Coiling, Supply & Fedspeak Eyed

Tsys meander through Asia/early London trade after NYC Bancorp worry, some Fedspeak and a well-received round of 3-Year Tsy supply helped underpin the space through Tuesday’s close.

• TYH4 sits a handful of ticks below yesterday’s best levels, last dealing flat at 111-09, operating in a narrow 0-06 range on sub-aevrage volume of ~192K.
• Cash Tsy yields are 0.5-1.0bp lower across the curve.
• Some signs of USD funding worry may have been seen during Asia-Pac hours, as flagged in an earlier bullet.
• Block flow has been headlined by a ~$100K DV01 buy of FV futures, once again in Asia-Pac hours.
• FOMC-dated OIS shows 6bp of cuts through Mar ’24 and ~122bp of total cuts through ’24, a little off the dovish extremes of Tuesday’s session.
• Mid-tier U.S. data is set to provide little impetus for Tsys on Wednesday, which will leave focus on 10-Year Tsy supply and a raft of Fedspeak.