LOOK AHEAD: Wednesday Data Calendar: PPI, Fed Speakers, Beige Book

The latest CFTC CoT report revealed a more varied round of positioning swings than we have typically seen in recent weeks.

• Asset managers added ~$6.1mln DV01 in net curve-wide exposure, with net long setting in FV, TY & WN futures outweighing net long cover in TU, UXY & US futures. The cohort remains net long across the curve.
• Leveraged funds reduced their curve-wide net short exposure by ~$2.2mln DV01. Short cover in TU, FV, and UXY futures outweighed net short setting in TY, US & WN futures. The cohort remains net short across the curve.
• Broader non-commercial accounts trimmed their curve-wide net short by $4.2mln DV01, with net short cover in TU, FV and UXY futures once again outweighing net short setting in TY, US & WN futures. The cohort remains net short across the curve (see the table below for greater details).

• US rates have pared some of the gap higher seen with the open although mostly remain comfortably higher from Friday’s close following the US-Iran interim agreement.
• If kept to it will see the Strait of Hormuz re-opened, the war halted and 60 days of negotiations on Iran’s nuclear program.
• With Wednesday’s FOMC decision eyed (MNI Preview https://mni.marketnews.com/4esb988), a hike is currently priced for Mar 2027 having recently fluctuated between Dec-Mar.
• Cumulative hikes from 3.62% effective: 0bp Jun, 2bp Jul, 8bp Sep, 10.5bp Oct, 18bp, building to 26.5bp Mar 2027 and 29bp Jun 2027.
• SOFR futures are up to 5.5 ticks firmer in the M7 (slipping 3.5 ticks from Asia highs), which remains one of the most sensitive areas of the strip to Middle East conflict developments.
• The peak implied yield of 3.95% (M7) last closed lower on May 29, whilst the SOFR rate path is broadly back to levels seen shortly prior to far stronger than expected nonfarm payrolls figures earlier this month. 

SFRH8/M8 paper paid -1.5 on ~11.2K.