HIGHLIGHTS
- Treasury Curves look to finish the last session of 2024 steeper (2s10s +4.270 at 33.153) after Bonds reversed early support.
- Average month end duration extension of 0.07Y may factor in slightly to late session bounce off lows, TYH5 at 108-26.5 (-4.5) vs. 108-22.5 low.
- Markets closed for New Years Day Wednesday, resume full session trade Thursday.
MNI US TSYS: Tsy Curves Look To Finish 2024 at June'22 Highs
- Treasuries look to finish the last trading session of 2024 lower after reversing Tuesday morning support. Markets closed Wednesday for New Years day, resume full trade Thursday.
- The Mar'25 10Y contract trades 108-25.5 (-5.5) late in the day, 10Y yield near session high of 4.5871%. Curves bounced off flatter levels, 2s10s climbing to 34.344 -- the highest level since June 2022.
- Short end support, in turn, helped projected rate cuts into early 2025 gain momentum vs. late Monday levels (*) as follows: Jan'25 steady at -2.8bp, Mar'25 -14.6bp (-13.6bp), May'25 -20.6bp (-19.5bp), Jun'25 -29.8bp (-28.8bp).
- No substantive reaction to this morning's housing and regional Dallas Fed services activity data. Looking ahead to Thursday data (prior, est): Initial Jobless (219k, 221k) and Continuing Claims (1.910M, 1.890M) at 0830ET; S&P Global US Manufacturing PMI (48.3, 48.3) at 0945ET; Construction Spending MoM (0.4%, 0.3%) at 1000ET.
- Treasury supply: $85B 4- & $80B 8W bill auctions at 1130ET, $64B 17W bill auction at 1300ET.
SOFR FIXES AND PRIOR SESSION REFERENCE RATES
SOFR Benchmark Settlements:
- 1M -0.00249 to 4.33249 (-0.02246/wk)
- 3M -0.00534 to 4.30510 (-0.02368/wk)
- 6M -0.01229 to 4.25001 (-0.03492/wk)
- 12M -0.03184 to 4.17500 (-0.06431/wk)
US TSYS: Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 4.37% (-0.09), volume: $2.290T
- Broad General Collateral Rate (BGCR): 4.35% (-0.10), volume: $844B
- Tri-Party General Collateral Rate (TGCR): 4.35% (-0.10), volume: $798B
- (rate, volume levels reflect prior session)
STIR: FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 4.33% (+0.00), volume: $108B
- Daily Overnight Bank Funding Rate: 4.33% (+0.00), volume: $250B
FED Reverse Repo Year-End Operation Usage Jumps to Late June Level
RRP usage surged to the highest level since June 28 into year end: $473.460B this afternoon from $260.743B Monday. Compares to $98.356B on Friday, December 20 - the lowest level since mid-April 2021. The number of counterparties jumped to 80 from 57 prior.
US SOFR/TREASURY OPTION SUMMARY
Decent SOFR & Treasury option volumes on mixed trade this morning, underlying futures rising to near mid-December levels. Projected rate cuts into early 2025 look steady to slightly higher vs. late Monday levels (*) as follows: Jan'25 steady at -2.8bp, Mar'25 -14.6bp (-13.6bp), May'25 -21.3bp (-19.5bp), Jun'25 -30.8bp (-28.8bp).
SOFR Options:
-2,000 SFRG5 95.68/95.81/95.93/96.00 put condors, .5 (unwind)
+10,000 SFRM5 98.12 calls, 1.5 ref 95.975
24,000 SFRU5 96.50/97.50 call spds vs. 12,000 SFRZ5 95.50 puts
+5,000 SFRZ5 96.00/96.50/97.00 call flys, 8.25
2,400 SFRH5 95.75/96.00 call spds
Treasury Options:
2,000 TYH5 109/109.5 call spds 4 ref 108-27
2,000 TYG5 105 puts, 3 ref 108-27
2,000 TYG5 109.5/110 call spds, 11 ref 109-04
2,700 TYG5 108/110 strangles, 42 ref 109-02
+12,000 TYG5 110.5/111.5/112/112.75 broken call condors, 7 vs. 109-04/0.05%
+5,000 wk2 US 112/112.5 put spds, 6 vs. 114-06
2,000 TYG5 108.5/110 put spds ref 109-01
1,100 TYH5 100/103/104 broken put trees ref 109-05
MNI FOREX: Dollar Index Set to Close 2024 at Yearly Highs
- We have seen some constructive price action for the greenback to finish the year, with the USD index shrugging off the early session declines to now trade firmly in the green, up 0.31% and potentially assisted by month/year end dynamics.
- EURUSD has traded with an offered tone throughout the US session, sliding to the worst level of the week below 1.0350, just ahead of key support at 1.0335, the Nov 22 low and a bear trigger.
- USDJPY has also recovered well, rallying over 100 pips from the overnight lows, with spot now rallying back above the 157.00 handle. Officials at the BOJ fear that the real neutral rate of interest could be even lower than the previously-estimated range, MNI understands.
- Aussie and Kiwi are also notable underperformers to end the year, with both AUDUSD and NZDUSD sitting at cycle lows and the lowest levels since October 2022, below 0.62 and 0.56 respectively. For AUDUSD, scope is seen for an extension towards 0.6158 next, a Fibonacci projection.
