STIR: Hawkish Shift In Fed Rates Continues
Oct-23 16:39
- US rates are towards their most hawkish of the day, with no let up in the surge in crude oil futures on US sanctions on Russian oil producers (WTI +5.8%), plus an additional driver from equities firming since the US cash open.
- The Dec 2025 implied rate has now fully reversed Thursday’s regional bank driven risk-off and is at its highest since US-China tensions started to flare up again on Oct 10.
- Fed Funds cumulative cuts from 4.11% effective: 25bp Oct, 47.5bp Dec, 61.5bp Jan, 75bp Mar, 81.5bp Apr and 96bp Jun.
- SOFR futures are as much as 5.5 ticks lower when looking out to end-2027 contracts, with these later dated contracts seeing less change over the course of the US session.
- The terminal implied yield of 2.95% (SFRH7) is +4.5bp on the day but just +1bp since the US crossover. It’s the higher end of the past few days but still firmly on the dovish side of longer ranges.
- Today’s data haven’t moved the needle, with existing home sales in line and the KC Fed manufacturing index with another small improvement.
- Ahead, state-level initial jobless claims should be available later this afternoon before US CPI tomorrow. See the MNI Preview here.
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US TSY FUTURES: BLOCK: Dec'25 10Y Buy, Testing Highs/Reverses
Sep-23 16:36
- Treasury futures have rebounded from late morning lows with 10s tapping early session high (112-27.5, +5) after block buy below - now retracing.
- +10,400 TYZ5 112-26, buy through 112-25.5 post time offer at 1218:28ET, DV01 $707,000.
- The contract trades 112-24 last (+1.5)
ITALY AUCTION PREVIEW: On offer this week
Sep-23 16:26
MEF has announced it will be looking to sell the following at its auction this Friday, September 26:
- E3.50-4.00bln of the new 2.85% Feb-31 BTP (ISIN tba)
- E1.50-2.00bln of the 3.60% Oct-35 BTP (ISIN: IT0005648149)
- E1.00-1.25bln of the 4.00% Apr-35 BTP Green (ISIN: IT0005508590)
- E1.00-1.50bln of the 1.05% Apr-34 CCTeu (ISIN: IT0005652828)
US TSY FUTURES: BLOCK: Recent Dec'25 2Y/10Y Flattener
Sep-23 16:25
- Flattener block posted at 1146:38ET, appr DV01 $355,000.
- -8,902 TUZ5 104-08.25, post time bid vs. +5,211 TYZ5 112-25, buy through 112-24.5 post time offer
