EMFX really popping off these days… now it’s Romanias turns. EURRON breaking through the long held 5.00 level and marching higher fast. Fast money and macro all over this pushing.. let’s see the response.

USDHKD forwards are now trading at the biggest “discount” to the bottom of the HKMAs band at 7.75… the last time we traded firmly below was late 2004 as the market prepared for the depegging/free floating of USDCNY from 8.28 in 2005. For the brave , this is free money.

The NBR has sold ~7bn EUR in the past few days (more than 10% of their reserves) trying to slow this EURRON. Much like w Turkey, liquidity is being drained fast and implieds are starting to spike aggressively. 1m to 15% and 1y to 10% still seem achievable. Chart 1month Implieds.

Interestingly various fwd $ rate tenors traded to new cycle wides today (chart 15y10y).. with growth not cracking & fiscal the next story, it doesn’t feel like it’ll be long till we see the same in the spot tenors. 30y UST cycle wides of 5.175 the first stop.

10y Bunds have tried and failed multiple times at the 2.40/50 area… the market has hidden in European FI for the past month as US/JN yields have been volatile… now this positioning is caught offside as we break higher. Still don’t understand why people want bonds, anywhere.

DXY vs 2yr rate differentials… quite literally every soul on the planet is short USD … this won’t end well will it ?

Polymarket odds of recessions Vs SOFR implied probability of 4cuts in 2025 (my rough market implied measure).. notable divergence last few days as the market shifts weight of importance away from labour market/growth and back towards CPI. 15July CPI print gaining event vol.

Epic move in JPY rates to start the week. Ultra long fwds (20y10y here) exploding in the bear steepening move.. up 25bps this mng, and 50bps in July. How long till the BoJ realise they will need to hike to help address this disease in the long end?

Even more remarkable for JPY rates is the cross market look at ultra long end yields.. this time in cash tho… JGB long end (30y10y) firmly the highest across G4 at 5.7%(!!). Much of it coming from the almost EM level of ASW (220bps) in the back end

Continuing on the bullish China theme: - USDCNY fixing starting to trend lower - Growth impulse still looking good into 2026. - better sounds Trump/Xi..setting up for a meeting in the fall (?) - onshore USD fx position close to all time highs. Onshore puke inbound? 6 handle?

Duration is Diseased : What can stop the rot? Long term yields, and curves, have gone one way all year. And for good reasons. In this blog post I look at the drivers of Term premium across EUR, GBP, USD and JPY rates and whether it continues. Thanks jwsmacro.substack.com/p/duration-is-…

1 week later, and it seems the flattener has now become the consensus fast money position. Timed this one well… $ 5s30s back below 60, and this morning EUR 10s30s begins the fast money hot potato game, and sees fairly aggressive flattening / stops.