Back To Twist Steepening

The Tsy curve has moved back towards a state of twist steepening, leaving the major benchmarks running 3bp richer to 2bp cheaper, pivoting around 7s. The 2-/10-Year curve is through Friday’s session high, while the 5-/30-Year curve sits just below its own Friday peak.

• A ~$527K DV01 block buy in FV futures (+12,461) helped underpin the front end, with little impact derived from a smaller DV01 FV/TY flattener block (-4K/+2.5K), although a move away from best levels in Bunds/Gilts is limiting rallies/weighing on the long end.
• TY futures are -0-04 as a result, just below the mid-point of their 0-08+ range, after the early London morning bid faded.
• E-minis have also nudged away from worst levels, helping to keep any buying in check.
• FOMC-dated OIS prices ~22bp of tightening for this month’s meeting, with ~34bp of cumulative tightening showing through November. Beyond there, ~56bp of cuts are priced for June ’24. Little changed to a touch more dovish than Friday’s closing levels, well within the boundaries of the post-NFP swings.
• The previously outlined Fedspeak headlines the NY docket.