MNI: PBOC Conducts CNY2 Bln Via OMO Fri; Liquidity Unchanged

CHINA PBOC CONDUCTS CNY2 BILLION VIA 7-DAY REVERSE REPOS FRI

MNI: PBOC Sets Yuan Parity Lower At 7.1315 Fri; -1.12% Y/Y

CHINA SETS YUAN CENTRAL PARITY AT 7.1315 FRI VS 7.1339

MNI BRIEF: Fed's Musalem: Interest Rates Likely To Be 3.5%-4% Over Long Run

FED’S DALY: POLICY ADJUSTMENTS LIKELY WARRANTED AT SOME POINT

MNI BRIEF: Japan MOF Official Not Commenting On FX Action

MNI: US JUN TREASURY BUDGET -66B

US Treasury Auction Calendar

RPT-MNI: Canada Sticks To Fiscal Anchors, Spends Chunk Of Windfall

MNI BRIEF: Poilievre Calls QE 'Scam' And Would Limit BOC Remit

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Early Mar'24/Jun'24 Roll Update

US TSY FUTURES

Latest Tsy quarterly futures roll volume from Mar'24 to Jun'24, percentage complete below. Jun'24 takes lead on February 29 "First Notice" date. Current roll details:

  • TUH/TUM 301,100 from -15.25 to -14.62, -15.12 last, 32% complete
  • FVH/FVM 1,160,000 from -13.00 to -12.25, -12.5 last, 35% complete
  • TYH/TYM 824,700 from -17.0 to -16.0, -16.25 last, 36% complete
  • UXYH/UXYM 111,100 from -6.0 to -5.5, -5.75 last, 28% complete
  • USH/USM 81,100 from -0.5 to 0.5, -0.25 last, 28% complete
  • WNH/WNM 62,200 from -1-25.75 to -1-24.75, -1-25.75 last, 25% complete
  • Reminder, March futures won't expire until next month: 10s, 30s and Ultras on March 19, and the 28th for 2s and 5s. March options expire today.
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