Highlights:

  • US yields backtrack off highs after shaky 7y note sale
  • USD/JPY trades heavy across Asia-Pac, European hours
  • Secondary US GDP accompanies weekly jobless claims

US TSYS: Off Midweek Lows Ahead Q1 GDP, Weekly Claims, Personal Consumption Data

  • Treasuries have bounced off midweek lows, drifting near overnight highs with  focus on this morning's Q1 GDP, personal consumption and weekly jobless data  at 0830ET. Following yesterday's post-7Y auction sell-off, market should see  little influence on rates as US Treasury rounds up this week's supply with  $70B 4- and 8W bill auctions at 1130ET.
  • Cash yields lower, 10s -.0219 at 4.5898%, 30s -.0188 at 4.7140%, curves  mildly flatter after bear steepen this week, 2s10s -1.360 at 37.656.
  • Switching to Sep'24 futures the day before First Notice, heavier volumes  overnight with TYU4 over 480k vs. 199k TYM4. Despite this morning's bounce,  Treasuries remain vulnerable to a bearish theme after Wednesday's reversal  extension from the May 16 high. The Sep'24 10Y contract has pierced 108-02+,  the 76.4% retracement of the Apr 25 - May 16 climb.
  • Scheduled Fed speakers include NY Fed President Williams speech at the  Economics Club of NY (text, Q&A) at 1205ET; Dallas Fed President Logan will  participate in a moderated Q&A in El Paso at 1700ET.
  • Moderate US$ corporate bond issuance limited to Bank of Bahrain & Kuwait 5Y,  National Bank of Kuwait 6NC5 today.

STIR: OI Points To Mix Of Positioning Swings In SOFR Futures On Wednesday
The mix of yesterday's twist steepening on the SOFR futures strip and preliminary OI data follows to the following net positioning swings on Wednesday:

  • Whites: Net long setting in SFRH4 through SFRU4. It is hard to be sure when  it comes to SFRZ4 given its unchanged price status on the day.
  • Reds: A mix of net long cover and net short setting, with the latter being  the prominent in net pack OI terms.
  • Greens: A mix of net short setting and net long cover, with the former being  slightly more prominent in net pack OI terms.
  • Blues: A mix of net short setting and net long cover, with the former being  slightly more prominent in net pack OI terms.
  • Cross-market impulses provided much of the pressure for SOFR futures. ~32.5bp of '24 cuts are priced into FOMC-dated OIS.

EUROPE ISSUANCE UPDATE:

Italy auction results:
* E2.5bln of the 3.35% Jul-29 BTP. Avg yield 3.54% (bid-to-cover 1.48x).
* E1.5bln of the 3.85% Dec-29 BTP. Avg yield 3.57% (bid-to-cover 1.59x).
* E3.5bln of the 3.85% Jul-34 BTP. Avg yield 3.97% (bid-to-cover 1.45x).
* E1bln of the 1.05% Apr-32 CCTeu. Avg yield 4.9% (bid-to-cover 1.82x).
* E1bln of the 0.65% Apr-29 CCTeu. Avg yield 4.52% (bid-to-cover 1.79x).

Finland auction results (ORI Facility):
* E190mln of the 0.50% Apr-26 RFGB. Avg yield 3.196% (bid-to-cover 2.06x).
* E193mln of the 1.375% Apr-47 RFGB. Avg yield 3.288% (bid-to-cover 1.60x).

FOREX: USD/JPY Reverses Off Highs, But Weakness Looks Corrective

  • In a partial reversal of the recent rally, USD/JPY was sold across Asia-Pac  hours, and traded heavy through the European open. Moves concurred with rates  markets fading somewhat after the sharp run higher in US yields since the  beginning of the week. The US10y yield faded around 5bps off highs, favouring  USD/JPY selling and adding to the downward momentum. That said, the pair  remains within range of the Y157.00 handle and support should be found into  156.50.
  • Antipodean currencies are trading poorly, with AUD and NZD softer to provide  a generally poor risk backdrop to G10 currency markets, although more stable  equity markets should prevent any protracted fallout.
  • Outside of G10 markets, much market focus is on the ZAR as the Presidential  election results begin to roll in and show the ANC with a poorer showing than  expected, exposing the party to being forced into a market-unfriendly  coalition. ZAR is lower by close to 2% against the USD, trading levels last  seen in early May.
  • Weekly jobless claims data, advanced trade balance stats and the pending home  sales release for April are set to cross later today. The speaker slate could  be of more consequence, with Fed's Williams & Logan and ECB's Makhlouf all  due to make appearances.

