STIR: Next Fed Cut Still Seen Around June Or July
Jan-22 11:17
- Fed Funds implied rates range from unchanged to 1bp lower overnight, broadly consolidating yesterday’s intraday push higher.
- It leaves a familiar path, with a next 25bp cut seen at one of the June or July meetings along with circa 40bp of cumulative cuts for 2025.
- Today sees another light macro docket and the FOMC of course in media blackout, leaving political headlines likely in the driving seat. Trump yesterday afternoon said his threats to impose 25% tariffs on Mexico and Canada and 10% on China on Feb. 1 have nothing to do with renegotiating the USMCA treaty, but instead it's about the flow of fentanyl into the US. He also said the EU will be in for tariffs.
- Cumulative cuts from 4.33% effective: 0.5bp Jan, 6.5bp Mar, 12.5bp May, 23bp Jun, 26.5bp Jul and 39.5bp Dec.
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US 10YR FUTURE TECHS: (H5) Trend Needle Points South
Dec-23 11:11
- RES 4: 112-02 Low Oct 14
- RES 3: 111-20+ High 6 and the bull trigger
- RES 2: 110-28 50-day EMA
- RES 1: 110-03+ 20-day EMA
- PRICE: 108-29 @ 11:00 GMT Dec 23
- SUP 1: 108-16+ Low Dec 19
- SUP 2: 108-12+ 1.382 proj of the Oct 1 - 14 - 16 price swing
- SUP 3: 108-00 1.500 proj of the Oct 1 - 14 - 16 price swing
- SUP 4: 107-19+ 1.618 proj of the Oct 1 - 14 - 16 price swing
The trend condition in Treasury futures remains bearish and short-term gains are considered corrective. Last week’s sell-off reinforces the current bear cycle. The contract has traded through key short-term support and the bear trigger at 109-02+, the Nov 15 low. The breach confirms a resumption of the downtrend and opens 108+12+, a Fibonacci projection. On the upside, initial firm resistance is at 110-03+, the 20-day EMA.
US TSY FUTURES: CFTC Shows Hedge Funds & A Managers Trimming Exposure Into FOMC
Dec-23 11:06
The latest CFTC CoT report pointed to both hedge funds and asset managers reducing net exposure ahead of last week’s FOMC decision (survey cut off 17 December).
- Hedge funds trimmed net shorts in most contracts (TU, FV, TY & WN), comfortably outweighing additions to existing net shorts in UXY & US. The cohort remains net short across all contracts.
- Asset managers added to longs in TU, TY & US, but cut net longs across the remainder of the curve, with the latter dominating from a net DV01 equivalent perspective. The cohort remains net long across all contracts.
- Non-commercial net positioning saw a mix of net shorts being added to (TU, UXY, US & WN) and trimmed (FV & TY). The cohort remains net short across all contracts.
- CFTC CoT positioning metrics will be skewed by the presence of basis trades.
Source: MNI - Market News/CFTC/Bloomberg
STIR: SOFR FX - 23/12/24
Dec-23 11:00
| SOFR FIX - Source BBG/CME | ||
| 1M | 4.33874 | 0.0022 |
| 3M | 4.32594 | -0.00148 |
| 6M | 4.27159 | -0.00462 |
| 12M | 4.21088 | -0.01309 |
