MNI BRIEF: US CRE, Consumer Loan Delinquencies Rising -Fed

CANADA APR JOBS +90.4K VS FORECAST +15K, PRIOR -2.2K

MNI: Canada Has Biggest Job Gain Since Jan 2023, Wages Slow

MNI BRIEF: Brazil IPCA Inflation Decelerates to 3.69% in April

MNI BRIEF: CNB Concern At Upside Risk, April Minutes Show

MNI China Daily Summary: Friday, May 10

EZ/UK Bond Supply Calendar: Short APF Sales Due Monday

ECB Negotiated Wage Tracker Expected To Show Deceleration In Q1

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

MNI BRIEF: Poilievre Calls QE 'Scam' And Would Limit BOC Remit

MNI: Growth Drag From Net Zero Carbon Goal Can Be Offset-OECD

© 1982-2023 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

Pre-FOMC Positioning Overview; Futures Short, Cash More Neutral

US TSYS
Bond Market NewsHomepagemarkets-real-timeBulletMarketsFixed Income Bullets

Various measures point to stretched short Tsy futures positioning ahead of today’s FOMC.

  • Hedge fund net shorts in TU futures sit at record levels, per last week’s CFTC data.
  • Net non-commercial futures positioning is short across the curve, to varying degrees.
  • 2-Year yields closed above 5.00% on Tuesday, registering a fresh ’24 peak after the ECI data triggered the latest round of hawkish Fed repricing.
  • Elsewhere, various CTA signals sit in maximum short territory for Tsys.
  • However, there are some more balanced positioning measures out there, J.P.Morgan’s latest Tsy client survey saw active investors cover their shorts last week, with elevated neutral readings seen in both the active and total client surveys.
  • Some of the divergence in futures and cash positioning indicators can be attributed to basis trades, but not all of it.
  • Given the above set up and Friday’s example provided by the monthly PCE data (when notable short cover was seemingly triggered by a slightly dovish data outcome) any dovish surprises from Powell could have a pronounced market impact.
  • Still, we note that recent rhetoric from Fed leadership and the evolution of the economic data lower the odds of a truly dovish outcome.
  • Furthermore, the apparent largely neutral positioning in cash Tsys means that there is seemingly ample space for shorts to be added if the outcome warrants it.
  • QT taper discussions present another potential focal point.
  • Overall, Powell is expected to tilt more cautious on the inflation outlook than in previous appearances.
  • Click for our full preview of the event. https://roar-assets-auto.rbl.ms/files/62377/FedPrevMay2024%20-%20Updated%20With%20Analysts.pdf
254 words

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.

Various measures point to stretched short Tsy futures positioning ahead of today’s FOMC.

  • Hedge fund net shorts in TU futures sit at record levels, per last week’s CFTC data.
  • Net non-commercial futures positioning is short across the curve, to varying degrees.
  • 2-Year yields closed above 5.00% on Tuesday, registering a fresh ’24 peak after the ECI data triggered the latest round of hawkish Fed repricing.
  • Elsewhere, various CTA signals sit in maximum short territory for Tsys.
  • However, there are some more balanced positioning measures out there, J.P.Morgan’s latest Tsy client survey saw active investors cover their shorts last week, with elevated neutral readings seen in both the active and total client surveys.
  • Some of the divergence in futures and cash positioning indicators can be attributed to basis trades, but not all of it.
  • Given the above set up and Friday’s example provided by the monthly PCE data (when notable short cover was seemingly triggered by a slightly dovish data outcome) any dovish surprises from Powell could have a pronounced market impact.
  • Still, we note that recent rhetoric from Fed leadership and the evolution of the economic data lower the odds of a truly dovish outcome.
  • Furthermore, the apparent largely neutral positioning in cash Tsys means that there is seemingly ample space for shorts to be added if the outcome warrants it.
  • QT taper discussions present another potential focal point.
  • Overall, Powell is expected to tilt more cautious on the inflation outlook than in previous appearances.
  • Click for our full preview of the event. https://roar-assets-auto.rbl.ms/files/62377/FedPrevMay2024%20-%20Updated%20With%20Analysts.pdf