Twist Flattening, NFPs Eyed, Fresh Shorts Set

A light bid in Tsys with little in the way of news flow noted and some buying seen in long end futures. That leaves the major benchmarks 0.5bp cheaper to 1.5bp richer as the curve twist flattens, while TYU3 is +0-03, 0-01+ off the top of its 0-07+ range. Yields sit a little off yesterday’s highs, after the 2- to 5-Year zone registered fresh YtD highs post-ADP and the longer end challenged pre-SVB YtD yield peaks.

• OI changes indicate notable short setting across Tsy futures during yesterday’s move (~$7.65mn DV01 equivalent), with changes in the FV to TY zone the most pronounced.
• The latest NFP print provides the headline risk event for today and comes hot on the heels of the much firmer than expected ADP reading. The BBG whisper number has moved higher since ADP, to +274K vs. the BBG survey median of +230K. Our full preview of the release can be seen here.
• Comments from Chicago Fed President Goolsbee (’23 voter) pad out the NY docket.
• Yesterday’s hawkish adjustments leave FOMC-dated OIS showing ~21bp of tightening for this month’s meeting, a cumulative ~36bp of hikes through November, before pricing ~48bp of cuts through June ’24.