STIR: Next Fed Cut Seen In Oct; FOMC Ahead After ADP and GDP
Jul-30 10:22
- Fed Funds implied rates hold yesterday’s decline that was helped by but started before softer 1000ET data including a broadly dovish JOLTS report relative to expectations.
- Cumulative cuts from 4.33% effective: 1bp for today’s decision, 17bp Sep, 29.5bp Oct, 46.5bp Dec, 55.5bp Jan, 68bp Mar.
- The SOFR implied terminal yield of 3.17% (SFRH7) is unchanged on the day, holding yesterday’s 7bp decline to push back towards the middle of the 3.1-3.3% range seen through July.
- MNI Fed Preview for today’s decision: https://media.marketnews.com/Fed_Prev_Jul2025_With_Analysts_002622ac0e.pdf
- Before then, ADP employment (0815ET) and flash Q2 GDP/PCE estimates (0830ET) headline data with the latter landing alongside Treasury’s QRA in case there is any spillover from surprises in shorter-dated issuance plans. In addition, President Trump is set to make a final call on a China tariff truce extension, with one touted option being for 90 days.
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US TSY FUTURES: CFTC Points To Increased Exposure Across Most Of Curve
Jun-30 10:18
The latest CFTC CoT showed the major investor classes that we monitor building on their existing curve-wide positions through Tuesday June 24, although there were some pockets of cover evident.
- Asset managers added a little over $3mn DV01 to their overall net long, but covered some longs in TY and WN futures. They remain net long across all contracts.
- Leveraged funds added a little over $10mn DV01 to their existing curve-wide net short, although short cover in TY futures provided a notable exception to the rule (~$6.9mn DV01). They remain net short across the curve.
- Finally, the non-commercial cohort added to net shorts in all contracts outside of TY futures. They also remain net short across the curve.
Source: MNI / CFTC
EQUITIES: Estoxx downside Put Fly
Jun-30 10:16
SX5E (19th Dec) 5000/4600/3800p fly, bought for 19.0 in 4.7k.
EGB FUNDING UPDATE: Portugal Q3 Funding Plan
Jun-30 10:10
- IGCP has released its Q3 funding update with the net financing needs for 2025 unchanged at E18.0bln and the OT target issuance remaining at E20.5bln (of which E13.9bln has been executed).
- OT auction sizes will increase slightly to E1.25-1.50bln (rather than E1.00-1.25bln in the Q2 guidance).
- There will be two BT auctions in the quarter:
- Launch of the 12-month Jul 17, 2026 BT for E1.00-1.25bln on 16 July.
- On 17 September a combined E1.50-1.75bln of the Jul 17, 2026 BT alongside the new 12-month Sep 18, 2026 BT.
