Asia Left To Assess Post-CPI Repricing

TYZ2 deals a touch shy of its CPI-inspired Thursday peak, last +0-01 at 112-17+.

• To recap, the major cash Tsy benchmarks ran 22-30bp richer on Thursday, with the 3- to 7-Year zone leading the post-CPI bid as some FOMC rate hike premium was unwound after the CPI data suite provided downside surprises across the board.
• Fedspeak in lieu of the data pointed to the need for continued tightening, although more regional Fed Presidents seem open to slowing the pace of hikes.
• 52bp of tightening is now priced for the Fed’s Dec meeting (~6bp below pre-CPI levels), per FOMC dated OIS, with a terminal rate of ~4.90% now priced, a little over 15bp below pre-CPI levels.
• 30-Year Tsy supply was well received, of course aided by post-CPI gyrations, with the average yield printing over 3bp through WI, alongside record low dealer allotment, with the cover ratio hovering incrementally above the recent average. The auction helped the curve move away from session steeps.
• There isn’t anything in the way of major macro releases slated for Friday’s Asia-Pac session, with Friday’s NY docket headlined by the inflation expectations components of the latest UoM sentiment survey
• A reminder that cash Tsys are closed on Friday on the back of the Veterans Day holiday, although CME futures will observe their usual trading hours.