BUNDS: Block trade

• We have seen some constructive price action for the greenback to finish the year, with the USD index shrugging off the early session declines to now trade in the green. The DXY has spent late December consolidating the post-election advance, up ~6.8% on the year.
• In most recent trade, EURUSD has slipped to the worst level of the session at 1.0378, just ahead of yesterday’s 1.0372 low. The trend condition continues to highlight scope for a test of key support at 1.0335, the Nov 22 low and a bear trigger. However, it is worth noting that some option expiries around the 1.0400 mark might limit the chance of a meaningful breakout this week. For reference, we have 1.59bn rolling off at 1.0400 on Thursday.
• USDJPY has also recovered well, rallying over 100 pips from the overnight lows, with spot now consolidating at the 157.00 handle. Officials at the BOJ fear that the real neutral rate of interest could be even lower than the previously-estimated range, MNI understands.
• Aussie and Kiwi are the clear underperformers to end the year, with both AUDUSD and NZDUSD sitting at cycle lows and the lowest levels since October 2022, around 0.62 and 0.56 respectively. For AUDUSD, scope is seen for an extension towards 0.6158 next, a Fibonacci projection.

• 4,000 SFRZ5 96.08 (+0.020), post-time bid going into the cross at 0918:29ET, appears to be a sale - though futures continue to rise, the contract trades 96.09 last (+0.030).

Total 6,000 SFRM5 1Y bundles (SFRM5-SFRH6) from 0857ET to 0903ET, 4,000 crossed +0.015, 2,000 +0.010. Most likely swap-tied selling with spds running wider in the short end.