MNI US MARKETS ANALYSIS - Heavy Fed, Data Docket Ahead
Highlights:
- Heavy data, speaker session ahead including opening remarks from Fed Chair
- USD softer, but still holds bulk of late Weds rally
- Oil slips on Libyan, Saudi supply speculation
US TSYS: Modest Paring Of Yesterday’s Losses Ahead Of Heavy Docket
- Treasuries have kept to relatively narrow ranges overnight but sit mildly firmer to chip away at yesterday’s losses that had been seen on a combination of corporate supply and positioning ahead of today’s heavy docket.
- Gains have been supported by large declines in WTI futures on prospects of higher Saudi supply although they are off lows as the likelihood of an Israel-Hezbollah ceasefire is assessed.
- Cash yields are 1.4-2bp lower, with declines led by 20s.
- 2s10s at 22.5bps (-0.3bps) remains close to yesterday’s fresh ytd high of 24.1bps.
- TYZ4 trades at 114-20+ (+ 02+) on subdued volumes of 250k. It has lifted away from support at 114-09+ (Sep 24 low) whilst resistance is seen at 115-02+ (Sep 19 high) before a bull trigger at 115-23+ (Sep 11 high).
- Today sees important data including comprehensive GDP/GDI revisions, followed by heavy Fedspeak before 7y supply. The auction comes after 2s and 5s were on the screws this week but with mildly softer details than August.
- Data: GDP third Q2 release + annual revisions (0830ET), Weekly jobless claims (0830ET), Durable goods Aug prelim (0830ET), Pending home sales Aug (1000ET), KC Fed mfg Sep (1100ET)
- Fedspeak: Collins & Kugler (0910ET), Bowman (0915ET), Powell opening remarks (0920ET), Williams (0925ET), Williams (0925ET), Barr (1030ET), Cook (1030ET), Kashkari & Barr (1300ET), Cook (1800ET) – see STIR bullet.
- Note/bond issuance: US Tsy $44B 7Y Note auction - 91282CLM1 (1300ET)
- Bill issuance: US Tsy $90B 4W, $85B 8W bill auctions (1130ET)
STIR: 41bp Of Cuts For Nov With Data and Fedspeak Deluge Ahead
- Fed Funds implied rates mostly hold yesterday’s climb although Nov remains near recent lows.
- Cumulative cuts from 4.83% effective: 41bp Nov, 79bp Dec, 112bp Jan and 179bp June.
- Fed Gov. Kugler (voter) maintained her dovish stance in first public comments in over two months yesterday. She “strongly supported” a 50bp cut last week and noted a “need” to frontload rate cuts given lags in policy.
- There’s a stream of Fedspeak ahead after important data updates at 0830ET, although some have spoken recently. Powell is only set to give brief opening remarks and there haven’t been any tier one data releases since the FOMC last week, but can never be overlooked. Williams has perhaps the most scope for impact today, speaking for 15mins at the annual Treasury Market Conference (full schedule here), whilst Collins (typically dovish side of center) starts proceedings in a fireside chat.
- 0910ET – Collins (’25) and Kugler (voter) in fireside chat. Collins said Aug 20 that she saw policy being recalibrated gradually.
- 0915ET – Bowman (voter) on eco outlook (text identical to Tue + Q&A)
- 0920ET – Powell (voter) pre-recorded opening remarks for US Tsy Mkt Conference (text)
- 0925ET – Williams (voter) remarks at Tsy Mkt Conf (text). He said Sep 6 that the Fed has no general principle on fast vs gradual moves and will reassess actions in time as it doesn’t want to get locked in.
- 1030ET – Barr (voter) remarks at Tsy Mkt Conf (text + Q&A)
- 1030ET – Cook (voter) in roundtable on AI and workforce (Q&A only)
- 1300ET – Kashkari (non-voter) hosts Barr (voter) on banking supervision (Q&A only)
- 1800ET – Cook (voter) speech on AI and labor force (text + Q&A)
US TSY FUTURES: OI Points To Mix Of Short Setting & Long Cover On Wednesday
Yesterday’s move lower in Tsy futures & preliminary OI data points to a mix of short setting and long cover.
