MNI ASIA MARKETS ANALYSIS: Durable Goods Orders Decline

HIGHLIGHTS

• MNI: Fed's Jefferson says raising 2% inflation goal could hurt Fed, Bbg
• MNI: UKRAINE: US' Yellen In Kyiv-'Severe Consequences' For China If It Arms Russia
• UK, EU REACH DEAL TO END BREXIT DISPUTE OVER NORTHERN IRELAND, Bbg
• ECB VUJCIC: AS LONG AS CORE INFLATION PERSISTS, WE MUST PERSEVERE, Bbg
• MORGAN STANLEY EXPECTS U.S. FED TO DELIVER FIRST INTEREST RATE CUT IN MARCH 2024 VS PREVIOUS FORECAST OF DECEMBER 2023 - Reuters

US TSYS: Tsy 2s Off Contract Lows

Tsy futures continue to bob around session highs after the bell, holding narrow range since rates bounced post Durables/Cap-Goods. Heavy spate of corporate debt issuance (over $19B over 17 names) provided two way hedging across the curve.
FI markets gained

• Rates gained earlier after larger drop in Jan durables new orders (-4.5% vs. -4.0%; Dec revised +5.1%) then scaled back from session highs following Pending Home Sales read for Jan at 82.5 up from 76.3 in Dec, +8.1 MoM well over 1.0% estimate. Futures reluctant to recede very far from session highs, however, 30YY 3.9097% (-.0194). Some technical buying in the mix as rates move off contract lows (TUH3 101-17.75 vs. 101-22.38 last).
• STIR: Fed funds implied hike for Mar'23 at 29.8bp, May'23 cumulative 55.8bp (-1.4) to 5.138%, Jun'23 73.2bp (-1.9) to 5.312%, terminal at 5.395-5.400 in Aug'23-Oct'23 (5.41-5.415% prior).
• Tuesday focus: Adv Goods, Wholesale Inv and MNI Chicago PMI.

SHORT TERM RATES

US DOLLAR LIBOR: Latest settlements:

• O/N -0.00528 to 4.55643% (+0.00485 total last wk)
• 1M +0.02714 to 4.66200% (+0.04357 total last wk)
• 3M +0.00900 to 4.96243% (+0.03814 total last wk)*/**
• 6M +0.03600 to 5.27114% (-0.00786 total last wk)
• 12M +0.05272 to 5.69143% (-0.00415 total last wk)
• * Record Low 0.11413% on 9/12/21; ** New 16Y high: 4.96243% on 2/27/23

• Daily Effective Fed Funds Rate: 4.58% volume: $109B
• Daily Overnight Bank Funding Rate: 4.57% volume: $298B

• Secured Overnight Financing Rate (SOFR): 4.55%, $1.122T
• Broad General Collateral Rate (BGCR): 4.51%, $456B
• Tri-Party General Collateral Rate (TGCR): 4.51%, $442B
• (rate, volume levels reflect prior session)

FED Reverse Repo Operation

NY Fed reverse repo usage slips to $2,162.435B w/ 110 counterparties vs. prior session's $2,142.141B. Compares to Friday, Dec 30 record/year-end high of $2,553.716B (prior record high was $2,425.910B on Friday, September 30.

EURODOLLAR/SOFR/TREASURY OPTIONS SUMMARY

• SOFR Options:
  • Block, 7,500 SFRZ3 94.25/95.25 strangles, 31.5 ref 94.75
  • Block, 5,000 OQJ3 95.25/95.37 put spds, 0.5 ref 95.475
  • Block/pit, +9,000 2QH3/2QJ3 96.25 put, 6.5 apr over
  • Block/pit, +20,000 SFRK3 94.37/94.50 put spds, 2.5 ref 94.645
  • Block, 3,000 SFRZ3 94.75/95.12/95.50 4x9x5 put flys
  • Block, 3,750 SFRU3 94.75/94.87/95.00 put flys on 4x9x5 ratio
  • 12,000 OQJ3 95.37/95.62 put strip vs. 6,000 95.75/96.00 put strip
  • Block, 15,000 OQM3 94.50/94.87/95.50 broken put flys, 17.5
  • Block, 6,000 2QH3 96.50 puts, 25.5 ref 96.28
  • over 3,900 SFRU3 95.00 calls, 8.5 ref 94.575
  • 5,000 SFRU3 94.50/94.75/94.87/95.00 broken put condors ref 94.605
  • Block, 10,000 OQM3 94.75/95.00/95.25 put flys, 3.0 vs. 95.43/0.10%
  • Block, 10,000 OQU3 93.50/94.00/94.50 put flys, 2.5 vs. 95.775/0.05%
• Treasury Options:
  • +15,000 TYJ3/wk1 TY 112.5 call spds, 24 vs. 111-10
  • -8,000 FVJ3 105.75/108.25 put over risk reversals, 8.5 vs. 106-24
  • over 3,800 FVJ 106 puts, 20.5
  • 7,700 TYJ3 111.5/112.75 call spds vs. 110.25 puts, 1

