Curve A Little Flatter, Tsys Off Highs After Overnight Spike

Tsys off overnight highs.

• TYM4 +0-03+ at 110-20 (110-17 to 23+ range), with volume running around the norm at ~216K.
• Familiar technical parameters are untouched and in play in that contract.
• Cash Tsy yields are flat to 2bp lower across the curve, light flattening seen.
• A contained spike higher in TY futures dominated in Asia.
• The move was quickly pared, with notable activity (~45K TYM4 lots) seen over a ~20-minute window.
• We didn’t see any meaningful headline flow at the time, with desks also struggling to pinpoint a fundamental driver.
• FOMC-dated OIS shows ~79bp of cuts through ’24, with ~19bp of easing priced through the June FOMC. Familiar levels are in play there.
• Durable goods data headlines the NY calendar today, with various house price metrics, regional Fed activity indicators and Conference Board consumer confidence data also due.
• Elsewhere, 5-Year Tsy supply will need to be digested.