STIR: US Rates Consolidate JOLTS-Driven Shift Off Dovish Lows
Jul-02 10:24
- Fed Funds implied rates are up to 1bp higher on the day for 2025 meetings, at the top end of yesterday’s range after a strong JOLTS report helped extend a rates sell-off.
- President Trump has threatened Japan with tariffs of up to 35%, doubting whether the US will make a deal with Japan before the July 8 deadline.
- Cumulative cuts from 4.33% effective: 5bp Jul, 28bp Sep, 44.5bp Oct, 63.5bp Dec, 74bp Jan and 87bp Mar.
- The SOFR implied terminal yield of 3.115% (SFRZ6) is 1.5bp higher after yesterday’s 7bp lift off levels that had started to near lows since before the Presidential election in November.
- That’s a little under fully pricing 125bp of cuts from here by end-2026 compared to the 100bp of cuts envisaged by the median FOMC dot for end-2027 (including 75bp of cuts by end-2026).
- There’s no Fedspeak scheduled today, whilst data is mostly labor market focused with Challenger Job cuts (1230ET) and ADP employment (1315ET) for June.
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US TSY FUTURES: CFTC Points To Funds & Asset Managers Cutting Positions
Jun-02 10:24
The latest weekly CFTC CoT report points to an aggressive unwind of positions on the part of both asset managers and leveraged funds, although this may be skewed by roll activity.
- The report suggested that asset managers trimmed their net longs by ~$47mln DV01 equivalent, although the cohort remains net long across the curve.
- The report suggested that leveraged funds trimmed their net shorts by ~$30mln DV01 equivalent, although the cohort remains net short across the curve.
- Non-commercial net positioning (detailed in the table below) pointed to net shorts bring trimmed in most contracts. The exception was the addition to net shorts in FV futures. Note that the cohort remains net short across the curve.
Source: MNI - Market News/CFTC/Bloomberg
LOOK AHEAD: US Manufacturing Surveys And Half An Eye On Fed’s Powell
Jun-02 10:19
US Data/Speaker Calendar (prior, estimate). All times ET
- 2-Jun 0945 S&P Global PMI mfg final (52.3, 52.3)
- 2-Jun 1000 ISM mfg (48.7, 49.5)
- 2-Jun 1000 ISM mfg prices paid (69.8, 69.0)
- 2-Jun 1000 Construction spending (-0.5%, 0.2%)
- 2-Jun 1015 Logan moderated Q&A (no text)
- 2-Jun 1245 Goolsbee moderated Q&A (text tbd)
- 2-Jun 1300 Powell opening remarks at IF 75th anniversary conf (text only)
- 2-Jun 1300 US Tsy to sell $76bn 13-W, $68bn 26-W bills
OPTIONS: Expiries for Jun02 NY cut 1000ET (Source DTCC)
Jun-02 10:10
- EUR/USD: $1.1250($1.4bln), $1.1300-05(E1.9bln), $1.1345-50(E1.9bln)
- EUR/JPY: Y159.50(E500mln)
- AUD/USD: $0.6400(A$856mln), $0.6425-45(A$789mln)
