STIR: Next Fed Cut Tilts Back To June, PCE and Fedspeak Resumption Ahead
Dec-20 11:31
- Fed Funds implied rates have continued yesterday’s paring of Wednesday’s hawkish Fed announcement, with the Jun’25 rate for example having now unwound about half of the shunt higher.
- Cumulative cuts from 4.33% effective: 3bp Jan, 14bp Mar, 19bp May, 27bp Jun and 42bp Dec.
- Today’s macro focus is on the PCE/incomes report for November.
- We also see a restart of Fedspeak, with media appearances from SF Fed’s Daly (was a ’24 voter with next voting role set for ’27) early on at 0730ET before NY Fed’s Williams (permanent voter) at 0830ET.
- Both had a voting role at this week’s meeting and so are very unlikely to have been one of the four dots who marked down a preference for no change in the dot plot (along of course with their prior views). We nevertheless watch for signs of broader hawkish rhetoric after the notable shifts in the dot plot and forecasts considering both members are on the dovish end of the FOMC.
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STIR: OI Data Points To Fresh Position Setting In Most SOFR Futures On Tuesday
Nov-20 11:29
OI points to a mix of net long and short setting across most SOFR futures on Tuesday.
- The most notable net OI swing came via apparent net short setting in SFRM5, although we would attribute most of this to flattener flow in SFRM5/Z5.
| 19-Nov-24 | 18-Nov-24 | Daily OI Change |
| Daily OI Change In Packs |
SFRU4 | 1,270,169 | 1,273,110 | -2,941 | Whites | +42,371 |
SFRZ4 | 1,315,630 | 1,306,570 | +9,060 | Reds | +1,035 |
SFRH5 | 1,071,174 | 1,072,523 | -1,349 | Greens | +19,446 |
SFRM5 | 1,010,917 | 973,316 | +37,601 | Blues | +7,981 |
SFRU5 | 741,396 | 738,848 | +2,548 |
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SFRZ5 | 945,061 | 939,627 | +5,434 |
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SFRH6 | 627,006 | 640,500 | -13,494 |
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SFRM6 | 614,867 | 608,320 | +6,547 |
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SFRU6 | 638,649 | 622,208 | +16,441 |
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SFRZ6 | 656,695 | 651,769 | +4,926 |
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SFRH7 | 420,261 | 423,470 | -3,209 |
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SFRM7 | 341,983 | 340,695 | +1,288 |
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SFRU7 | 278,084 | 277,480 | +604 |
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SFRZ7 | 269,318 | 266,548 | +2,770 |
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SFRH8 | 211,086 | 209,537 | +1,549 |
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SFRM8 | 158,501 | 155,443 | +3,058 |
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STIR: Little Change In Near-Term Fed Rates, Fedspeak Eyed
Nov-20 11:25
- Fed Funds implied rates are little changed out to mid-2025, with likely focus on today’s Fedspeak amidst a very little data docket.
- Cumulative cuts from 4.58% effective: 15bp Dec, 21bp Jan, 36bp Mar and 55bp June.
- From a monetary policy angle, permanent voters Cook and Bowman are of particular interest before ’25 voter Collins. Following last week’s hawkish Fedspeak, including from a previously dovish Gov. Kugler (recap here), we watch for both openness to a pause in December and any views on neutral rate estimates.
- Leading hawk Bowman refrained from dissenting to the 25bp cut at the Nov 6-7 FOMC meeting having objected to the 50bp cut in September, but these will be her first comments since both the US election and the Nov FOMC. Recall that Dallas Fed's Logan mused last week that the Fed had
perhaps already reached neutral rates. Gov. Cook meanwhile last spoke early Oct/late Sept. - 1000ET – VC Supervision testifies on prudential regulator oversight (text + Q&A).
- 1100ET – Gov Cook on economic outlook and mon pol (text + Q&A)
- 1215ET – Gov Bowman on the approach to agency policymaking (text + Q&A)
- 1600ET – Collins (’25 voter) speaks on mon pol (text + Q&A)
LOOK AHEAD: Wednesday Data Calendar: Fed Speak, Tsy 20Y Bond Auction
Nov-20 11:24
- US Data/Speaker Calendar (prior, estimate)
- Nov-20 0700 MBA Mortgage Applications (0.5%, --)
- Nov-20 1000 Fed VC Barr testimony to House Fncl Services Comm (text, Q&A)
- Nov-20 1100 Fed Gov Cook economy/mon-pol outlook (text, Q&A)
- Nov-20 1130 US Tsy $64B 17W & $50B 40D CMB auctions
- Nov-20 1215 Fed Gov Bowman on policymaking (text, Q&A)
- Nov-20 1300 US Tsy $16B 20Y Bond auction (912810UF3)
- Nov-20 1600 Boston Fed Collins moderated discussion on policy (text, Q&A)
