HIGHLIGHTS
- Treasuries look to finish moderately weaker, low end of wide range after knee-jerk gap bid followed lower than expected headline CPI inflation measure (0.2% vs 0.3% MoM).
- Core and Supercore CPI still hot despite declining in February - Treasuries quickly reversed course, extended lows in the minutes after the release.
- US$ gained with equities but retreated from highs, Crude and Gold prices firmer after the bell.
- Treasuries look to finish moderately lower - well off early Wednesday's knee-jerk highs after headline CPI inflation data came out lower than expected (0.2% vs. 0.3% est, 0.5% prior).
- Focus quickly turned to Core & Supercore CPI - while lower than expected - remained hot: Core CPI surprisingly eased to 3.12% Y/Y in February (cons 3.2) from what had been a surprisingly strong 3.26% in January.
- Supercore (core services ex-housing) inflation pulled back more than expected on the month although as noted above it was dragged lower by softer than expected airfares and vehicle insurance (for which PPI and not CPI feeds into PCE).
- Tsy June'25 10Y climbed to 111-07 high briefly but retreated to 110-15.5 low in the minutes after CPI, the 10Y contract looks to finish at 110-20.5 (-6.5), above initial technical support at 110-12+/110-00 (Low Mar 6 / High Feb 7).
- Projected rate cuts through mid-2025 continue to recede vs. early morning levels (*) as follows: Mar'25 at -0.2bp (-1bp), May'25 at -8.6bp (-9.4bp), Jun'25 at -24.6bp (-26bp), Jul'25 at -35.2bp (-37.5bp).
- Cross asset: Bbg US$ index whip-sawed post data, finish mildly high at 1266.24 (+.79) vs. 1269.25 post-data high; Crude prices gain (WTI +1.42 at 67.67, Gold higher +15.60 at 2931.50.
SOFR FIXES AND PRIOR SESSION REFERENCE RATES
SOFR Benchmark Settlements:
- 1M -0.00430 to 4.32050 (-0.00171/wk)
- 3M -0.00821 to 4.28877 (-0.00359/wk)
- 6M -0.01713 to 4.16088 (-0.02279/wk)
- 12M -0.02310 to 3.95263 (-0.04670/wk)
US TSYS: Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 4.32% (-0.01), volume: $2.502T
- Broad General Collateral Rate (BGCR): 4.31% (-0.01), volume: $971B
- Tri-Party General Collateral Rate (TCR): 4.31% (-0.01), volume: $947B
- (rate, volume levels reflect prior session)
STIR: FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 4.33% (+0.00), volume: $97B
- Daily Overnight Bank Funding Rate: 4.33% (+0.00), volume: $282B
FED Reverse Repo Operation
RRP usage recedes to $131.055B this afternoon from $137.310B Tuesday. Compares to $58.770B (lowest level since mid-April 2021) on February 14. The number of counterparties at 35.
US SOFR/TREASURY OPTION SUMMARY
Heavy SOFR put volume reported during the NY session, followed sale of over 70,000 Apr'25 put condors late overnight. Treasury option volume less robust, flow paired. Underlying futures weaker, near morning lows while projected rate cuts through mid-2025 continue to recede vs. early morning levels (*) as follows: Mar'25 at -0.2bp (-1bp), May'25 at -8.6bp (-9.4bp), Jun'25 at -24.6bp (-26bp), Jul'25 at -35.2bp (-37.5bp).
