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Rate Cut Speculation Alive and Well

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  • Interesting day on net - Short end rates pared losses in late trade, after a WSJ article rekindled hope over a debatable 50bp rate cut at next week's FOMC meeting. Short end SOFR futures gapped higher (SFRU4 +.0425 at 95.095).
  • Still off early week highs projected rate hikes have drifted off morning lows (*) : Sep'24 cumulative -31.5bp (-29.4bp), Nov'24 cumulative -68.6bp (-65.9bp), Dec'24 -107.5bp (-104.5bp).
  • Earlier, Treasuries showed little reaction to expected ECB deposit rate cut, drawing brief two way flow as futures hold inside narrow overnight range.
  • Fast two-way trade reported as Treasury futures gapped higher (TYZ4 to 115-17.5, +7) then quickly reverse to mildly lower pre-data levels following latest PPI data w/down-revisions to prior, weekly claims slightly higher than expected: 230k (sa, cons 227k) in the week to Sep 7 after a marginally upward revised 228k (initial 227k).
  • Treasury futures drifted near lows (USZ4 126-04, -21) after the $22B 30Y auction re-open (912810UC0) tails slightly: 4.015% high yield vs. 4.000% WI; 2.38x bid-to-cover vs. 2.31x in the prior month.
  • Focus turns to Friday's Import/Export prices data and UofM Inflation Expectations.
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  • Interesting day on net - Short end rates pared losses in late trade, after a WSJ article rekindled hope over a debatable 50bp rate cut at next week's FOMC meeting. Short end SOFR futures gapped higher (SFRU4 +.0425 at 95.095).
  • Still off early week highs projected rate hikes have drifted off morning lows (*) : Sep'24 cumulative -31.5bp (-29.4bp), Nov'24 cumulative -68.6bp (-65.9bp), Dec'24 -107.5bp (-104.5bp).
  • Earlier, Treasuries showed little reaction to expected ECB deposit rate cut, drawing brief two way flow as futures hold inside narrow overnight range.
  • Fast two-way trade reported as Treasury futures gapped higher (TYZ4 to 115-17.5, +7) then quickly reverse to mildly lower pre-data levels following latest PPI data w/down-revisions to prior, weekly claims slightly higher than expected: 230k (sa, cons 227k) in the week to Sep 7 after a marginally upward revised 228k (initial 227k).
  • Treasury futures drifted near lows (USZ4 126-04, -21) after the $22B 30Y auction re-open (912810UC0) tails slightly: 4.015% high yield vs. 4.000% WI; 2.38x bid-to-cover vs. 2.31x in the prior month.
  • Focus turns to Friday's Import/Export prices data and UofM Inflation Expectations.