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
The Warsh era begins with key growth data and EU inflation reports:
Mon: Memorial Day ๐บ๐ธ (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 (๐ฎ๐น, ๐ฉ๐ช, ๐ซ๐ท)
#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.
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
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
#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.
๐บ๐ธ Credit futures attracting institutional flows.
Open interest just surpassed 15,000 contracts (~$1.65B), driven by deep screen liquidity and record-sized block trading in High Yield futures.