OPTIONS: Expiries for May30 NY cut 1000ET (Source DTCC)

  • EUR/USD: $1.0735-50(E2.6bln), $1.0775(E843mln), $1.0800(E524mln), $1.0825-35(E2.0bln), $1.0850($1.5bln), $1.0900-01(E1.2bln)
  • USD/JPY: Y155.00($2.2bln), Y155.90-10($5.6bln), Y157.00($706mln), Y158.00($624mln), Y158.50($1.5bln), Y159.35($808mln), Y160.00($834mln)
  • GBP/USD: $1.2540-50(Gbp797mln), $1.2655-60(Gbp631mln)
  • EUR/JPY: Y169.70(E616mln), Y170.00(E630mln), Y170.85-00(E615mln)
  • AUD/USD: $0.6525(A$709mln), $0.6700(A$932mln)
  • USD/CAD: C$1.3695-00($824mln)

WTI Futures Remain Below Wednesday's Highs

  • WTI futures traded higher yesterday and the contract is holding on to its most recent gains. The trend direction remains down and the latest recovery appears to be a correction - for now. A resumption of weakness would signal scope for a move towards $75.64, the Mar 11 low. Key resistance and the bull trigger is at $86.16, the Apr 12 high. Initial firm resistance to watch is at $83.63, the Apr 26 high.
  • Gold is trading lower today and a short-term bear cycle remains in play, for now. The medium-term trend structure is bullish and the recent move down appears to be a correction that is allowing  an overbought condition to unwind. Moving average studies are in a bull-mode position, highlighting an uptrend. A resumption of gains would open $2452.5 next, a Fibonacci projection. The 50-day EMA, at $2305.5, represents a key support. 

E-Mini S&P Extends Corrective Pullback Lower

  • Eurostoxx 50 futures traded lower yesterday and the contract remains soft today. This week’s pullback has resulted in a breach of the 20- and 50- day EMAs. The 50-day average lies at 4963.20 and a clear break of it would undermine the recent short-term bullish theme and signal scope for a deeper retracement. This would open 4894.90, a Fibonacci retracement. Initial resistance is seen at 5022.40, the 20-day EMA.
  • The uptrend in S&P E-Minis remains intact, however, a corrective cycle has resulted in a pullback from the recent high of 5368.25 (May 23). The contract has traded through the 20-day EMA and this exposes a firmer support at 5208.12, the 50-day EMA. A clear break of this average would signal scope for a deeper retracement. On the upside, a resumption of gains and a break of 5368.25, would confirm a resumption of the uptrend.      
     
