Shy Of Wednesday’s Bests, Curve A Touch Steeper

Tsys sit a little shy of Wednesday’s best levels.

• TYH4 is +0-03 at 112-13+, just below middle of its 0-09+ range. Volume runs at a comfortably above average ~388K.
• Resistance comes in at yesterday’s high (112-20+) followed by the Jan 12 high (112-26+). The latter presents key resistance and bulls need to break that level to present a more meaningful threat to the bearish trend.
• Cash Tsy yields run 2-3bp higher, with the curve a touch steeper on the day.
• A reminder that the NYC Bancorp news, data and month-end extension-related flow helped underpin the Tsy space on Wednesday, even during Powell-/FOMC-inspired pullbacks.
• Today’s flow has been headlined by the previously flagged block buying in FV futures (~$314K DV01 across 3 clips) and a 10K screen sale of the FVH4 107.25 puts.
• FOMC-dated OIS shows ~9bp of cuts through the Mar ’24 FOMC, little changed vs. late Wednesday levels. End of ’24 pricing shows ~147bp of cuts, also little changed vs. late NY levels and a little off yesterday’s data/NYC Bancorp-inspired dovish session extremes.
• This comes after Powell’s pushback re: a March cut.
• Looking ahead, the ISM manufacturing survey, final S&P global manufacturing PMI print, weekly jobless claims data and unit labour costs provide the NY highlights.
• Wider matters in the form of ECB speak and the BoE decision will also garner attention, as will regional banking sector matters given yesterday’s NYC Bancorp news (and subsequent market reaction).