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MNI BRIEF: China To Boost Consumer Spending, New Industries

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MNI: GERMANY JUNE PPI  +0.2 % M/M (+0.1% FCAST, 0.0% PRIOR)

Disappointing data but no market reaction

RPT-MNI: Canada Sticks To Fiscal Anchors, Spends Chunk Of Windfall

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OI Points To Net Long Setting In Most SOFR Futures Ahead Of CPI

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FOMC Calendar Market NewsHomepageBulletMarketsFixed Income Bullets

The uptick in most SOFR futures and preliminary OI data points to net long setting in all packs through the blues on Wednesday.

  • Some pockets of net short cover were seen in individual contracts.
  • Fed funds futures were little changed on the day, showing just under 20bp of cuts through the September FOMC ~50bp of cuts through year end.
  • We still believe that a ‘hawkish’ CPI surprise presents the greatest risk to prevailing market positioning, raising the bar for dovish market interpretation of today’s data.
10-Jul-2409-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,203,8501,195,809+8,041Whites+35,546
SFRU41,108,4761,115,158-6,682Reds+7,558
SFRZ41,111,9521,083,103+28,849Greens+4,517
SFRH5836,385831,047+5,338Blues+6,558
SFRM5771,847771,215+632
SFRU5699,139679,877+19,262
SFRZ5837,003843,569-6,566
SFRH6554,369560,139-5,770
SFRM6486,437484,881+1,556
SFRU6435,104426,333+8,771
SFRZ6389,539391,996-2,457
SFRH7247,822251,175-3,353
SFRM7249,767248,858+909
SFRU7192,783188,906+3,877
SFRZ7182,161181,453+708
SFRH8118,157117,093+1,064
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The uptick in most SOFR futures and preliminary OI data points to net long setting in all packs through the blues on Wednesday.

  • Some pockets of net short cover were seen in individual contracts.
  • Fed funds futures were little changed on the day, showing just under 20bp of cuts through the September FOMC ~50bp of cuts through year end.
  • We still believe that a ‘hawkish’ CPI surprise presents the greatest risk to prevailing market positioning, raising the bar for dovish market interpretation of today’s data.
10-Jul-2409-Jul-24Daily OI ChangeDaily OI Change In Packs
SFRM41,203,8501,195,809+8,041Whites+35,546
SFRU41,108,4761,115,158-6,682Reds+7,558
SFRZ41,111,9521,083,103+28,849Greens+4,517
SFRH5836,385831,047+5,338Blues+6,558
SFRM5771,847771,215+632
SFRU5699,139679,877+19,262
SFRZ5837,003843,569-6,566
SFRH6554,369560,139-5,770
SFRM6486,437484,881+1,556
SFRU6435,104426,333+8,771
SFRZ6389,539391,996-2,457
SFRH7247,822251,175-3,353
SFRM7249,767248,858+909
SFRU7192,783188,906+3,877
SFRZ7182,161181,453+708
SFRH8118,157117,093+1,064