- The only notable DV01 equivalent swing came via long cover in US futures.
| 25-Sep-24 | 24-Sep-24 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,472,935 | 4,472,894 | +41 | +1,601 |
FV | 6,430,514 | 6,425,189 | +5,325 | +235,393 |
TY | 4,933,762 | 4,941,618 | -7,856 | -526,597 |
UXY | 2,116,243 | 2,121,927 | -5,684 | -529,353 |
US | 1,741,162 | 1,755,496 | -14,334 | -1,983,615 |
WN | 1,704,023 | 1,700,030 | +3,993 | +871,387 |
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| Total | -18,515 | -1,931,185 |
STIR: OI Points To Mix Of SOFR Positioning Swings On Wednesday
OI points to a mix of short setting and long cover during yesterday’s sell off in most SOFR futures.
- Interestingly there was no clear OI footprint for the record sized 118K block sale of SFRZ4.
| 25-Sep-24 | 24-Sep-24 | Daily OI Change |
| Daily OI Change In Packs |
SFRU4 | 1,350,696 | 1,363,870 | -13,174 | Whites | -841 |
SFRZ4 | 1,360,611 | 1,344,925 | +15,686 | Reds | -31,436 |
SFRH5 | 1,082,102 | 1,081,816 | +286 | Greens | +11,630 |
SFRM5 | 916,524 | 920,163 | -3,639 | Blues | +3,465 |
SFRU5 | 689,431 | 694,054 | -4,623 |
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SFRZ5 | 996,624 | 1,000,855 | -4,231 |
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SFRH6 | 710,797 | 727,152 | -16,355 |
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SFRM6 | 644,802 | 651,029 | -6,227 |
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SFRU6 | 553,854 | 548,282 | +5,572 |
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SFRZ6 | 624,453 | 622,210 | +2,243 |
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SFRH7 | 359,712 | 357,365 | +2,347 |
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SFRM7 | 312,506 | 311,038 | +1,468 |
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SFRU7 | 250,100 | 247,567 | +2,533 |
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SFRZ7 | 230,052 | 228,857 | +1,195 |
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SFRH8 | 180,033 | 180,267 | -234 |
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SFRM8 | 151,014 | 151,043 | -29 |
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RUSSIA: Kremlin-Nuclear Doctrine Changes Should Be Seen As Signal To West
Wires reporting comments from Kremlin spox Dmitry Peskov. Regarding the changes to Russia's nuclear doctrine made at the 25 Sep Security Council meeting (see 'SECURITY: Russia Could Use Nuclear Weapons If "Critical Threat To Sovereignty", 1814BST 25 Sep), Pesokv confirms the 'adjustments to the document on state nuclear deterrence have now been formulated.' Says that 'there are two documents on nuclear policy...we will subsequently make a decision on whether nor not to publish the nuclear documents'.
- Peskov: 'The changes to the nuclear documents should be considered a signal to 'unfriendly' countries...The signal to the West is that there are consequences if Western countries participate in an attack on Russia with various means.' Says that 'we are in an unprecedented confrontation'.
The debate over giving permission to Ukraine to use Western-made long range missiles against targets in Russia continues to rage. Ukrainian President Volodymyr Zelenskyy meets w/ US President Joe Biden at the White House today to present his 'plan for victory', which will inevitably include the use of such weapons.
ISRAEL: Ministers Downplay Prospects Of Ceasefire In Lebanon Or Gaza
Following on from a Sky News report earlier today (see 'ISRAEL: Sky News-US Offs. Expect Ceasefire In Lebanon 'In Coming Hours', 0857BST), Israeli ministers have downplayed this prospect. Foreign Minister Israel Katz said that 'there will be no ceasefire in the north, we will continue to fight against Hezbollah'. Wires report the IDF stating that it is currently attacking Hezbollah targets in Lebanon.
- The ultranationalist members of the governing coalition, including Finance Minister Belazel Smotrich, whose National Religious Party–Religious Zionism denounced the prospect of a ceasefire, saying that "The enemy must not be given time to recover from the heavy blows he received and to reorganize for the continuation of the war after 21 days,".