FOREX: USD Downtick Puts Cumulative Volumes Ahead of Average For This Time of Day

• Dollar downdraft extends in recent trade, with both EUR/USD and GBP/USD hitting the session's best levels ahead of the London close. Comments from Fed's Jefferson do little to reverse the daily trend.
• Volumes picking up slightly on the latest move higher in USD pairs - EUR/USD futures saw just shy of 3,000 contracts change highs at the session high - that's a cash equivalent of approx $385mln.
• Latest bump higher in volumes puts today's activity ahead of average for this time of day. Cumulative volumes are now just over 10% ahead of average for this time of day.

Expiries for Feb28 NY cut 1000ET (Source DTCC)

• EUR/USD: $1.0500(E1.3bln), $1.0520-30(E656mln), $1.0625-35(E559mln)
• USD/JPY: Y134.50-60($600mln), Y136.00($592mln), Y137.50($850mln)
• GBP/USD: $1.1850(Gbp854mln)
• AUD/USD: $0.7000-05(A$1.1bln)
• USD/CAD: C$1.3250($830mln), C$1.3415-25($650mln)

Late Equity Roundup: Consumer Discretionary, Industrials Outperform

Stocks firmer by the bell, back near opening levels, Consumer Discretionary and Industrials sectors still outperforming. SPX eminis currently trading +13 (0.33%) at 3989; DJIA +78.17 (0.24%) at 32896.3; Nasdaq +73.1 (0.6%) at 11468.76.

• SPX leading/lagging sectors: Consumer Discretionary (+1.20%) buoyed by automakers and component mfgs (TSLA +5.65%, F +2.02%, GM +0.43%; APTV +1.57%, BWA +0.86%). Industrials (+1.29) lead by road and rail shares (UNP +9.41, ODFL +1.1%).
• Laggers: Utilities (-0.55%), Real Estate (-0.17%) and Consumer Staples (-0.14%) underperformed in the second half, independent power and renewable energy shares weighing on the former (AES Corp -2.3%).
• Dow Industrials Leaders/Laggers: Caterpillar (CAT) +3.93 at 240.10, Boeing (BA) +2.52 to 200.67 after heavy sell-off last Fri, Goldman Sachs (GS) +2.43 at 366.28. Laggers: Walmart (WMT) -1.08 at 141.39, DOW -0.95 at 56.84, American Express (AXP) -0.61at 173.64.
• Earnings cycle starts to wind down next week, Occidental Petroleum after Mon's close (OXY 1.79 est), Advanced Auto Parts (AAP $2.42) and AutoZone (AZO $21.74) early Tuesday.

COMMODITIES

• WTI Crude Oil (front-month) down $0.67 (-0.88%) at $75.61
• Gold is up $5.75 (0.32%) at $1816.75

Tuesday Data Calendar

Date	GMT/Local	Impact	Flag	Country	Event
28/02/2023	0030/1130	**		AU	Retail Trade
28/02/2023	0030/1130			AU	Balance of Payments: Current Account
28/02/2023	0700/0800	**		SE	PPI
28/02/2023	0700/0800	***		SE	GDP
28/02/2023	0745/0845	**		FR	Consumer Spending
28/02/2023	0745/0845	***		FR	HICP (p)
28/02/2023	0745/0845	**		FR	PPI
28/02/2023	0745/0845	***		FR	GDP (f)
28/02/2023	0800/0900	***		CH	GDP
28/02/2023	0800/0900	***		ES	HICP (p)
28/02/2023	0800/0900	*		CH	KOF Economic Barometer
28/02/2023	1015/1015			UK	BOE Treasury Select Committee hearing: The crypto-asset industry
28/02/2023	1215/1215			UK	BOE Pill Closes BEAR Research Conference
28/02/2023	1230/1230			UK	BOE Mann Panellist at EIB Forum
28/02/2023	1330/0830	***		CA	CA GDP by Industry and GDP Canadian Economic Accounts Combined
28/02/2023	1330/0830	*		CA	Capital and repair expenditure survey
28/02/2023	1330/0830	**		US	Advance Trade, Advance Business Inventories
28/02/2023	1355/0855	**		US	Redbook Retail Sales Index
28/02/2023	1400/0900	**		US	S&P Case-Shiller Home Price Index
28/02/2023	1400/0900	**		US	FHFA Home Price Index
28/02/2023	1400/0900	**		US	FHFA Quarterly Price Index
28/02/2023	1445/0945	**		US	MNI Chicago PMI
28/02/2023	1500/1000	***		US	Conference Board Consumer Confidence
28/02/2023	1500/1000	**		US	Richmond Fed Survey
28/02/2023	1530/1030	**		US	Dallas Fed Services Survey
28/02/2023	1930/1430			US	Chicago Fed's Austan Goolsbee