Off Cheaps

Tsys have nudged away from session cheaps alongside core European FI markets, but hold lower on the session, after the impact of this morning’s NRW regional CPI print out of Germany & Spanish CPI data moderated from extremes (the totality of the release regional CPI data out of Germany points to a mild upside risk vs. pre-existing consensus). Chair Powell’s latest round of rhetoric was generally a re-hash of previously outlined comments re: monetary policy and banking sector stress, providing little for markets to go off.

• On net, that leaves the cash Tsy space running 2.5-4.5bp cheaper across the curve, with bear flattening seen, while TYU3 is -0-09+, 0-02+ off the base of its 0-12+ range.
• FOMC dated-OIS operates in familiar territory, indicating ~31bp of tightening through November, followed by ~66bp of cuts through the June ’24 FOMC.
• Flow has included a familiar screen buyer of the TYQ3 112.00 puts vs. selling of the TYQ3 114.00 calls (5K), in addition to a block buy of the weekly FV 108.50 calls (+5K), which expire tomorrow.
• Weekly jobless claims data, pending home sales and the latest update to Q1 GDP estimates provide the data highlights in NY hours, while we will also hear from Atlanta Fed President Bostic (’24 voter).