply is also due later today. That comes on the heels of yesterday’s relatively well-received 3-Year auction.