Post-Fed Bid & Bull Steepening Extends

Tsys saw a fresh bid into the London handover, with feedthrough from yesterday’s FOMC decision/SEP/press conference continuing to underpin as Europe reacted, although the space has ticked away from best levels, alongside European peers.

• Fed Funds futures now fully discount a 25bp cut come the end of the Mar ’24 meeting, with a cumulative ~157bp of cuts showing through ’24 on the whole (at fresh post-FOMC extremes).
• TY futures sit +0-19 at 112-15+, 0-04 off the peak of recently registered session highs. Volume is running at an elevated ~400K lots.
• Bull steepening continues to be observed, with yields 6-9bp lower on the day across the curve. Cash desks flagged particularly heavy turnover in 5s in Asia-Pac hours.
• That leaves 2-Year yields -40bp vs. Tuesday closing levels, eying early June lows, while 10s probe mid-August lows of 3.9417%.
• A ~$350K DV01 FV/WN block steepener weas seen in Asia-Pac hours.
• A raft of European central bank decisions headline the macro docket today, with weekly jobless claims and retail sales data due in NY hours.