US TSYS

US TSYS (MNI): September Auctions: Lack Of Pre-FOMC Concession

• August’s coupon auctions were relatively weak per MNI’s Relative Strength Indicator, though it was a month of two halves to some degree as it took until Aug 27 before a sale traded-through the when-issued yield.
• That sets up an interesting comparison with September’s sales, which also begin the month with yields at recent lows.

NEWS

US (MNI): White House Pans 'Extreme' 'Time Wasting' Republican Govt Funding Plan
The White House has issued a statement panning House Speaker Mike Johnson's (R-LA) plan to fund federal government agencies for six months. The GOP package includes a partisan bill requiring Americans to prevent citizenship ID when registering to vote that is strongly opposed by Democrats.

US (MNI): House Rules Committee To Consider Government Funding Measure Today
Congress returns from a six-week recess today, tasked with legislating a stop-gap funding measure to extend funding for government agencies beyond September 30. Although the chance of a government shutdown is remote, Congressional leaders are under a time squeeze to negotiate a compromise spending measure that doesn’t risk a miscalculation.

EU (MNI): German Fin Min Shoots Down Draghi Joint Debt Call-Politico:
Politico reporting that German Finance Minister Christian Lindner has swiftly shot down calls from former Italian PM and ECB president Mario Draghi for a new common EU debt fund to advance investment in industry and defense.

FRANCE (MNI): PM Barnier Looks To Put Together Gov't, Holds Meeting w/LIOT Group:
Prime Minister Michel Barnier is holding meetings with senior representatives from the Liberties, Independents, Overseas and Territories (LIOT) group in the National Assembly as he seeks to put together both a cabinet of ministers and a workable coalition in the legislature.

GERMANY (MNI): Gov't To Impose Controls On All Land Borders-Interior Min:
Reuters reporting that according to its sources, German Interior Minister Nancy Faeser (SPD) is set to announce the introduction of temporary controls on all land borders.

US TSYS Focus on Midweek CPI/PPI Inflation Data

• Treasuries look steady to mixed late Monday, near session highs after the bell, curves flatter with short end rates underperforming.
• Limited reaction to second tier data: The NY Fed’s consumer surveys saw unchanged to higher inflation expectations (full release here). The 1Y was essentially unchanged for its third month at 3.0% (inched up from 2.97% to 3.00%) and the 5Y was unchanged at 2.8% for a third month.
• No mkt reaction to higher than expected Consumer Credit: $25.452B vs. $10.4B est, prior down-revised to $5.228B from $8.934B.
• Focus is on this week's CPI and PPI inflation measures to help gauge next week's FOMC policy announcement.
• Projected rate cuts through year end have receded slightly from late Fri levels: Sep'24 cumulative -32.7bp (-33.1bp), Nov'24 cumulative -71.8bp (-72.3bp), Dec'24 -112.0bp (-113.7bp).

OVERNIGHT DATA

US DATA (MNI): Unchanged To Higher Consumer Inflation Expectations In August
The NY Fed’s consumer surveys saw unchanged to higher inflation expectations (full release here). The 1Y was essentially unchanged for its third month at 3.0% (inched up from 2.97% to 3.00%) and the 5Y was unchanged at 2.8% for a third month.

• The 3Y meanwhile lifted two tenths to 2.54% after a particularly sharp 0.6pt drop in July, leaving it still relatively low historically.
• The stickier 5Y value has better captured recent trends in the U.Mich equivalent for 5-10Y expectations - see chart.
• Considering the focus on labor indicators at the moment, the survey also noted: "Labor market expectations came in mixed, but largely stable, with median one-year-ahead expected earnings growth increasing to 2.9 percent from 2.7 percent, just above a twelve-month trailing average of 2.8 percent."
• "The mean probability that the U.S. unemployment rate will be higher one year from now increased to 37.7 percent from 36.6 percent in July; however, the mean perceived probability of losing one’s job in the next twelve months decreased by 1.0 percentage point to 13.3 percent, falling below the twelve-month trailing average of 13.7 percent."

