SONIA: SFIH6/Z6 Sold

• Fed Funds implied rates have nudged a little higher for September (21bp cut priced, close to least since the Aug 1 NFP report) but are otherwise unchanged on the day ahead of CPI.
• MNI US CPI Preview: https://media.marketnews.com/USCPI_Prev_Aug2025_2fe4cdf4a1.pdf
• Cumulative cuts from 4.33% effective: 21bp Sep, 37.5bp Oct, 57bp Dec, 68bp Jan and 80.5bp Mar.
• The SOFR implied yield of 3.12% (SFRH7) is 1.5bp higher on the day having last closed higher prior to the July payrolls report on Aug 1.
• Today’s Fedspeak comes after US CPI:
  • 1000ET – Barkin (non-voter) speaks at Health Management Academy (text + Q&A – no livestream). He last spoke on Jul 15, noting the most recent inflation data revealed some growing price pressures, and that more were on the way, with suppliers trying to pass on cost pressures to consumers who may not be able to absorb more price increases.
  • 1030ET – Schmid (’25 voter, hawk) speaks on mon pol and economic outlook (text + Q&A). Previously one of the most hawkish members on the FOMC, he last spoke on Jun 25 saying he was watching data for signs of broad-based price increases. He also wanted to replace core inflation with a gauge that includes food. 

US Data/Speaker Calendar (prior, estimate). All times ET

• 08/12 0830 CPI MoM (0.3%, 0.2%), Core CPI MoM (0.2%, 0.3%)
• 08/12 0830 CPI YoY (2.7%, 2.8%), Core CPI YoY (2.9%, 3.0%)
• 08/12 0830 Real av earnings YoY (1.0%, --)
• 08/12 1000 Barkin on economy (text + Q&A)
• 08/12 1030 Schmid on mon pol and economy (text + Q&A)
• 08/12 1130 US Tsy to sell $85B 6-W bills
• 08/12 1300 White House Press Sec. Leavitt Briefing
• 08/12 1400 Federal budget balance ($27.0b, -$239.2b)
• Source: Bloomberg Finance L.P., Roll Call, MNI

SX5E (20/03/26) 220/190ps 1x1.5, bought for 4.85 in 7k.