Off Lows, Roll Activity Continues, Double Supply Eyed

TYZ3 prints +0-00+ at 108-13, 0-01 off the top of an 0-08 range.

• Cash Tsy yields are 1-2bp higher across the curve, with the belly seeing the most weakness.
• Roll activity continues to boost volume in futures.
• Tsys have ticked further away from Asia-Pac extremes, with European/UK peers on the front foot.
• Some sell-side desks have flagged an eye on supportive month-end flows.
• A fresh downtick in WTI was also seen, providing support for bonds.
• BoE Governor Bailey reaffirmed a familiar train of thought in his latest interview with the local press, pushing back on the idea of rate cuts in the foreseeable future. Elsewhere, he noted that recent inflation figures were “very good news.” Although the latter point was a repeat, it may have provided some support for the UK short end early on.
• A quick reminder that Asia-Pac hours initially saw Tsys under pressure, with block sales in TY (-1,250, DV01 ~$79K) & UXY (-1.4K, DV01 ~$124K) futures weighing.
• New home sales and Dallas Fed m’fing activity data will cross in NY hours, as will double coupon Tsy supply in the form of 2- & 5-Year paper.