Key Curves Near Mid-June Levels

Tsys are resilient when it comes to the feedthrough from the cheapening move in Gilts, with any spill over cheapening fading, before TY moved to retest best levels, last sitting +0-10. Cash Tsys sit 5bp richer to 1.5bp cheaper as the curve twist steepens, leaving the 5s30s curve at the least inverted level seen since July 19, while the 2s10s curve threatens its mid-July high.

• Macro headline flow remains limited through early London hours, leaving discussions surrounding the one-notch rating downgrade of the U.S. by Fitch at the fore, along with weakness in equity markets.
• The FOMC-dated OIS strip has flattened today. Terminal rate pricing is little changed around 5.42%, while pricing of cuts through June ’24 has deepened, with 63bp of easing vs. terminal rate levels showing, as that contract softens by around 7bp.