Off Best Levels

As mentioned elsewhere, Spanish CPI data has helped take the edge off the Asia-Pac rally in core global FI markets.

• TYH4 last +0-05 at 111-22, around the middle of its 0-10 range, with volume already topping 282K lots.
• Cash Tsy yields are 0.5 to 3.0bp lower, with the curve bull flattening.
• Asia-Pac trade focused on Tsy issuance expectations in the wake of the lower-than-expected borrowing estimates released ahead of the quarterly refunding announcement (QRA), while China-centric worry was also evident.
• Asia-Pac flow was dominated by a block buy of UXYH4 futures (~$154K DV01) and TY screen lift (~$1mn DV01), while downside interest was expressed via FVH4 puts (10K lifted in each of the 107.50 and 107.25 strikes).
• FOMC-dated OIS shows ~12.5bp of cuts through the Mar ’24 FOMC (meaning a 25bp cut is 50% priced), while ~140bp of cuts is priced through year-end.
• JOLTS job opening data, conference board consumer confidence readings and various house price metrics headline the domestic docket in NY hours.
• Proximity to the impending tier 1 risk events (FOMC & the aforementioned QRA) may limit risk taking capability.