Curve Marginally Flatter On The Day, Proximity To CPI Limits Activity

The modest early London uptick in TYZ3 had reversed, but an uptick in the likes of Bunds and gilts lends some fresh support. The latest uptick leaves the contract +0-02+ at 107-16+, 0-02 off the high of its 0-09 session range.

• Cash Tsy yields run 0.5-3.0bp lower with a light flattening bias on the curve. Desks suggested that cash activity was ~50% of the recent norms in Asia hours, with a lack of meaningful macro headline flow and the spectre of the impending CPI release limiting activity.
• Our full preview of the CPI release can be found here.
• FOMC-dated OIS shows ~7.5bp of cumulative tightening through the Jan ’24 FOMC. Further out, the first full 25bp cut isn’t priced until the end of the July ’24 meeting (with ~20bp of cuts showing through June ’24 and ~34bp of easing seen through July, referencing current effective rate levels).
• A raft of Fedspeak and the NFIB small business optimism index will also cross today.