MNI China Daily Summary: Wednesday, Sept 11

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CHINA PBOC CONDUCTS CNY210 BLN VIA 7-DAY REVERSE REPOS WEDS

CHINA SETS YUAN CENTRAL PARITY AT 7.1182 WEDS VS 7.1136

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MNI: US MBA: MARKET COMPOSITE +1.4% SA THRU SEP 06 WK

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US TSYS: /STIR: Market Positioning Feels Long Into CPI

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Positioning in both Tsy and SOFR futures remains long, leaving the risk to market positioning being titled towards a ‘hawkish’ round of CPI data.

  • SOFR options activity further corroborates this view.
  • While Friday’s NFP data drove some profit taking in both the Tsy and SOFR markets, longs have started to rebuild this week.
  • Elsewhere, it is also worth noting that the latest J.P.Morgan Tsy client survey points to an uptick in cash Tsy longs
  • Finally, market pricing continues to look aggressive when compared to recent Fedspeak and our DC policy team’s work, which has generally pointed to a preference for a more gradualist approach.
  • 32bp of cuts are priced for next week’s FOMC, with just under 115bp of cuts priced through year end.
  • Our full CPI preview can be found here.
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Positioning in both Tsy and SOFR futures remains long, leaving the risk to market positioning being titled towards a ‘hawkish’ round of CPI data.

  • SOFR options activity further corroborates this view.
  • While Friday’s NFP data drove some profit taking in both the Tsy and SOFR markets, longs have started to rebuild this week.
  • Elsewhere, it is also worth noting that the latest J.P.Morgan Tsy client survey points to an uptick in cash Tsy longs
  • Finally, market pricing continues to look aggressive when compared to recent Fedspeak and our DC policy team’s work, which has generally pointed to a preference for a more gradualist approach.
  • 32bp of cuts are priced for next week’s FOMC, with just under 115bp of cuts priced through year end.
  • Our full CPI preview can be found here.