DateGMT/LocalImpactCountryEvent
30/05/20241230/0830***us USJobless Claims
30/05/20241230/0830***us USGDP
30/05/20241230/0830*ca CACurrent account
30/05/20241230/0830*ca CAPayroll employment
30/05/20241230/0830**us USAdvance Trade, Advance Business Inventories
30/05/20241400/1000**us USNAR Pending Home Sales
30/05/20241430/1030**us USNatural Gas Stocks
30/05/20241455/1055 ca CABOC payment director gives speech in Toronto.
30/05/20241500/1100**us USDOE Weekly Crude Oil Stocks
30/05/20241530/1130*us USUS Bill 08 Week Treasury Auction Result
30/05/20241530/1130**us USUS Bill 04 Week Treasury Auction Result
30/05/20241605/1205 us USNew York Fed's John Williams
30/05/20242100/1700 us USDallas Fed's Lorie Logan
31/05/20242330/0830**jp JPTokyo CPI
31/05/20242330/0830*jp JPLabor Force Survey
31/05/20242350/0850*jp JPRetail Sales (p)
31/05/20242350/0850**jp JPIndustrial Production
31/05/20240130/0930***cn CNCFLP Manufacturing PMI
31/05/20240130/0930**cn CNCFLP Non-Manufacturing PMI
31/05/20240600/0800**de DERetail Sales
31/05/20240600/0800**de DEImport/Export Prices
31/05/20240600/0700*gb GBNationwide House Price Index
31/05/20240630/0730 gb GBDMO to release FQ2 (Jul-Sep) gilt operations calendar
31/05/20240630/0830**ch CHRetail Sales
31/05/20240645/0845***fr FRHICP (p)
31/05/20240645/0845**fr FRPPI
31/05/20240645/0845**fr FRConsumer Spending
31/05/20240645/0845***fr FRGDP (f)
31/05/20240800/1000***it ITGDP (f)
31/05/20240830/0930**gb GBBOE M4
31/05/20240830/0930**gb GBBOE Lending to Individuals
31/05/20240900/1100***eu EUHICP (p)
31/05/20240900/1100***it ITHICP (p)
31/05/20241230/0830**us USPersonal Income and Consumption
31/05/20241230/0830***ca CAGDP - Canadian Economic Accounts
31/05/20241230/0830***ca CAGross Domestic Product by Industry
31/05/20241230/0830***ca CACA GDP by Industry and GDP Canadian Economic Accounts Combined
31/05/20241230/0830**us USWASDE Weekly Import/Export
31/05/20241345/0945***us USMNI Chicago PMI
31/05/20241500/1100 ca CAFinance Dept monthly Fiscal Monitor (expected)
31/05/20241700/1300**us USBaker Hughes Rig Count Overview - Weekly
31/05/20242215/1815 us USAtlanta Fed's Raphael Bostic

MNI US MARKETS ANALYSIS - USD/JPY Reverses Off Highs

Last updated at:May-30 10:59By: Edward Hardy

Highlights:

  • US yields backtrack off highs after shaky 7y note sale
  • USD/JPY trades heavy across Asia-Pac, European hours
  • Secondary US GDP accompanies weekly jobless claims

US TSYS: Off Midweek Lows Ahead Q1 GDP, Weekly Claims, Personal Consumption Data

  • Treasuries have bounced off midweek lows, drifting near overnight highs with  focus on this morning's Q1 GDP, personal consumption and weekly jobless data  at 0830ET. Following yesterday's post-7Y auction sell-off, market should see  little influence on rates as US Treasury rounds up this week's supply with  $70B 4- and 8W bill auctions at 1130ET.
  • Cash yields lower, 10s -.0219 at 4.5898%, 30s -.0188 at 4.7140%, curves  mildly flatter after bear steepen this week, 2s10s -1.360 at 37.656.
  • Switching to Sep'24 futures the day before First Notice, heavier volumes  overnight with TYU4 over 480k vs. 199k TYM4. Despite this morning's bounce,  Treasuries remain vulnerable to a bearish theme after Wednesday's reversal  extension from the May 16 high. The Sep'24 10Y contract has pierced 108-02+,  the 76.4% retracement of the Apr 25 - May 16 climb.
  • Scheduled Fed speakers include NY Fed President Williams speech at the  Economics Club of NY (text, Q&A) at 1205ET; Dallas Fed President Logan will  participate in a moderated Q&A in El Paso at 1700ET.
  • Moderate US$ corporate bond issuance limited to Bank of Bahrain & Kuwait 5Y,  National Bank of Kuwait 6NC5 today.