- Earlier, comments from PM Benjamin Netanyahu's office said the PM had not given his response to a US-French led ceasefire proposal. Says that he has instructed the IDF to 'keep fighting at full power', and that the fighting in Gaza will 'continue until all war goals are achieved'.
- Netanyahu's gov't relies on the ultranationalist parties of Smotrich and Security Minister Itamar Ben-Gvir for its majority. Both are deeply opposed to ceasefires in Gaza and Lebanon without the destruction of Hamas and Hezbollah respectively. As such, any move towards ceasefires could imperil the PM's position.
- The exchange of fire continues in both directions, with Hezbollah targeting defence industry complexes near the northern city of Haifa.
FOREX: Dollar Bounce Falters, AUD Underpinned by China Rally
- The large part of yesterday's late USD rally is holding into the NY crossover, with EUR/USD failing to make material headway above 1.1150 and GBP/USD posting only a modest bounce off the pullback low of 1.3313. That said, the USD is softer against most others in G10 on an intraday basis, with AUD and NZD performing most solidly.
- Market moves follow a further commitment on stimulus from the Chinese authorities overnight, who made a rare commitment to growth by pledging to ramp up policities targeting both the housing market and interest rates. The headlines clearly carried weight as the Politburo intervened - helping a strong positive close for Asia-Pac equities and a +4% rally in the CSI-300 just ahead of next week's Golden Week market holidays.
- The firm risk sentiment has underpinned AUD and NZD, keeping AUD/USD within range of yesterday's highs of 0.6908 - clearance here would resume the primary uptrend to target the best levels since March of last year.
- Meanwhile, JPY trades softer, helping USD/JPY build on yesterday's rally and target a concrete close above 145.00 today. The level has been pierced, but bulls will be eyeing a close above here to test the 50-dma of 146.49. Today's global equity rally will be helping thew theme.
- Slippage in oil prices on the back of positive supply stories from Libya and Saudi Arabia have somewhat dented progress in CAD and NOK, which sit alongside USD at the bottom of the G10 pile. CHF outperforming JPY as the SNB declined a super-sized 50bps cut and opted for 25bps at this morning's decision.
- Fed speak ahead is busy - with weekly jobless claims stats and the prelim August durable good orders the data highlights.
COMMODITIES: WTI Futures Sharply Reverse Bulk of Recent Gains
- WTI futures are softer for a second session, reversing a large part of recent gains. This affirms the strength of resistance at the 50-day EMA of 72.25, which remains the key upside level. This price action confirms the recovery since Sep 9 as a correction. Note that MA studies are in a bear-mode set-up, highlighting a dominant downtrend. A reversal lower would refocus attention on $64.61, the Sep 10 low and bear trigger.
- Gold bulls remain in the driver’s seat and the yellow metal has again traded to a fresh all-time high. The move higher confirms a resumption of the primary uptrend and maintains the bullish price sequence of higher highs and higher lows. Moving average studies are in a bull-mode set-up, highlighting a clear uptrend and positive market sentiment. The focus is on $2675.5 next, a Fibonacci projection. Firm support lies at $2567.4, the 20-day EMA.
EQUITIES: E-Mini S&P Breaks Above $5800 Handle, Strengthening Bullish Conditions
- Eurostoxx 50 futures have started the session strongly, reorienting focus on the September highs and bull trigger at 5024.00. It is still possible that recent gains are corrective. MA studies are in a bear-mode position and this highlights a downtrend. A reversal lower would refocus attention on key support at 4757.00, the Sep 6 / 10 lows. Key resistance is 5024.00, the Sep 3 high. A break would cancel a bearish theme and strengthen bullish conditions.
- A bull cycle in S&P E-Minis firmed this morning with the break above both round number resistance at 5800 and the 0.50 projection for the Sep 6 - 17 - 8 minor price swing at 5818.12. This confirms a resumption of the long-term uptrend. First key support is 5628.50, the 50-day EMA. Initial support lies at 5689.85, the 20-day EMA.
