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5Y Put Vertical


Tsys Remain Weaker


10Y Vol Buyer


EURPLN Remains In Bear Mode

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US TSY SUMMARY: Nothing New From Fed Powell

Tsy yields surged to week high of 1.5536% (compared to 1.6085% high last Thu) while Fed Chair held the normal Fed line: keeping longer run inflation expectations anchored AT 2%, a transient increase in inflation will no effect inflation over longer periods.
  • Tsy futures see-sawed near lows after the virtual Fed Chair Powell event, no bounce as market priced out any hopes of Twist 3.0 that some had hoped would be mentioned before the Fed goes into Blackout at midnight Friday.
  • Jun 10Y futures slipped to 132-11.5 low, still trading within the body of price action from Feb 25. In candle terms the pattern on this day is a bearish standard line - a continuation pattern. Attention on 131-31, Feb 25 low.
  • Not much of an initial react to weekly claims that climbed 9k to 745k, focus on Friday's Feb NFP, +195k mean on wide range of estimates. But a strong bounce after weak Jan gain of +49k will most likely exacerbate the surge in yields.
  • Flow included moderate two-way across curve pre-Powell, better prop and fast$ selling emerged as Fed Powell did not lend credence to Twist 3.0, SLR extension or any other measure ahead of Fed blackout late Friday. Large Red Sep/Dec Spread >80,000 EDU2/EDZ2 spds sold 0.110-0.105. Moderate deal-tied hedging. 10Y Repo fail likely rebound after Tsy annc $120B 3-, 10- 30Y auctions next week.
  • The 2-Yr yield is up 0.2bps at 0.1427%, 5-Yr is up 4.2bps at 0.7736%, 10-Yr is up 6.2bps at 1.5432%, and 30-Yr is up 2.3bps at 2.2989%.

US TSY: Short Term Rates

US DOLLAR LIBOR: Latest settles:

  • O/N -0.00037 at 0.07813% (-0.00587/wk)
  • 1 Month +0.00050 to 0.10350% (-0.01500/wk)
  • 3 Month -0.01825 to 0.17550% (-0.01288/wk) ** (Just above Record Low of 0.17525% on 2/19/21)
  • 6 Month -0.00775 to 0.20325% (+0.00025/wk)
  • 1 Year +0.00175 to 0.28375% (+0.00000/wk)
STIR: FRBNY EFFR for prior session:
  • Daily Effective Fed Funds Rate: 0.07% volume: $68B
  • Daily Overnight Bank Funding Rate: 0.07%, volume: $215B
US TSYS: Repo Reference Rates
  • Secured Overnight Financing Rate (SOFR): 0.04%, $897B
  • Broad General Collateral Rate (BGCR): 0.03%, $374B
  • Tri-Party General Collateral Rate (TGCR): 0.03%, $342B
  • (rate, volume levels reflect prior session)
FED: NY Fed Operational Purchase
  • Tsy 20Y-30Y, $1.734B accepted vs. $5.426B submission
  • Next scheduled purchase:
  • Fri 3/5 1100-1120ET: Tsy 2.25Y-4.5Y, appr $8.825B

US TSYS/OVERNIGHT REPO: Repo Specials/Fails Across Board

Overnight repo at special across the curve -- 10s remain at fail after falling to -4.0% Wednesday. Currently, T-Bills: 1M 0.0253%, 3M 0.0330%, 6M 0.0558%;

Tsy General O/N Coll. 0.05%.

