TYH2 Around NY Lows

TYH2 deals around late NY levels at the re-open, with regional participants assessing Friday’s moves. Note that the contract has already operated in a 0-04+ range, with a brief look below Friday’s trough noted. There hasn’t been much in the way of meaningful weekend news flow observed, outside of one of the most noted ECB hawks giving his view on rate hikes (1 in October ’22 & 1 in Spring ’23, which lags market pricing), continued headwinds for UK PM Johnson & utterances out of China looking for relatively muted inflationary pressures.

• To recap, a much firmer than expected NFP reading (which came against a backdrop of worry re: a downside surprise/negative reading) printed outside the top of the range of those surveyed by BBG +467K (median +125K, range of estimates -400K to +250K). This triggered bear flattening of the curve, with major benchmarks across the Tsy space going out 6-12bp cheaper on the day.
• As flagged above, the front end of the curve led the weakness, with the OIS strip now pricing in ~35bp of tightening at the FOMC’s March meeting (vs. ~30bp at Thursday’s close).
• There isn’t much in the way of tier 1 risk events slated for Asia-Pac hours, with Chinese Caixin PMI prints offering little in the way of market impetus in recent times. Note that Chinese markets return from the LNY holiday today, which could provide some impetus in the form of market moves/headline flow. Looking ahead, the NY docket is virtually empty on Monday.