News and insights from @CMEGroup's leading interest rate derivatives marketplace.
Joined May 2023
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📣 Attn STIR traders and SERFF enjoyers!
Finer tick granularity is coming to SOFR-Fed Funds (SERFF) spreads.
Beginning next Monday, June 15, SR1-ZQ spreads will trade in 0.25 increments across all contract months.
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Leveraged Funds extend record net short position in #SOFR (SR3) futures, with fourth-largest weekly gain in shorts on record.
Chart via @QuikStrike1
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CME Group Interest Rates retweeted
The highly anticipated May Nonfarm Payrolls report drops tomorrow.
Will it hit the 100,000 mark?
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Open interest in #Credit futures crosses $2 billion notional, having tripled in three months.
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Treasury volatility is higher across the curve following ISM data. Skew and convexity are rising ahead of key jobs report.
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Asset managers have built their largest net short position in Fed Funds futures since early 2023, a year that saw the Fed hike four times.
Chart via @quikstrike1
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The Warsh era begins with key growth data and EU inflation reports:
Mon: Memorial Day 🇺🇸 (U.S. Markets Closed)
Tue: Auctions: T-Bills ($166B) & 2-Yr ($69B)
Wed: 5-Yr Auction ($70B)
Thu: U.S. GDP Growth, PCE & Personal Income, 7-Yr Auction ($44B)
Fri: Inflation (🇮🇹, 🇩🇪, 🇫🇷)
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#SOFR M6M7 spread hits 40 bps.
The spread between Jun26 and Jun27 SOFR futures has risen over 92 bps since late Feb, as inflation concerns have fueled a dramatic shift in market expectations from cuts to hikes.
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After a hot CPI reading in the U.S., inflation reports go global this week
Mon: T-Bill Auctions ($166B)
Tue: Canada Inflation, Japan GDP Growth
Wed: UK Inflation, 20-Yr Auction ($16B), FOMC Minutes
Thu: Philly Fed, 10-Yr TIPS Auction ($19B)
Fri: Japan Inflation
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Higher for longer, visualized.
In the past month, SR3 traders have moved from targeting cuts to positioning for more elevated rates well into 2027.
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The Treasury roll is off to a fast start - TY positions are rolling at their fastest pace in the last 20 quarters.
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After a strong jobs report, markets pivot to funding and inflation.
Mon: Auctions: T-Bills ($166B) & 3-Yr ($58B)
Tue: Auctions: 52-Wk ($50B) & 10-Yr ($42B), CPI
Wed: 30-Yr Auction ($25B), PPI
Thu: Retail Sales
Fri: Industrial Production
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Jun26 SOFR-Fed Funds spread reaches parity on record volume.
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#SOFR M6M7 spread, 12bps today, has gained over 70bps since Feb 27.
SR3M7, the tail wagging the spread, reflects a 91bp increase in expected SOFR over that period.
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Jobs week jitters ahead for markets:
🔹Mon: T-Bill Auctions ($166B)
🔹Tue: Aussie Rate Decision, ISM Services, JOLTS
🔹Wed: EIA Crude Stocks Change
🔹Thu: Challenger Job Cuts
🔹Fri: Non-Farm Payrolls, Michigan Consumer Sentiment
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Prediction markets are pricing in a print above 50K for Friday's report with an outside shot chance of a 100K number.
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