Yesterday’s Yield Lows Hold, In The Main, Busy Session For Blocks Thus Far

Tsys have recovered from the lows that were aided by a round of TU futures selling in late Asia/early London hours (cumulative -12,808/DV01 ~$461K).

• A bid in EGBs/gilts helps support the space.
• TYZ3 last prints -0-02 at 108-27, 0-03+ off the peak of its 0-09 range. Yesterday’s high at 108-31 provides the initial point of technical resistance in the contract, beyond there bulls would look to the September 19 high (109-20).
• Cash Tsy yields are little changed to 1bp lower on the day.
• Only 10s have had a look through their post-CPI lows in yield terms, although the move there was not forceful and has faded.
• Asia-Pac/London block flow also included FV/US & FV/WN steepeners, as well as selling of UXY futures and buying of FV futures.
• Asia-Pac swap desks flagged fast money steepener flow, alongside the aforementioned Tsy steepener flow.
• FOMC-dated OIS calls time on the hiking cycle, with a 25bp cut more than 80% priced through the May ’24 FOMC. A cumulative ~37bp of cuts is now seen through the end of June ’24 FOMC.