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Biased Cheaper Into NFPs

US TSYS

While macro headline flow has been close to non-existent ahead of NFPs someone has been busy deploying TU/TY steepener flow during the London morning, with 4 blocks totalling +23K TU ($870K DV01) vs -13.5K TY (894K DV01) noted. That has allowed the 2-/10-Year curve to look above yesterday’s session high, leaving it at -94bp, ~17bp above cycle extremes.

  • Cash benchmarks are 1-4bp cheaper, with the belly to intermediates leading the weakness.
  • TYU3 operates in a 0-10 range, a little above yesterday’s multi-month lows, last -0-04+.
  • A quick reminder that OI changes indicated notable short setting across Tsy futures during yesterday’s cheapening (~$7.65mn DV01 equivalent), with changes in the FV to TY zone the most pronounced.
  • The BBG NFP whisper number has moved higher since ADP, to +279K vs. the BBG survey median of +230K. Our full preview of the release can be seen here.
  • Comments from Chicago Fed President Goolsbee (’23 voter) pad out the NY docket.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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