SECURITY: Iran Vows To Continue Nuclear Program, Snapback Appear Unavoidable

Latest Tsy quarterly futures roll volumes from September'25 to December'25 below. Percentage complete currently 70%-80% ahead "First Notice" date this Friday, August 29. Current roll details:

• TUU5/TUZ5 appr 1,266,500 from -9.12 to -8.75, -9.0 last; 80% complete
• FVU5/FVZ5 appr 1,528,800 from -5.5 to -5.0, -5.25 last; 70% complete
• TYU5/TYZ5 appr 926,800 from -1.25 to -0.5, -0.75 last; 71% complete
• UXYU5/UXYZ5 app 550,300 from -0.25 to +0.5, 0.00 last; 72% complete
• USU5/USZ5 appr 312,600 from 12.0 to 12.75, 12.25 last; 79% complete
• WNU5/WNZ5 appr 435,700 from 7.0 to 8.25, 7.75 last; 74% complete
• Reminder, Sep futures don't expire until next month: 10s, 30s and Ultras on September 22, 2s and 5s on September 30.

• EUR/USD: Aug29 $1.1600(E1.3bln), $1.1625(E4.0bln), $1.1700(E1.1bln), $1.1725(E1.1bln)
• USD/JPY: Aug29 Y146.50($1.1bln)
• EUR/GBP: Aug29 Gbp0.8563-80(E2.0bln)

• The Philly Fed non-manufacturing survey special questions on inflation expectations show a somewhat similar split in the activity indexes touched upon earlier with their historically large discrepancy between strong firms’ own activity and weak regional activity in August.
• The median firm reported increasing its own prices by 2.5% over the past year, up from 2.0% in the May question and having essentially paused annual price increases through end 2024/early 2025. It’s the strongest actual increase since the May 2024 survey.
• Own price expectations also firmed from 2.0% to 2.5%, above a typical median of 2% in surveys over the past almost two years but not an unprecedented level.
• Firms’ expectations of consumer inflation meanwhile cooled from a particularly strong May release, with those for the next year reverting to 3.3% from 4.8%. Ten-year ahead expectations also cooled to 3.5% after 4.8%, still above the 3.1% in February prior to reciprocal tariff announcements but within ranges.
• Elsewhere, these non-manufacturing firms reported greater price sensitivity over the quarter (59% reported higher sensitivity vs 50% in May) and fewer expect cost changes over the near-term (57% vs 65%). Of those that do expect cost increases, a similar almost two thirds expect those to be higher, with price changes over a median 3 months vs 2.5 months in the May survey.