DurationCurrentOld Issue

One desk posits current specials/fails "will be alleviated soon with this morning's $120B refunding announcement which will include $38B re-opened 10yrs."
Bloomberg cited large (-ish) consolidation from Japanese funds for "repo rout" in the first place: "Japanese funds sold a record $34 billion of foreign bonds in the two weeks ended Feb. 26 as the nation's fiscal year-end in March approaches, enough to cause reverberations in U.S. repurchase markets for 10-year" Tsys


Eurodollar Options:
  • -10,000 Blue Dec 76/81 put spds 11.0 vs. 98.39/0.20%
  • +10,000 short Jul 95/96/97 2x3x1 put flys, 1.25
  • over 5,000 Jun 100.06/short Sep 100 call spds
  • +5,000 Blue Apr 82/83/86 broken put flys, 4.75
  • -5,000 Red Jun 95 puts, 4.5
  • -10,000 Green Dec 92/93 put spds, 8.25
  • +5,000 Green Jun 99.187/99.312/99.437 put flys, 1.5

Treasury Options:
  • +7,500 TYK 130.5 puts, 25-27
  • -3,000 FVK 123 puts, 13.5
  • +10,000 TYM 130/132 put spds, 35
  • 2,000 TYM 137.5 calls, 7
  • 1,500 TYJ 132 puts, 21
  • -2,000 FVM 123 puts, 18
  • over 5,000 TYJ/TYK 135 call spds, 11
  • 2,000 FVJ 124.5/124.75/125 call trees
  • +5,000 TYJ 136 calls, 2
  • 2,500 TYM 130.5/132 put spds, 24
  • +2,300 wk1 TY 132 puts, 3
  • total -5,200 FVK 123 puts, 12-12.5
  • Overnight trade
  • -3,000 FVK 123 puts, 12.5 (buyer Wed from 12-15)
  • +2,300 TYM 135.5 calls, 22
  • 3,000 USK 154 puts, 45-51


A reasonably quiet cash session Thursday, with market participants focused on an appearance by Fed Chair Powell after the close.

  • The UK long end continued to outperform strongly as the session went on, 5s30s returning to the lows of Tues after some steepening Weds.
  • BTP spreads widened throughout the session; Democrats party leader Zingarelli announced his resignation this afternoon.

Closing yields/10-Yr Spreads to Bunds:

  • Germany: The 2-Yr yield is down 0.7bps at -0.686%, 5-Yr is down 1.6bps at -0.62%, 10-Yr is down 2.3bps at -0.311%, and 30-Yr is down 1.8bps at 0.202%.
  • UK: The 2-Yr yield is down 0.9bps at 0.08%, 5-Yr is down 2.4bps at 0.342%, 10-Yr is down 4.8bps at 0.731%, and 30-Yr is down 5.7bps at 1.283%.
  • Italian BTP spread up 0.8bps at 105.1bps / Spanish spread up 1.2bps at 69bps

OPTIONS/EUROPE SUMMARY: Light Flow, Bund Structures Feature

Thursday's options flow included:

  • RXJ1 170p, sold at 34 in 5k
  • RXJ1 172.00/173.50 1x2 call spread bought for 27 in 1.25k
  • RXK1 170/166.50ps vs 174c, bought for 26.5 in 5k
  • 3RZ1 100.125/99.875 put spread vs 100.375/100.50 call spread, pays 1.5 for the ps in 9.6k
  • 0LH1 99.87/99.75 RR, sold the call at 0.25 in 7.5k (ref 99.825)
  • 0LZ1 99.75/99.87/100.00c fly, bought for 2.5 in 25k

COMMODITIES: Greenback Strength Pervades as Powell Drops No Dovish Hints

  • Markets largely consolidated ahead of the main event of the day - a pre-blackout period appearance from Fed Chair Powell - who stopped short of market expectations for a dovish hint on future policy.
  • By not hinting of further accommodation at March's meeting, Powell boosted Treasury yields and the greenback, prompting a rally to one-mwonth highs for the USD index.
  • This worked against most major pairs, pressuring EUR/USD through 1.20 and GBP/USD over 100 pips off the session's best levels.
  • Equities spiralled on Powell's neutral and defensive approach to policy, taking the wind out of the sails of commodity-tied and growth proxy FX, prompting AUD/USD to re-circle the week's lowest levels. USD/JPY was the main beneficiary, extending the streak of higher highs to eight consecutive sessions.
  • Focus Friday rests on the February jobs report, with the US expected to have added 195k jobs on the month. The unemployment rate is forecast unchanged at 6.3%.

