European Data Supports

German PPI & UK retail sales data has helped Tsys stabilise during early London trade, after TY futures had a foray below yesterday’s worst levels during the Asia-Pac session.

• That contract last trades +0-01 at 111-07+, 0-01 off the top of its 0-08+ session range. Volume in the contract sits at a healthy ~253K.
• Cash Tsy yields sit -0.5bp to +0.5bp on the day, with a very modest twist steepening seen.
• Flow wise, the ~$472K DV01 FV/US steepener block has dominated (crossed just ahead of London hours). A block buyer of TY futures (DV01 ~$83K) and pay-side flows in the belly of the swap curve were noted overnight.
• Some desks also touched on the potential for CTA-type exiting of longs during Asia hours.
• Existing home sales and UoM sentiment data (with a particular focus on the inflation expectations components) will cross during NY hours.
• Comments from Fed’s Daly, Goolsbee and Barr will also hit (although Barr is set to speak on bank regulation).
• FOMC-dated OIS shows ~140bp of cuts through ’24 (has traded in a 138-170bp range since last Friday’s PPI print), with ~14bp of cuts priced through the Mar ’24 FOMC (traded in a 13-23bp range over the same horizon).