Light Bear Flattening In Play, TY Through Yesterday’s Cheaps

Bear flattening is evident on the curve as European participants settle in, with the impulses surrounding yesterday’s BoC decision driving ACGBs overnight, which eventually leaked through into Tsys.

• That leaves cash Tsys 1-3bp cheaper at typing, while TYU3 comes under some pressure alongside Bunds through the old Eurex open. Yesterday’s low in the contract is breached, while the majority of the major cash benchmarks (2s & 3s are the exception) have broken yesterday’s yield peaks.
• The 5-/30-Year curve hovers just above yesterday’s multi-week flats.
• FOMC-dated OIS pricing nudges towards yesterday’s hawkish extremes, with ~9bp of tightening priced for next week’s gathering and a cumulative ~22bp showing through July. ~25bp of rate cuts is then priced through year-end vs. current terminal levels. Feed through from action north of the border remains evident.
• Weekly jobless claims data provides the highlight of the NY docket today. It is also worth noting that post-meeting comments from BoC Deputy Governor Beaudry will probably get more attention than usual, after the Bank caught most off guard yesterday.