STIR: OI Points To Mix Of Positioning Swings In SOFR Futures On Wednesday
The mix of yesterday's twist steepening on the SOFR futures strip and preliminary OI data follows to the following net positioning swings on Wednesday:

  • Whites: Net long setting in SFRH4 through SFRU4. It is hard to be sure when  it comes to SFRZ4 given its unchanged price status on the day.
  • Reds: A mix of net long cover and net short setting, with the latter being  the prominent in net pack OI terms.
  • Greens: A mix of net short setting and net long cover, with the former being  slightly more prominent in net pack OI terms.
  • Blues: A mix of net short setting and net long cover, with the former being  slightly more prominent in net pack OI terms.
  • Cross-market impulses provided much of the pressure for SOFR futures. ~32.5bp of '24 cuts are priced into FOMC-dated OIS.

EUROPE ISSUANCE UPDATE:

Italy auction results:
* E2.5bln of the 3.35% Jul-29 BTP. Avg yield 3.54% (bid-to-cover 1.48x).
* E1.5bln of the 3.85% Dec-29 BTP. Avg yield 3.57% (bid-to-cover 1.59x).
* E3.5bln of the 3.85% Jul-34 BTP. Avg yield 3.97% (bid-to-cover 1.45x).
* E1bln of the 1.05% Apr-32 CCTeu. Avg yield 4.9% (bid-to-cover 1.82x).
* E1bln of the 0.65% Apr-29 CCTeu. Avg yield 4.52% (bid-to-cover 1.79x).

Finland auction results (ORI Facility):
* E190mln of the 0.50% Apr-26 RFGB. Avg yield 3.196% (bid-to-cover 2.06x).
* E193mln of the 1.375% Apr-47 RFGB. Avg yield 3.288% (bid-to-cover 1.60x).

FOREX: USD/JPY Reverses Off Highs, But Weakness Looks Corrective

  • In a partial reversal of the recent rally, USD/JPY was sold across Asia-Pac  hours, and traded heavy through the European open. Moves concurred with rates  markets fading somewhat after the sharp run higher in US yields since the  beginning of the week. The US10y yield faded around 5bps off highs, favouring  USD/JPY selling and adding to the downward momentum. That said, the pair  remains within range of the Y157.00 handle and support should be found into  156.50.
  • Antipodean currencies are trading poorly, with AUD and NZD softer to provide  a generally poor risk backdrop to G10 currency markets, although more stable  equity markets should prevent any protracted fallout.
  • Outside of G10 markets, much market focus is on the ZAR as the Presidential  election results begin to roll in and show the ANC with a poorer showing than  expected, exposing the party to being forced into a market-unfriendly  coalition. ZAR is lower by close to 2% against the USD, trading levels last  seen in early May.
  • Weekly jobless claims data, advanced trade balance stats and the pending home  sales release for April are set to cross later today. The speaker slate could  be of more consequence, with Fed's Williams & Logan and ECB's Makhlouf all  due to make appearances.

OPTIONS: Expiries for May30 NY cut 1000ET (Source DTCC)

  • EUR/USD: $1.0735-50(E2.6bln), $1.0775(E843mln), $1.0800(E524mln), $1.0825-35(E2.0bln), $1.0850($1.5bln), $1.0900-01(E1.2bln)
  • USD/JPY: Y155.00($2.2bln), Y155.90-10($5.6bln), Y157.00($706mln), Y158.00($624mln), Y158.50($1.5bln), Y159.35($808mln), Y160.00($834mln)
  • GBP/USD: $1.2540-50(Gbp797mln), $1.2655-60(Gbp631mln)
  • EUR/JPY: Y169.70(E616mln), Y170.00(E630mln), Y170.85-00(E615mln)
  • AUD/USD: $0.6525(A$709mln), $0.6700(A$932mln)
  • USD/CAD: C$1.3695-00($824mln)

WTI Futures Remain Below Wednesday's Highs

  • WTI futures traded higher yesterday and the contract is holding on to its most recent gains. The trend direction remains down and the latest recovery appears to be a correction - for now. A resumption of weakness would signal scope for a move towards $75.64, the Mar 11 low. Key resistance and the bull trigger is at $86.16, the Apr 12 high. Initial firm resistance to watch is at $83.63, the Apr 26 high.
  • Gold is trading lower today and a short-term bear cycle remains in play, for now. The medium-term trend structure is bullish and the recent move down appears to be a correction that is allowing  an overbought condition to unwind. Moving average studies are in a bull-mode position, highlighting an uptrend. A resumption of gains would open $2452.5 next, a Fibonacci projection. The 50-day EMA, at $2305.5, represents a key support. 

