Twist Steepening Pre-FOMC

The cash Tsy curve has twist steepened in Asia Pac hours, with the region seemingly keen to fade Tuesday’s twist flattening impulse, aided by block blow in FV (+5K & +5.75K) & TY futures (-2K).

• An early uptick came alongside a weaker USD and the latest batch of North Korean missile launches.
• The bid then moderated/unwound, dependent on the point of the curve that is being examined, with weakness in Antipodean rates and the longer end of the JGB curve introducing a cross-market element to price action.
• Cash Tsys run 3bp richer to 2bp cheaper, twist steepening (as mentioned above) with a pivot around 10s. TYZ2 has stuck to a fairly limited 0-09 range, last dealing a between its base and midpoint, +0-01 at 110-19, on solid volume of ~!00K.
• Participants are zeroed in on risk events due during Wednesday’s NY session, which will be dominated by the latest FOMC decision (see our preview of that event here: https://roar-assets-auto.rbl.ms/documents/19964/FedPrevNovember2022UPDATEWANALYSTS.pdf ) and quarterly Tsy refunding announcement (see our preview of that event here: https://roar-assets-auto.rbl.ms/documents/20001/MNI_US_DeepDive_Issuance_Nov2022.pdf )