Off Thursday’s Best Levels

As noted elsewhere, Thursday’s regional bank worry seems to have moderated, with most still seeing the NYC Bancorp issues as fairly contained, albeit with light footprints still being felt in x-ccy basis markets, as flagged in our earlier bullet.

• TYH4 sits a little shy of yesterday’s early ’24 bests as a result, last showing -0-07+ at 112-21. 0-02 off the base of its early 0-08+ range. Volume runs at a healthy 263K.
• Any resumption of the recent move higher in the contract will allow bulls to target yesterday’s high (113-06+), beyond there lies the Dec 27 high and bull trigger (113-12). To the downside bears need to break the Jan 19 low & bear trigger (110-26) to start reasserting control.
• Cash Tsy yields run 3bp higher to 0.5bp lower, with a twist flattening bias evident.
• The previously flagged UXY block buys in late Asia hours have done little to promote a wider bid, while downside interest came via screen buying of the TYH4 112.50/111.00/109.50 put fly in early London trade.
• FOMC-dated OIS still sits a little less dovish than pre-FOMC levels, showing ~9bp of cuts through March ’24 and ~147bp of cuts through the year on the whole (vs. ~19.5bp & ~155bp in early NY trade on Wednesday as regional banking sector worry took hold).
• The NFP release headlines the NY docket ahead of the weekend. Our full preview of that release can be found here.