PIPELINE: Corporate Bond Update: $1.5B Kenya 2Pt Launched

• The Atlanta Fed’s GDPNow has seen a decent mark lower today on account of ISM manufacturing and construction spending data.
• Real GDP growth is currently seen at 3.0% in Q3 vs 3.5% in Friday’s update taking into account of Q2 national accounts and July PCE.
• PDFP meanwhile is seen running at circa 1.7% annualized in Q3 after two quarters of 1.9% (with that 1.9% in Q2 last week revised firmly higher from the 1.2% in the advance release) and 3.0% averaged in 2024.
• The downward revision to GDP growth tracking was driven by, somewhat surprisingly, consumer spending (-0.37pps) and, less surprisingly after further weak construction spending, non-residential investment (-0.25pps).
• Offsetting this was 0.11pp upward revision to the net exports contribution, leaving it an even more confusing 0.6pps considering the surprise strength in imports seen in July advance trade data. As noted last week, this is likely down to treatment of the industrial supplies series ahead of the full details being known on Sep 4 (when we can more accurately strip out gold). 

• RES 4: 113-06   2.236 proj of the Jul 15 - 22 - 28 price swing
• RES 3: 113-00   Round number resistance  
• RES 2: 112-28+ 2.000 proj of the Jul 15 - 22 - 28 price swing  
• RES 1: 112-20+ High Aug 28 / 29 
• PRICE:‌‌ 112-05 @ 16:50 BST Sep 2
• SUP 1: 111-31   20-day EMA
• SUP 2: 111-18+ 50-day EMA
• SUP 3: 111-13+ Low Aug 18 and a key support  
• SUP 4: 110-25   Low Aug 1 

The trend outlook in Treasury futures is bullish and the latest pullback appears corrective. Last week’s gains delivered a print above 112-15+, the Aug 5 high and a bull trigger. A breach of this hurdle confirms a resumption of the bull cycle and paves the way for a climb towards the 113-00 handle. Moving average studies are in a bull-mode position, reinforcing a bull theme. First support to watch is 111-31, the 20-day EMA.

SOFR & Treasury options saw mixed flow upon the return from the extended holiday weekend, notable put selling in SOFR options as underlying futures traded weaker in the first half. Treasury futures pared losses slightly after ISM Mfg data. Projected rate cuts cool slightly vs. late Friday (*) levels: Sep'25 at -22.1bp (-22bp), Oct'25 at -35.4bp (-35.6bp), Dec'25 at -54.8bp (-56bp), Jan'26 at -65.9bp (-68.6bp).

• SOFR Options:
  • -7,500 SFRV5 95.81/96.00/96.18 put flys, 5.0 ref 96.21
  • -3,000 SFRH6 96.12/96.00 put spds, 3.0
  • +10,000 SFRZ5 96.18/96.43 1x2 call spds 1.75 ref 96.215
  • 15,000 SFRU5 95.93/96.06 call spds ref 95.9025
  • -10,000 SFRX5 96.06 put vs. 96.25/96.43 call spds, 0.0 net ref
  • 3,800 SFRV5 96.25/96.37/96.50 call flys ref 96.215
  • 2,100 SFRX5 95.93/96.06/96.18 put flys
  • 5,500 SFRU5 95.81 puts ref 95.9025
  • 2,000 0QV5 96.50 puts ref 96.98
  • 2,00 0QH6 96.62/96.75/96.75 put trees ref 97.01
• Treasury Options:
  • 3,000 FVX5 108.25/108.5/108.75/109 put condors ref 109-08.75
  • 10,000 TYV5 108/109 put spds
  • 3,200 USX5 106/111 put spds ref 113-21
  • 2,500 TYV5 110.25/110.5/111.25 broken put flys ref 112-08.5
  • -8,000 TYV5 112 straddles, 118-117
  • 5,000 FVV5 109 puts ref 109-08
  • 5,000 TYV5 113 calls ref 112-12
  • 4,450 TUV5 103.87 puts, 3 ref 104-08