SOFR Options:
+8,000 SFRU5/SFRZ5 95.37/95.62/95.87 put fly spread, 0.5 net, Sep over
+7,000 0QU5 97.00/97.50 call spds vs 95.75 puts, 0.25 net call spd over ref 96.465
+2,000 0QM5 96.93/97.43 4x5 call spds vs 95.81 puts, 7.5 net/call spd over ref 96.45
+2,000 SFRM5 95.93 straddles 27.0 ref 95.95
+7,000 SFRM5 95.75/95.87/95.93 put trees, 1.0 ref 95.945
+4,000 SFRZ6 95.00/95.50/96.00 put trees, 1.5 ref 96.42
-5,000 2QM5 96.12/96.37 call spds vs.3QJ5 96.12/96.37 call spd flattener 2.0 net
-5,000 SFRJ5/SFRK5 95.87/95.93 1x2 put spd strip 5.0-4.25 ref 95.94
+10,000 SFRJ5 95.68 puts, 0.25 ref 95.94
-2,500 0QZ5 96.50/97.00 call spds vs 95.25 puts, 10.5 net/c spd, 96.43
-4,000 SFRZ5 95.75/96.25 put spds, 21.0 ref 96.325
+5,000 SFRM5 95.62/95.81/96.00 put tree vs. 96.06/96.31 call spd, 1 net ref 95.95
Block, 5,050 SFRM5 95.81/95.93 2x1 put spds, 1.25
-72,000 SFRJ 95.68/95.75/95.81/95.87 put condors, 1.5 ref 95.995
5,000 SFRJ 95.62/95.68/95.75/95.81 put condors
+10,000 SFRM5 96.00/96.25/96.37/96.50 call condors vs. 95.62/95.75 put spds, 1.75-2.0
+10,000 0QH5 96.31 puts 1.0ref 96.505 (expire Friday)
3,000 SFRZ5 96.50/97.00/97.50 call flys ref 96.385
+5,000 0QJ5 96.00/96.25 2x1 put spds, 3.0 ref 96.53 to -.54
3,000 SFRM5 96.00/96.18/96.37 call flys ref 95.98
6,000 SFRZ5 96.50/96.75 call spds ref 96.385
Treasury Options:
6,000 TYM5 108.5/109.5 put spds, 21 ref 110-23
5,000 USK5 122/126 call spds, 17 ref 116-26
+10,000 TYM5 112.5 calls, 40
-10,000 TYJ5 109.75 puts, 10
+5,000 TYJ5 110.5 straddles, 63 ref 110-19.5
10,000 FVK5 110/112 call spds ref 107-27 to -24
+10,000 TYJ5 110.25/110.75 2x1 put spds, 3-4 ref 110-27.5
3,100 FVM5 109.25/110.5 call spds ref 107-28.25
2,000 TYJ5 109/109.5/110 put trees ref 110-26.5
over 4,400 TYJ5 112.25 calls, 9 ref 110-27
MNI BONDS: EGBs-GILTS CASH CLOSE: Bunds Outperform Gilts, GGBs Lag
Long-end core EGBs outperformed UK counterparts Wednesday, while Greek instruments underperformed peers.
- Global core FI rallied briefly after US CPI came in below-expectations, but the move quickly reversed as the details proved less benign - and Bund and Gilt yields would subsequently hit session highs.
- But they strengthened over the early afternoon as equities pulled back from a nascent rally earlier in the session, with continued concerns over US tariffs/growth weighing.
- Gilts lagged the afternoon rally, leading to underperformance vs Bunds. Both the UK and German curves flattened, with the latter twist flattening.
- Periphery EGBs were mixed, with GGB spreads widening after a surprise Greek dual-tranche syndication announcement.
- In data, the ECB's forward-looking wage tracker saw a small uptick for Q4 2025 negotiated wages (ex one-off payments).
- Thursday's European schedule includes Eurozone industrial production and Italian labour market data, while we hear from several ECB speakers including Rehn, Holzmann, Villeroy and Nagel.
Closing Yields / 10-Yr EGB Spreads To Germany
- Germany: The 2-Yr yield is up 2.6bps at 2.225%, 5-Yr is up 0.3bps at 2.522%, 10-Yr is down 2bps at 2.877%, and 30-Yr is down 2.1bps at 3.166%.
- UK: The 2-Yr yield is up 5.2bps at 4.225%, 5-Yr is up 4.9bps at 4.338%, 10-Yr is up 4.8bps at 4.722%, and 30-Yr is up 4.3bps at 5.326%.
- Italian BTP spread down 0.1bps at 111.6bps Greek up 1.5bps at 81.9bps
MNI EGB OPTIONS: Extremely Active Session For Near-Term Euribor Call Structures
Wednesday's Europe rates/bond options flow included:
- OEJ5 116.5/116/115.5p fly, bought for 9.5 in 5k.
