STIR: Data Triggers Hawkish Move In Fed Pricing, 40bp Cuts Priced Through Dec
Sep-25 12:52
Hawkish reaction to the firmer-than-expected final Q2 GDP (albeit with some soft Q125 & Q424 revisions), lower-than-expected weekly jobless claims and firmer-than-expected durable goods data.
- FOMC-dated OIS 1-5bp less dovish across liquid contracts, showing 21.5bp of easing for October, 40bp through year-end, 60.5bp through March and 78bp through year-end.
- SOFR futures now 0.75-8.0 lower on the day, implied terminal rate pricing on that strip at 3.12% vs. 3.07% heading into the data.
- SFRH7 proxies terminal rate pricing at present. The contract now trades at the lowest level seen since August 22 and trades more than 30bp below its early Sep high.
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US TSYS: Post-Data React
Aug-26 12:34
- Treasury futures pare gains after higher than expected Durable/Cap Goods Orders, Philadelphia Fed Non-Mfg Activity declines.
- Tsy Sep'25 10Y futures currently trades +1.5 at 112-00.5 vs. 112-03 high. Sights are on 112-15+, the Aug 5 high and the bull trigger. Clearance of this hurdle would resume the uptrend and pave the way for a climb towards 112-23 initially, the May 1 high.
- Curves twist steeper: 2s10s +2.367 at 57.312, 5s30s +4.066 at 114.350.
- Little react in US$ after scaling back Monday's late gain, BBDXY -2.76 at 1204.85.
GILTS: Roll Pace Update
Aug-26 12:33
- A decent clip in the Gilt spread, ~20k trades on legs at 3.
- The spread has mostly been bought, but remains in its tight 1/5 low/range seen in the past 11 sessions.
- Gilt roll Pace is at 82% completion, and expect for the December to be front Month by the end of day, or at the very least Tomorrow.
MNI: US AUG PHILADELPHIA FED NONMFG INDEX -17.5
Aug-26 12:31
- MNI: US AUG PHILADELPHIA FED NONMFG INDEX -17.5
