Off Bests Alongside European Peers, ECB & NY Data Eyed

Travel away from best levels in Bunds and Gilts has resulted in a similar move for U.S. Tsys, with TYZ3 operating just off fresh session lows.

• Contract last -0-03, trading in a 0-08+ range thus far. A brief look above Wednesday high was seen in Asia.
• Cash Tsys sit 1-1.5bp cheaper across the curve.
• Asia-Pac flow was dominated by a block buyer of TY futures (DV01 $152K), which helped underpin ahead of the weakness in London hours.
• An FV/US steepener block (DV01 ~$340K) was seen more recently.
• Macro headline flow has been relatively limited since the Asia-London handover, with regional participants focused on the impending ECB decision. The decision is deemed to be a very close call (BBG survey narrowly favours no change in rates, while market pricing shows ~68bp of tightening, adjusting higher after Tuesday’s hawkish RTRS sources piece).
• FOMC-dated OIS shows a terminal policy rate of 5.45% come December, before ~33bp of cuts are priced through June ’24, little changed on the day, reversing a modest Asia-Pac dovish extension of the post-CPI adjustments as bonds cheapen from best levels.
• Retail sales, PPI and weekly jobless claims headline the NY docket.