Off Cheaps, Still Bear Flattening On The Day

The early cheapening has moderated from extremes, with crude oil back from yesterday’s highs and little in the way of meaningful macro headline flow apparent since Fed Governor Waller’s hawkish musings in Asia-Pac hours. That leaves the major cash Tsy benchmarks running 1-4bp cheaper as the curve bear flattens, with the 2s10s curve ~5bp off recent highs and ~23bp off inverted cycle extremes. TYU3 is -0-07+, 0-05 off the base of its 0-12+ session range.

• FOMC-dated OIS is little changed vs. early London levels, with a July hike priced with near certainty, a cumulative ~30bp of tightening showing through November before a little over 80bp of cuts is priced through June ’24.
• Prelim UoM sentiment data (particularly the inflation expectations components) and Fedspeak from Goolsbee (’23 voter) present the highlights of the NY slate, with the potential for impromptu Fedspeak before the pre-meeting blackout period goes into play over the weekend.