US CREDIT SUPPLY: Daimler Truck Finance NA (DTRGR); 3Y, Long 5Y - Fair Value

Moving in lockstep with the core US curve, the dollar is gaining across the board, pressuring EUR, GBP, AUD and others to new daily lows against the USD.

• Japanese earthquake headlines are partially responsible for the latest upleg - helping push USDJPY to new daily highs (latest reports suggest broad power outages, but limited damage to powerplants, nuclear sites), but the pressure in US Treasuries is the primary driver for the downleg through Friday's low in EURUSD.
• The USD move is comfortably the busiest phase of the session so far, and pushes cumulative FX futures volumes to trade inline with the average seen at this time of day - after trailing for much of Monday.
• NY Fed Inflation Expectations data in 30 minutes will be watched carefully for any repetition of the weakness in CPI expectations evident in Friday's December prelim UMich sentiment (1-year dropped to 4.1% from 4.5% previously).

The recent round of weakness in Tsys spills over into wider core global FI markets and pulls gilt futures to fresh session lows.

• Latest move in U.S. paper seems more momentum/flow driven, with little in the way of fresh fundamental news flow evident outside of the tsunami in Japan.
• Gilt futures last -73 at 90.67, through initial support at 90.87. Next level of downside interest located at 90.53.
• Yields 4.5-7.5bp higher, 5s under the most pressure.
• 10s set to close comfortably back above 4.50%.
• Multi-week yield ranges intact across the curve after November lows held/went unchallenged last week.
• Gilt/Bunds still unable to generate a clean break below 165bp, even with EUR-centric issues driving much of the weakness seen in recent sessions.
• Ongoing medium-term UK fiscal risks (despite markets deeming the budget to be credible) and the speed/degree of the recent tightening from ~190bp are seemingly limiting factors at this stage.
• SONIA futures now flat to -9.5.
• BoE-dated OIS still prices over 80% odds of a cut at this month’s meeting, but terminal rate pricing is back above 3.45% after threatening a clean break below 3.30% in recent weeks.

10,000 0QZ5 96.75 puts, 2.0 vs. 96.80/0.28%