MARKETS SNAPSHOT

• Key market levels of markets in late NY trade:
• DJIA up 487.58 points (1.21%) at 40836.79
• S&P E-Mini Future up 54.25 points (1%) at 5474.5
• Nasdaq up 156.1 points (0.9%) at 16847.74
• US 10-Yr yield is down 1 bps at 3.6985%
• US Dec 10-Yr futures are up 0.5/32 at 115-1
• EURUSD down 0.0044 (-0.4%) at 1.104
• USDJPY up 0.61 (0.43%) at 142.91
• WTI Crude Oil (front-month) up $0.94 (1.39%) at $68.62
• Gold is up $8.23 (0.33%) at $2505.45
• European bourses closing levels:
• EuroStoxx 50 up 40.6 points (0.86%) at 4778.66
• FTSE 100 up 89.37 points (1.09%) at 8270.84
• German DAX up 141.66 points (0.77%) at 18443.56
• French CAC 40 up 72.96 points (0.99%) at 7425.26

US TREASURY FUTURES CLOSE

• 3M10Y +2.241, -133.354 (L: -135.833 / H: -130.251)
• 2Y10Y -3.616, 2.151 (L: 1.944 / H: 7.405)
• 2Y30Y -4.336, 32.348 (L: 31.911 / H: 38.528)
• 5Y30Y -1.916, 51.025 (L: 49.914 / H: 53.519)
• Current futures levels:
• Dec 2-Yr futures down 1.875/32 at 104-8.25 (L: 104-06 / H: 104-10.5)
• Dec 5-Yr futures down 0.5/32 at 110-12.5 (L: 110-04.50 / H: 110-14.25)
• Dec 10-Yr futures up 0.5/32 at 115-1 (L: 114-20 / H: 115-04)
• Dec 30-Yr futures up 8/32 at 126-4 (L: 125-03 / H: 126-09)
• Dec Ultra futures up 13/32 at 136-6 (L: 134-25.0 / H: 136-12)

US 10YR FUTURE TECHS: (Z4) Bullish Structure

• RES 4: 116-16 High May 11 2023 (cont)
• RES 3: 116-00 Round number resistance
• RES 2: 115-19 High Aug 5 and the bull trigger
• RES 1: 115-13 High Sep 06
• PRICE: 114-31 @ 1130 ET Sep 09
• SUP 1: 113-31+/12 20-day EMA / Low Sep 3
• SUP 2: 113-00 Low Aug 8
• SUP 3: 112-30 50-day EMA
• SUP 4: 111-28+ High Jul 17

A bullish theme in Treasuries remains intact and last week’s gains reinforce this theme. Key short-term support has been defined at 113-12, the Sep 3 low, and this level is below support at the 20-day EMA, at 113-31+. A continuation higher would pave the way for a test of key resistance and bull trigger at 115-19, Aug 5 high. For bears, a clear breach of the 20-day EMA and support at the Sep 3 low, would signal scope for a deeper correction.

SOFR FUTURES CLOSE

• Sep 24 -0.003 at 95.103
• Dec 24 -0.035 at 95.895
• Mar 25 -0.035 at 96.530
• Jun 25 -0.040 at 96.870
• Red Pack (Sep 25-Jun 26) -0.035 to -0.015
• Green Pack (Sep 26-Jun 27) -0.005 to +0.015
• Blue Pack (Sep 27-Jun 28) +0.020 to +0.025
• Gold Pack (Sep 28-Jun 29) +0.030 to +0.030

SOFR FIXES AND PRIOR SESSION REFERENCE RATES

SOFR Benchmark Settlements:

• 1M -0.00591 to 5.10393
• 3M -0.01312 to 4.92552
• 6M -0.03378 to 4.55821
• 12M -0.05817 to 3.99544

US TSYS: Repo Reference Rates

• Secured Overnight Financing Rate (SOFR): 5.34% (-0.01), volume: $2.119T
• Broad General Collateral Rate (BGCR): 5.33% (+0.01), volume: $807B
• Tri-Party General Collateral Rate (TGCR): 5.32% (+0.00), volume: $770B
• (rate, volume levels reflect prior session)

STIR: FRBNY EFFR for prior session:

• Daily Effective Fed Funds Rate: 5.33% (+0.00), volume: $100B
• Daily Overnight Bank Funding Rate: 5.33% (+0.00), volume: $250B

FED Reverse Repo Operation

NY Federal Reserve/MNI

RRP usage recedes to $292.158B from $299.271B last Friday -- nearing $286.660B on Wednesday, Aug 7 -- the lowest since mid-May 2021. Number of counterparties steady at 57.

PIPELINE $2.15B Aptiv 4Pt Debt Issuance Leads Monday's Corporate Supply

• Date $MM Issuer (Priced *, Launch #)
• 9/09 $2.15B #Aptiv $550M 5Y +118, $550M 10Y +148, $550M 30Y +178, $500M 30NC5 6.875%
• 9/09 $1.8B #Phillips 66 $600M 7Y tap +110, $600M 10Y +125, $600M 30Y +150
• 9/09 $1B #National Rural Utilities $550M 3Y +58, $300M 3Y SOFR+82, $150M 2029 tap +73
• 9/09 $1B #PG&E 30.5NC5.25 7.375%
• 9/09 $600M #ERP Operating 10Y +100
• 9/09 $600M #Sixth St Lending +5Y +230
• 9/09 $600M *Wisconsin Electric WNG $300M 10Y +90, $300M 30Y +108

BONDS: EGBs-GILTS CASH CLOSE: Rally Extends To 5th Day, UK Short-End Outperforms

Core European yields fell for a 5th consecutive session Monday.

