Curve Twist Flattens, Short End Yields Look Through Yesterday’s Highs

TYU3 operates around session lows, -0-02, with a heavy start for Bunds applying some pressure, although bears have only managed an incremental look through yesterday’s low thus far. Twist flattening remains evident on the cash curve, with the major benchmarks running 4bp cheaper to 0.5bp richer, as 20+Year paper firms a touch vs. yesterday’s closing levels. Further forward on the curve, 2- to 7-Year yields have looked through yesterday’s highs.

• FOMC-dated OIS shows a terminal rate of ~5.43%, come November, beyond there, ~58bp of cuts are priced through June ’24.
• The latest NFP release presents the highlight of the NY docket, coming on the heels of the much firmer than expected ADP reading (the usual correlation caveats apply). Click for our full preview of today’s NFP release.