Tight Ranges Prevail Ahead Of CPI

TYM4 sticks to a narrow 0-03+ range, on sub-par volume of ~172K.

• Yields are little changed across the curve.
• CPI data presents the key macro risk event of today’s session, with activity limited ahead of that event.
• Our full preview of that release can be found here.
• The latest J.P.Morgan Tsy client survey revealed that both active and total client positioning metrics have moved back to neutral territory, from long previously.
• Meanwhile, futures positioning remains net short across the curve (per the latest CFTC report), although it is of course difficult to delineate basis trade from pure speculative positioning.
• FOMC-dated OIS shows ~67bp of cuts through ’24, with ~14.5bp of cuts showing through June.
• The strip has printed at the least dovish levels of ’24 in recent days, with the first 25bp cut now not fully discounted until the Sep FOMC.
• End of ’24 pricing has showed below 62.5bp of cuts on a couple of occasions.
• The Fed’s dot plot has provided a bit of an anchor for that metric.
• A reminder that the Fed’s SEP shows a median of 75bp of ’24 cuts.
• A closer look at the distribution shows that it is only 1 dot that leaves the median at 3x, not 2x 25bp cuts through year end.
• The minutes from the latest FOMC meeting, Fedspeak from Bowman, Goolsbee & Barkin and 10-Year Tsy supply are also due in NY hours.