• Gilts and Bunds saw sharp early losses, gapping weaker at the open in tandem with a rebound in global equities.
• But bonds recovered more than fully as the session went on, with no clear catalyst for the reversal though notably short-end UK yields were the regional outperformer as BoE hike prospects inched higher ahead of UK data the next two days.
• Implied 2024 BoE cumulative cuts from now stand at 48bp, vs 45bp on Friday; note that MNI's preview of Tuesday's labour market data eyes downside risks to analyst expectations for private regular AWE growth.
• ECB 2024 cut pricing was unchanged at 63bp; MNI's sources exclusive out today reports that the Governing Council is happy with current market pricing and is likely to retain its meeting-by-meeting approach as part of this week's decision.
• The German and UK curves both bull steepened, having reversed bear steepening earlier in the session, with periphery EGB spreads little changed.
• Tuesday's key data point will be UK labour market data. with GDP out Wednesday. Global focus later in the week shifts to US CPI (Weds) and the ECB decision (Thu).

Closing Yields / 10-Yr Periphery EGB Spreads To Germany

• Germany: The 2-Yr yield is down 1.6bps at 2.214%, 5-Yr is down 1.2bps at 2.034%, 10-Yr is down 0.4bps at 2.168%, and 30-Yr is down 0.4bps at 2.432%.
• UK: The 2-Yr yield is down 6.5bps at 3.889%, 5-Yr is down 5bps at 3.723%, 10-Yr is down 3bps at 3.856%, and 30-Yr is down 0.7bps at 4.424%.
• Italian BTP spread unchanged at 145.2bps / Spanish up 0.4bps at 82.9bps

FOREX: JPY and CHF Remain Weaker Despite Core FI Reversal

• Early upward pressure on core yields prompted a solid bounce for the likes of USDJPY and USDCHF, assisted by the more positive price action for major equity benchmarks. Despite the strong reversal lower for yields, both pairs remain roughly 0.5% higher on the session.
• The Japanese yen remains consistently the most sensitive to moves in fixed income markets, and USDJPY’s near 200 pip range on Monday is evidence of this.
• While an overall bearish technical theme remains intact for USDJPY, reinforced by last week’s move lower, today’s bounce from key support is notable and places the focus on the first resistance point of 144.23, the Sep 5 high. Above here, firm resistance is seen around the 20-day EMA, at 145.78 today, and a clear break of this average would signal scope for a stronger correction.
• The USD index is 0.33% higher as markets, extending the index’s post-NFP recovery as markets potentially adjust positioning ahead of the important US CPI print on Wednesday, which could be pivotal for the Sep 18 FOMC meeting.
• In similar vein, EURUSD has been grinding moderately lower on the session to 1.1050 with Thursday’s ECB meeting in close proximity.
• For emerging markets, the recently struggling Mexican peso benefitted from the stabilisation in risk and a weaker yen. MXNJPY advanced over 1% from session lows, allowing USDMXN to reassert itself back below the 20.00 handle. The Chinese Yuan also remains softer following the lower-than-expected inflation data overnight.
• Tuesday’s focus will be on labour market data in the UK.

TUESADAY DATA CALENDAR

Date	GMT/Local	Impact	Country	Event
10/09/2024	0600/0800	***	DE	HICP (f)
10/09/2024	0600/0700	***	GB	Labour Market Survey
10/09/2024	0600/0800	***	NO	CPI Norway
10/09/2024	0700/0900	**	ES	Industrial Production
10/09/2024	0800/1000	*	IT	Industrial Production
10/09/2024	0900/1000	*	GB	Index Linked Gilt Outright Auction Result
10/09/2024	1000/0600	**	US	NFIB Small Business Optimism Index
10/09/2024	1100/1200		GB	BOE's Breeden remarks from Wharton-IMF Dialogue - Text release
10/09/2024	-	***	CN	Trade
10/09/2024	-	***	CN	Money Supply
10/09/2024	-	***	CN	New Loans
10/09/2024	-	***	CN	Social Financing
10/09/2024	1210/0810		CA	BOC Governor Macklem speech in London UK
10/09/2024	1255/0855	**	US	Redbook Retail Sales Index
10/09/2024	1530/1130	*	US	US Treasury Auction Result for Cash Management Bill
10/09/2024	1700/1300	***	US	US Note 03 Year Treasury Auction Result