RUB: Relief for Ruble Following Smaller-Than-Expected Rate Cut

• MNI: US MBA: MARKET COMPOSITE +10.9% SA THRU AUG 08 WK

• Treasuries have steadily firmed throughout London hours as they push back towards post-CPI highs, reversing the EGB-led post-data retracement that was hard to square away at the time.  
• Treasuries underperform EGBs but outperform Gilts.
• Today sees focus on further FOMC reaction to yesterday’s CPI release whilst Trump headlines can as always have an impact, especially with such a light data calendar today.
• Trump makes an announcement at The Kennedy Center at 1115ET, which we believe should be focused on announcing Honors recipients but we’ll monitor for any surprises.
• Cash yields are 2.5-4bp lower, with the front end lagging declines.
• The modest flattening sees curves ease away from post-CPI steeps. That includes 5s30s at 105.4bps (-0.4bp) after yesterday’s 107.6bps came close to ytd highs of 108.5bps.
• TYU5 has lifted to 112-02 (+ 08) at typing but remains within yesterday’s CPI-induced range of 111-19+ to 112-06. Cumulative volumes are higher than recent overnight sessions but still limited at 250k.
• The contracts hold its ground from a technical perspective, with resistance at 112-15+ (Aug 4/5 high depending on timezone) and support at 110-10+ (Jul 24 low).
• Data: MBA mortgage applications (0700ET).
• Fedspeak: Barkin (0800ET), Goolsbee (1300ET) and Bostic (1330ET) – see STIR bullet
• Bill issuance: US Tsy to sell $65B 17-W bills (1130ET)
• Politics: Trump visits The Kennedy Center and makes announcement  (1115ET), Trump signs executive orders (1600ET)

OI data points to fresh positions being added across much of the SOFR futures strip on Tuesday, with net long setting dominating through SFRU7, before net short setting moved to the fore from SFRH8 as the strip twist steepened.

• The biggest net OI swing came in the SFRM7 contract, boosted by turnover in the SFRZ6/M7/Z7 fly, which saw ~55K lots trade on the session (dominated by selling of the structure).