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Holding A Touch Firmer Into CPI


TYU3 continues to show above yesterday’s best levels, although the move hasn’t got much in the way of upward traction ahead of the impending event risk, namely the CPI release (our full preview of that can be found here) , with the contract now +0-08+, 0-01+ off the peak of its 0-09 range. Bulls now look to the Jul 5 high (112-04) as the next level of technical resistance, although it goes without saying that the CPI release will be key when it comes to immediate price action.

  • Cash Tsys run 1-3bp richer, with 5s outperforming at the margin, leaving 5s 11bp richer on the 2-/5-/10-Year fly week to date.
  • 23bp of tightening is priced into FOMC-dated OIS re: this month’s meeting and a cumulative 35bp of tightening priced through November. Beyond there, 62bp of cuts are showing through Jun ’24.
  • Points of interest outside of the CPI data include the latest raft of Fedspeak, real AHE data, 10-Year Tsy supply and the latest BoC decision.
MNI London Bureau | +44 0203-865-3809 |
MNI London Bureau | +44 0203-865-3809 |

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