STIR: Repo Reference Rates
Jul-10 12:01
- Secured Overnight Financing Rate (SOFR): 5.34% (+0.02), volume: $1.913T
- Broad General Collateral Rate (BGCR): 5.33% (+0.02), volume: $758B
- Tri-Party General Collateral Rate (TGCR): 5.33% (+0.02), volume: $743B
- (rate, volume levels reflect prior session)
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CANADA: Politics Week: Foreign Interference Probe Heats Up
Jun-10 11:56
- Parliamentary national security committee reported June 3 it’s “seen troubling intelligence that some Parliamentarians are, in the words of the intelligence services, `semi-witting or witting’ participants in the efforts of foreign states to interfere in our politics.” No individual lawmakers are named.
- Polling aggregator 338Canada shows Conservatives likely to win majority government if an election were held now. Election is due in late 2025 under traditional four-year mandate.
- Cabinet shuffle extends media speculation about an early election call in Canada’s most populous province of Ontario, where Progressive Conservative Premier Doug Ford may seek to pre-empt any momentum of a new Liberal Leader. Election wouldn’t normally be due until 2026. Ford has said there won't be an election this summer or fall.
- Sample headline: Canadian politicians stand accused of colluding with hostile foreign governments. We deserve to know which ones (Toronto Star)
CROSS ASSET: USD Fades Off Session Highs as E-mini S&P Steers Clear of Support
Jun-10 11:49
- Recovery in equity futures off lows mirrors the drift off highs for the greenback, putting GBP/USD and EUR/USD off daily lows into the NY crossover. E-mini S&P recoups around 15 points off the morning low to steer clear of any test of the post-NFP print down at 5329.00, however the index sees little support from the US 10y yield, which holds close to daily lows.
- EUR/USD stabilising at these levels keeps spot within range of the more sizeable expiries rolling off at today's cut, with E1.75bln expiring today between 1.0750 - 1.0775.
- Scant speeches or data to point toward for the duration of the Monday session, with just the NY Fed's inflation expectations survey scheduled at 1600BST/1100ET.
CHF: EURCHF Extends Reversal Lower Amid Political Developments, SNB Reverberations
Jun-10 11:46
- In just over two weeks, EURCHF has reversed almost three percent from the May highs of 0.9930. The latest EU political developments have been weighing on the single currency, while hawkish remarks from the Swiss National Bank continue to reverberate.
- As a reminder, the currency was particularly sensitive to comments from SNB President Jordan, stating that the biggest risk of higher inflation stems from a weaker Swiss franc. Jordan also identified a “small” upward risk to the SNB’s inflation forecast, while noting that there are reasons to believe that the natural rate of interest has increased somewhat or might rise over the coming years.
- Price action has seen EURCHF swiftly move back below both the 20- and 50-day EMA and the pair has also breached initial support at 0.9730, the May 3 low. April’s spike low at 0.9566 remains the notable level on the downside.
- Positioning extremes are also likely contributing to the sharp reversal, having noted that the net short CHF position now sits at 46.3% of open interest - the largest short in G10, having overtaken the JPY in the past month. This could provide scope for a continuation lower for EURCHF ahead of the June 20 SNB decision.
- On the other hand, JPMorgan previously noted that even if the SNB don’t cut, they still think there is a host of drivers (growth, net flows, rate spreads) that can weaken CHF over the medium term.
