Curve Twist Flattens On Mix OF ECB & Domestic Data

TYH3 deals at 114-29+, unchanged vs. settlement.

• Cash Tsys finished Thursday dealing 3bp to 4bp richer, twist flattening, with a pivot around 5s.
• Tsys were pressured on cross-market spillover from hawkish ECB guidance, before recovering as weaker than forecasted data (retail sales & Empire m'fing) facilitated a bounce off post-ECB lows.
• Tsys then respected the ranges established early in the day through much of the remainder of the NY session, with only minor breaches observed.
• Cross-asset there were strong risk off flows as participants continued to digest Wednesday's FOMC decision & post-meeting press conference, as well as Thursday's raft of central bank gatherings. The S&P500 was ~2.5% lower, with commodities also pressured as fears of a global economic slowdown and waning demand mounted. The DXY was added ~0.8%.
• Fed dated OIS remains stable, pricing ~32bp of tightening for the Feb ’23 meeting and a terminal rate of just under 4.90%, shy of the ~5.10% seen in the Fed’s latest dot plot.
• In Asia-Pac today we have a thin data calendar. Further out we have Eurozone CPI and PMI data from Europe & the UK. Elsewhere, San Francisco Fed President Daly will speak on inflation and the economy.