Date | GMT/Local | Impact | Country | Event |
26/09/2024 | 1230/0830 | *** | US | Jobless Claims |
26/09/2024 | 1230/0830 | ** | US | WASDE Weekly Import/Export |
26/09/2024 | 1230/0830 | *** | US | GDP |
26/09/2024 | 1230/0830 | * | CA | Payroll employment |
26/09/2024 | 1230/0830 | ** | US | Durable Goods New Orders |
26/09/2024 | 1310/0910 | US | Fed's Susan Collins, Adriana Kugler | |
26/09/2024 | 1315/0915 | US | Fed Governor Michelle Bowman | |
26/09/2024 | 1320/0920 | US | Fed Chair Jerome Powell | |
26/09/2024 | 1325/0925 | US | New York Fed's John Williams | |
26/09/2024 | 1330/1530 | EU | ECB Lagarde address at ESRB Conference | |
26/09/2024 | 1400/1000 | ** | US | NAR Pending Home Sales |
26/09/2024 | 1415/1615 | EU | ECB's De Guindos in macroprudential policy panel | |
26/09/2024 | 1430/1030 | ** | US | Natural Gas Stocks |
26/09/2024 | 1430/1030 | US | Fed Vice Chair Michael Barr | |
26/09/2024 | 1430/1030 | US | Fed Governor Lisa Cook | |
26/09/2024 | 1500/1100 | ** | US | Kansas City Fed Manufacturing Index |
26/09/2024 | 1530/1130 | * | US | US Bill 08 Week Treasury Auction Result |
26/09/2024 | 1530/1130 | ** | US | US Bill 04 Week Treasury Auction Result |
26/09/2024 | 1600/1800 | EU | ECB's Schnabel at Wirtschaftsrat der CDU e.V | |
26/09/2024 | 1700/1300 | US | Fed's Neel Kashkari, Michael Barr | |
26/09/2024 | 1700/1300 | ** | US | US Treasury Auction Result for 7 Year Note |
26/09/2024 | 1900/1500 | *** | MX | Mexico Interest Rate |
26/09/2024 | 2010/1610 | US | New York Fed's Roberto Perli | |
26/09/2024 | 2200/1800 | US | Fed Governor Lisa Cook | |
27/09/2024 | 2330/0830 | ** | JP | Tokyo CPI |
27/09/2024 | 0645/0845 | *** | FR | HICP (p) |
27/09/2024 | 0645/0845 | ** | FR | PPI |
27/09/2024 | 0645/0845 | ** | FR | Consumer Spending |
27/09/2024 | 0700/0900 | *** | ES | HICP (p) |
27/09/2024 | 0700/0900 | *** | ES | GDP (f) |
27/09/2024 | 0755/0955 | ** | DE | Unemployment |
27/09/2024 | 0800/1000 | ** | IT | PPI |
27/09/2024 | 0800/1000 | ** | EU | ECB Consumer Expectations Survey |
27/09/2024 | 0815/1015 | EU | ECB's Lane remarks at Fiscal Policy conference | |
27/09/2024 | 0900/1100 | ** | EU | EZ Economic Sentiment Indicator |
27/09/2024 | 0900/1100 | * | EU | Consumer Confidence, Industrial Sentiment |
27/09/2024 | 0940/1140 | EU | ECB's Cipollone speech at Economics of Payments XIII conference | |
27/09/2024 | 1000/1100 | ** | GB | CBI Distributive Trades |
27/09/2024 | 1230/0830 | *** | US | Personal Income and Consumption |
27/09/2024 | 1230/0830 | *** | CA | Gross Domestic Product by Industry |
27/09/2024 | 1230/0830 | ** | US | Advance Trade, Advance Business Inventories |
27/09/2024 | 1230/0830 | *** | CA | Gross Domestic Product by Industry |
27/09/2024 | 1330/0930 | US | Fed's Susan Collins, Adriana Kugler | |
27/09/2024 | 1400/1000 | ** | US | U. Mich. Survey of Consumers |
27/09/2024 | 1500/1100 | CA | Finance Dept monthly Fiscal Monitor (expected) | |
27/09/2024 | 1700/1300 | ** | US | Baker Hughes Rig Count Overview - Weekly |
27/09/2024 | 1715/1315 | US | Fed Governor Michelle Bowman |