Cross-Market Moves Aid Cheapening Bias, Although Oil Downtick Limits

Upticks in core global FI yields and S&P 500 e-mini futures have helped bias Tsys a little cheaper, building on the move seen in Asia-Pac hours. The latest downtick in crude oil futures is probably stopping those moves from extending further (WTI has breached last week’s low), with TYU3 respecting Friday’s base and e-minis failing to challenge their Friday peak this far.

• Cash Tsys run 1.5-2.5bp cheaper, with light bear flattening still in play.
• TYU3 sits -0-04, 0-02 off the base of its 0-07 range.
• FOMC-dated OIS is little changed, showing 7bp of tightening for this week’s meeting, a cumulative ~20bp of hikes through July and ~23bp of cuts through year end vs. current terminal rate pricing.
• Today’s double Tsy & Bill supply will generate most of the local focus on Monday, outside of any meaningful headline flow/cross-market moves.