- RXK5 130.50/131.50cs, bought for 13 in 5.5k.
- ERJ5 97.6875/97.62/97.5625p fly, bought for 0.75 in 14.5k Total.
- ERK5 97.50/97.4375, bought for 0.25 in 10k.
- ERM5 97.8125/97.875/97.9375/98.00 call condor, paper pays 0.75 on 5k
- ERM5 97.9375/98.0625 cs, bought for 2.25 in 40k.
- ERM5 97.6878/97.75/97.875c fly, bought for -0.5 in 15k.
- ERM5 97.8125/97.9375/98.0625 call fly, paper pays 1.75 for 8k
- ERM5 97.87/98.00/98.12c fly, sold at 2 in 37k total.
- ERM5 97.87/98.00/98.12/98.25c condor, bought for 2.75 in 8k.
MNI FOREX: US CPI Prompts Short-Term Volatility, Daily Adjustments Contained
- Lower-than-expected US inflation data prints prompted an initial bout of US dollar weakness on Wednesday, with the USD index registering session lows in the immediate aftermath. However, this proved to be short-lived, as feedthrough to the Fed’s preferred PCE reading was seemingly less dovish than the headline readings, and the DXY took little time to fully reverse to the day’s strongest levels.
- A subsequent third swing lower for the greenback leaves the DXY close to unchanged levels as we approach the APAC crossover, with a lot of the action remaining in the equity space as the e-mini S&P 500 future posts a punchy 2.2% daily range.
- The main FX action was in USDJPY, which exhibited a 100 pip range within the short post-data timeframe, initially falling to 148.20 before surging to a high of 149.19, briefly extending the bounce from yesterday’s lows to 1.8%. Technically, a bear cycle remains in play for USDJPY, and that latest recovery appears corrective in nature. Spot has subsequently turned lower, and key short-term resistance remains unchanged further out at 151.30, Mar 3 high.
- A much more contained session for EURUSD, with the pair failing to punch above yesterday’s peak of 1.0947. It is worth noting the pair has completed its recovery to the US election related highs at 1.0937, with the bounce from last week’s lows totalling 5.55%. Given the severity of the moves and technicals now indicating an overbought condition, the potential for a pullback may be growing.
- The Canadian dollar is among the best performers in G10, following the Bank of Canada’s well forecast 25bp cut. The BOC said dangers from a U.S. trade war led it to cut borrowing costs for a seventh consecutive meeting, and expressed caution about further moves as the immediate hit to growth may be followed by unwelcome inflation. USDCAD is down 0.35% at 1.4380 and support to watch lies at 1.4242, the Mar 6 low.
- US PPI and jobless claims headline the economic calendar on Thursday.
MNI FX OPTIONS: Expiries for Mar13 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.0800(E1.3bln), $1.0850-60(E1.5bln), $1.0957(E757mln)
- USD/JPY: Y148.00($1.3bln)
- USD/CAD: C$1.4250($968mln), C$1.4350-65($775mln), C$1.4400-10($825mln)
MNI US STOCKS: Late Equities Roundup: Chip Stocks & Interactive Media Outperforming
- Stocks are holding firmer but off knee-jerk highs reached after this morning's lower than expected headline CPI inflation data. The tech-heavy Nasdaq outperforming in late trade. Currently, the DJIA up up 38.49 points (0.09%) at 41402.61, S&P E-Minis up 43 points (0.77%) at 5614, while Nasdaq climbs 244.6 points (1.4%) at 17690.88.
- Information Technology and Communication Services sector continued to outperform in the second half, chip makers supporting the former with Micron Technology +8.61%, Palantir Technologies +7.38%, Super Micro Computer +6.81%, NVIDIA +6.63% and Oracle +5.49%.
- Interactive media and entertainment shares supported the Communication Services sector with Netflix +2.75%, Meta Platforms +2.36% and Alphabet +1.75%.
- On the flipside, Consumer Staples and Health Care sectors underperformed in early trade, leading laggers in Consumer Staples included Brown-Forman -5.22%, Target -4.25%, Dollar General -4.06% and Hershey -3.79%.
