Off Session Cheaps, But Still Softer On Day As Curve Flattens

Tsys richen as the previously touted moves in Bunds & Gilts allow the space to add to the move away from lows that came alongside a downtick in equities (with the equity move now reversed, aided by lower yield levels).

• Still, Tsys are cheaper on the day, with bear flattening apparent as the major benchmark yields sits 0.5-3.5bp higher. The 2-/10-Year curve is testing post-FOMC inverted extremes. TYU3 is -0-02 on the day, sitting a little above the middle of its 0-11+ range.
• FOMC-dated OIS prices ~18bp of tightening for the July meeting, with a cumulative 21.5bp of hikes showing through September, followed by ~9bp of cuts by year-end (vs. current September terminal rate levels)