FX OPTIONS: Expiries for Mar05 NY cut 1000ET (Source DTCC)

  • EUR/USD: $1.1727(E1.1bln), $1.1900(E513mln), $1.2000(E734mln), $1.2050-55(E627mln), $1.2100(E647mln)
  • USD/JPY: Y104.00-20($591mln), Y105.00-10($948mln), Y105.40-60($1.7bln), Y106.40-60($2.0bln-USD puts), Y107.00-05($1.1bln), Y107.24-25($691mln)
  • GBP/USD: $1.3995-00(Gbp650mln), $1.4080-00(Gbp517mln)
  • EUR/GBP: Gbp0.8600(E670mln)
  • AUD/USD: $0.7450(A$671mln), $0.7900(A$682mln)
  • USD/CAD: C$1.2500-20($1.0bln), C$1.2620($1.1bln), C$1.2640-55($540mln)

PIPELINE: Atmos Energy Edges Past Nissan

  • Date $MM Issuer (Priced *, Launch #)
  • 03/04 $2.2B #Atmos Energy $1.1B 2NC.5 +48, $1.1B 2NC.5 FRN L+38
  • 03/04 $2B #Nissan Motor $300M 3Y +75, $300M 3Y FRN L+64, $800M 5Y +125, $600M 7Y +155
  • 03/04 $2B #Lloyds $1B 3NC2 +55, $1B 6NC5 +85
  • 03/04 $1B #Entergy Louisiana $500M 11Y +85, $00M 20Y +95
  • 03/04 $1B *Swedish Export 3Y +4
  • 03/04 $900M LPL Holdings 8NC3
  • 03/04 $800M PerkinElmer 10Y+130a, 30Y +155a
  • 03/04 $500M #MassMutual 10Y +63
  • 03/04 $2.5B Energean Israel 3NC 4.75%, 5NC 5.12%, 7NC 5.62%, 10NC +6% investor call

EQUITIES: Stocks Spiral as S&P Chews Through Support

A neutral and defensive approach from the Fed Chair Powell in an appearance with the WSJ sent risk sentiment spiralling into the close as the Fed Chair declined to drop any heavy hints on further policy support to combat recent volatility in bond yields.

  • Equities were sold while Treasury yields shot higher, with the show above 1.5% enough to unsettle equity bulls. The e-mini S&P slipped through the 50-dma and 3685 to open 3727.95 which marks the next downside level.
  • Consumer discretionary and tech names were hit hardest, with energy the sole sector in the green as further buoyancy in oil prices on renewed production curbs at OPEC+ pushed WTI to new cycle highs.
  • In Europe, UK indices underperformed, while Spain's IBEX-35 and the Italian FTSE-MIB traded well.

COMMODITIES: Opec+ Inaction Prompts Crude Oil Price Surge, Copper Plummets 6%

  • Oil spiked more than 5% on Thursday to the highest in over a year, after OPEC and its allies agreed to keep production unchanged into April. WTI futures, after hitting lows of $60.56 during the European morning, surged to just shy of the psychological $65, the highest level since January 2020. Saudi Oil minster commenting that there is "no hurry to bring back its 1 million B/P/D cut", kept futures buoyed, hovering around 1% below their best levels as of writing, despite the sharp fade in risk.
  • Copper futures had a very volatile session. After breaking back below 400 and then recovering during the European session, the late spike in the USD prompted a further plummet, totalling 6.5% on the day, as of writing.
  • As US 10-yr yields rose above 1.54%, risk-off sentiment bolstered the US dollar and with it, saw precious metals decline. Spot gold lost 1.2%, however, silver took a 3.5% nose-dive.
MNI Chicago Bureau | +1 312-431-0089 |
MNI Chicago Bureau | +1 312-431-0089 |

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