- Meanwhile, pharmaceuticals and services shares weighed on the Health Care sector: Regeneron Pharmaceuticals -3.88%, Bristol-Myers Squibb -2.15%, West Pharmaceutical Services -1.84% and Biogen -1.75%.
MNI EQUITY TECHS: E-MINI S&P: (H5) Has Entered Oversold Territory
- RES 4: 6178.75 High Dec 6 ‘24 and key resistance
- RES 3: 6166.50 High Jan 19
- RES 2: 5963.30 50-day EMA
- RES 1: 5757.75/5880.10 High Mar 10 / 20-day EMA
- PRICE: 4618.50 @ 13:47 GMT Mar 13
- SUP 1: 5534.00 Low Mar 11
- SUP 2: 5523.00 Low Sep 11 2024
- SUP 3: 5499.25 Low Sep 9 2024
- SUP 4: 5444.55 76.4% retracement of the Aug 5 - Dec 6 ‘24 bull leg
A bear threat in S&P E-Minis remains present and fresh cycle lows this week reinforce current conditions. MA studies are in a bear-mode set-up and this highlights a dominant downtrend and bearish market sentiment. Sights are set on the next important support at 5499.25, the Sep 9 2024 low. Note that the short-term trend condition is oversold, a corrective bounce would allow this set-up to unwind. Firm resistance to watch is 5963.30, the 50-day EMA.
MNI COMMODITIES: Crude Rises, Gold Trend Condition Remains Bullish
- Crude is higher on the day but remains within the weekly range and well down from Feb levels. Traders remain bearish, driven by concerns around global demand, centered around the US and China, coupled with rising OPEC+ output from April.
- WTI Apr 25 is up by 2.1% at $67.7/bbl.
- OPEC has kept its 2025 world oil demand growth forecast stable at 1.45m b/d for 2025, according to their March Monthly Oil Market Report.
- A bearish trend condition in WTI futures remains intact, with initial support at $65.22, the Mar 5 low. Key short-term pivot resistance is seen at $70.10, the 50-day EMA.
- Meanwhile, Henry Hub has fallen sharply, as steady underlying fundamentals and the absence of any late season cold shots in the forecast have traders exiting bullish positions, pushing prices lower.
- US Natgas Apr 25 is down by 8.3% at $4.08/mmbtu.
- Spot gold has risen by 0.6% to $2,935/oz, bringing the yellow metal to its highest level since Feb 25.
- The trend condition in gold remains bullish, with attention of on $2962.2, a Fibonacci projection.
- Elsewhere, copper has rallied by a further 1.8% to $485/lb. The red metal hit a new 10-month high around $490 earlier in the session, narrowing the gap on $500 round number resistance.
- Goldman Sachs forecasts a surge in US copper imports soon, driven by expectations of tariffs from the US administration.
THURSDAY DATA CALENDAR
| Date | GMT/Local | Impact | Country | Event |
| 13/03/2025 | 0700/0800 | *** |  SE | Inflation Report |
| 13/03/2025 | 0950/1050 |  EU | de Guindos in fireside chat at EIOPA Sustainable Finance Conference | |
| 13/03/2025 | 1000/1100 | ** | EU | Industrial Production |
| 13/03/2025 | 1230/0830 | * |  CA | Building Permits |
| 13/03/2025 | 1230/0830 | * | CA | Household debt-to-income |
| 13/03/2025 | 1230/0830 | *** |  US | Jobless Claims |
| 13/03/2025 | 1230/0830 | ** | US | WASDE Weekly Import/Export |
| 13/03/2025 | 1230/0830 | *** | US | PPI |
| 13/03/2025 | 1400/1000 | * | US | Services Revenues |
| 13/03/2025 | 1430/1030 | ** | US | Natural Gas Stocks |
| 13/03/2025 | 1530/1130 | ** | US | US Bill 04 Week Treasury Auction Result |
| 13/03/2025 | 1530/1130 | * | US | US Bill 08 Week Treasury Auction Result |
| 13/03/2025 | 1700/1300 | *** | US | US Treasury Auction Result for 30 Year Bond |