OUTLOOK: Price Signal Summary - Bull Cycle In Gilts Remains Intact

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• CME
• ICE
• NASDAQ
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• Note that U.S. cash Treasury and equity markets are closed today.

The latest CFTC CoT report points to asset managers reducing their curve-wide net long by ~$12mln DV01, with the cohort only extending net longs in WN futures.

• Meanwhile, leveraged funds added to net shorts in TY & WN futures, while they trimmed net shorts across the rest of the curve. They still extended their curve-wide net short position by ~$1.5mln, with the size of the net short build in WN futures (~$4.7mn) dominating.
• Broader non-commercial net positioning saw a mix of net short setting and cover (detailed in the table below). The cohort remain net short across the curve.

Source: MNI - Market News/CFTC/Bloomberg

For the full publication, see here: 250526 - Weekly ECB Speak Wrap.pdf

ECB officials haven’t had enough time to react to US President Trump’s shock announcement of 50% tariffs on EU goods last Friday, let alone yesterday evening’s delay to July 9 (from June 1 originally). However, the current backdrop can still be regarded as more dovish than a week ago, particularly when taken alongside last week’s weaker-than-expected May flash PMIs and Q1 negotiated wages data.

• As such, the MNI Policy Team’s May 22 sources piece still appears to appropriately characterise the ECB’s rate outlook: “The likelihood that the European Central Bank will need to cut interest rates below 2% is increasing as the Governing Council becomes more convinced that inflationary risks are firmly to the downside amid extreme uncertainty around trade and the global economy, Eurosystem officials told MNI”
• The most notable piece of ECBspeak since our last update likely came from Stournaras, usually considered one of the most dovish Governing Council members. While he still sees a rate cut in June, he then expects a pause in July. Such a move would be broadly consistent with current market pricing, with OIS butterfly spreads assigning a higher rate cut premium to projection meetings (June, September, December) compared to non-projection counterparts.
• Elsewhere, Simkus, Rehn, Kazaks and Wunsch reiterated prior rhetoric, while Centeno provided a familiarly dovish view.