E-Mini S&P Extends Corrective Pullback Lower

  • Eurostoxx 50 futures traded lower yesterday and the contract remains soft today. This week’s pullback has resulted in a breach of the 20- and 50- day EMAs. The 50-day average lies at 4963.20 and a clear break of it would undermine the recent short-term bullish theme and signal scope for a deeper retracement. This would open 4894.90, a Fibonacci retracement. Initial resistance is seen at 5022.40, the 20-day EMA.
  • The uptrend in S&P E-Minis remains intact, however, a corrective cycle has resulted in a pullback from the recent high of 5368.25 (May 23). The contract has traded through the 20-day EMA and this exposes a firmer support at 5208.12, the 50-day EMA. A clear break of this average would signal scope for a deeper retracement. On the upside, a resumption of gains and a break of 5368.25, would confirm a resumption of the uptrend.      
     
DateGMT/LocalImpactCountryEvent
30/05/20241230/0830***us USJobless Claims
30/05/20241230/0830***us USGDP
30/05/20241230/0830*ca CACurrent account
30/05/20241230/0830*ca CAPayroll employment
30/05/20241230/0830**us USAdvance Trade, Advance Business Inventories
30/05/20241400/1000**us USNAR Pending Home Sales
30/05/20241430/1030**us USNatural Gas Stocks
30/05/20241455/1055 ca CABOC payment director gives speech in Toronto.
30/05/20241500/1100**us USDOE Weekly Crude Oil Stocks
30/05/20241530/1130*us USUS Bill 08 Week Treasury Auction Result
30/05/20241530/1130**us USUS Bill 04 Week Treasury Auction Result
30/05/20241605/1205 us USNew York Fed's John Williams
30/05/20242100/1700 us USDallas Fed's Lorie Logan
31/05/20242330/0830**jp JPTokyo CPI
31/05/20242330/0830*jp JPLabor Force Survey
31/05/20242350/0850*jp JPRetail Sales (p)
31/05/20242350/0850**jp JPIndustrial Production
31/05/20240130/0930***cn CNCFLP Manufacturing PMI
31/05/20240130/0930**cn CNCFLP Non-Manufacturing PMI
31/05/20240600/0800**de DERetail Sales
31/05/20240600/0800**de DEImport/Export Prices
31/05/20240600/0700*gb GBNationwide House Price Index
31/05/20240630/0730 gb GBDMO to release FQ2 (Jul-Sep) gilt operations calendar
31/05/20240630/0830**ch CHRetail Sales
31/05/20240645/0845***fr FRHICP (p)
31/05/20240645/0845**fr FRPPI
31/05/20240645/0845**fr FRConsumer Spending
31/05/20240645/0845***fr FRGDP (f)
31/05/20240800/1000***it ITGDP (f)
31/05/20240830/0930**gb GBBOE M4
31/05/20240830/0930**gb GBBOE Lending to Individuals
31/05/20240900/1100***eu EUHICP (p)
31/05/20240900/1100***it ITHICP (p)
31/05/20241230/0830**us USPersonal Income and Consumption
31/05/20241230/0830***ca CAGDP - Canadian Economic Accounts
31/05/20241230/0830***ca CAGross Domestic Product by Industry
31/05/20241230/0830***ca CACA GDP by Industry and GDP Canadian Economic Accounts Combined
31/05/20241230/0830**us USWASDE Weekly Import/Export
31/05/20241345/0945***us USMNI Chicago PMI
31/05/20241500/1100 ca CAFinance Dept monthly Fiscal Monitor (expected)
31/05/20241700/1300**us USBaker Hughes Rig Count Overview - Weekly
31/05/20242215/1815 us USAtlanta Fed's Raphael Bostic

MNI Podcasts

Unearthing fresh policy thinking & market intelligence.

Copyright 2024Twitter, Xlinkedin logo