- The broad dollar bid has also assisted USDMXN to a fresh year-to-date high above 20.84 at typing. The pair had a clean break of 20.40 during yesterday’s session and saw solid follow through amid the breakdown for major equity indices. While price action may have been exacerbated by the lower holiday liquidity, the imminent Trump presidency and Banxico in easing mode are likely weighing on the peso.
MNI US STOCKS: Late Equity Roundup: Tech & Interactive Media Sectors Underperforming
- Stocks are trading near session lows after reversing early session gains. Though off this year's record highs (SPX Eminis 6178.75, DJIA 45,073.63, Nasdaq 20,204.58) major averages will finish the year with double digit gains: SPX Eminis +19.5%, DJIA +13.1%, while the Nasdaq gained 29.9%!
- Currently, the DJIA trades down 92.19 points (-0.22%) at 42474.46, S&P E-Minis down 28 points (-0.47%) at 5929.75, Nasdaq down 147 points (-0.8%) at 19337.13.
- Information Technology and Communication Services shares underperformed continued to underperform late Tuesday, shares of software and semiconductor makers weighing on the tech sector: Nvidia -1.61%, Advanced Micro Devices -1.36%, Crowdstrike Holdings -1.28%.
- Interactive media and entertainment shares weighed on the Communication Services sector: Alphabet -0.9%, Live Nation -0.76%, Netflix -0.60%, Meta -0.41%.
- On the positive side, Energy and Materials sectors outperformed in the second half, oil & gas stocks buoyed the Energy sector as crude prices continued to rise (WTI +1.0 at 71.99): APA Corp +3.59%, Marathon Petroleum +2.46%, Occidental Petroleum +2.15%.
- Meanwhile, shares of chemical & fertilizer makers supported the Materials sector: Mosaic +2.44%, Celanese +1.42%, Dow +1.37%.
- Looking ahead, the next round of quarterly earnings kicks off mid-January with Blackrock, Bank of NY Melon, Wells Fargo, JP Morgan, Goldman Sachs, Citigroup, US Bancorp, M&T Bank and PNC all reporting between January 13-16.
MNI EQUITY TECHS: E-MINI S&P: (H5) Bear Threat
- RES 4: 6194.19 1.236 proj of the Aug 5 - Sep 3 - Sep 9 price swing
- RES 3: 6178.75 High Dec 6 and key resistance
- RES 2: 6163.75 High Dec 16
- RES 1: 6014.44/6107.50 50-day EMA / High Dec 26
- PRICE: 5925.00 @ 1335 ET Dec 31
- SUP 1: 5918.25/5866.00 Low Dec 30 / 20
- SUP 2: 5811.65 38.2% retracement of the Aug 5 - Dec 6 bull leg
- SUP 3: 5784.00 Low Nov 4
- SUP 4: 5698.25 50.0% retracement of the Aug 5 - Dec 6 bull leg
A bear threat in the S&P E-Minis contract remains present and the latest move down highlights the end of the recent Dec 20 - 26 corrective bounce. An extension lower would expose 5866.00, the Dec 20 low and a key short-term support. Clearance of this level would strengthen a bearish theme. Initial firm resistance to monitor is 6107.50, the Dec 26 high. A break of this level is required to open key resistance at 6178.75, the Dec 6 high.
MNI COMMODITIES: WTI Futures Holding Higher
WTI futures are trading higher today as the contract extends recent gains. A stronger reversal to the upside would refocus attention on key short-term resistance at $76.41, the Oct 8 high. Initial firm resistance is unchanged at $71.97. A bear threat in Gold remains present. The yellow metal traded sharply lower on Dec 18 and the move undermines a recent bull theme. A resumption of weakness would open key support at $2536.9, the Nov 14 low.
- WTI Crude up $0.9 or +1.27% at $71.88
- Natural Gas down $0.32 or -8.13% at $3.618
- Gold spot up $19.24 or +0.74% at $2625.86
- Copper down $6.95 or -1.7% at $402.3
- Silver down $0.1 or -0.34% at $28.8383
- Platinum up $3.96 or +0.44% at $908.02
THURSDAY DATA CALENDAR
| Date | GMT/Local | Impact | Country | Event |
| 02/01/2025 | 2200/0900 | ** |  AU | S&P Global Manufacturing PMI (f) |
| 02/01/2025 | 0145/0945 | ** |  CN | S&P Global Final China Manufacturing PMI |
| 02/01/2025 | 0815/0915 | ** |  ES | S&P Global Manufacturing PMI (f) |
| 02/01/2025 | 0845/0945 | ** |  IT | S&P Global Manufacturing PMI (f) |
| 02/01/2025 | 0850/0950 | ** |  FR | S&P Global Manufacturing PMI (f) |
| 02/01/2025 | 0855/0955 | ** |  DE | S&P Global Manufacturing PMI (f) |
| 02/01/2025 | 0900/1000 | ** |  EU | M3 |
| 02/01/2025 | 0900/1000 | ** | EU | S&P Global Manufacturing PMI (f) |
| 02/01/2025 | 0930/0930 | ** |  GB | S&P Global Manufacturing PMI (Final) |
| 02/01/2025 | 1200/0700 | ** |  US | MBA Weekly Applications Index |
| 02/01/2025 | 1330/0830 | *** | US | Jobless Claims |
| 02/01/2025 | 1330/0830 | ** | US | WASDE Weekly Import/Export |
| 02/01/2025 | 1445/0945 | *** | US | S&P Global Manufacturing Index (final) |
| 02/01/2025 | 1500/1000 | * | US | Construction Spending |
| 02/01/2025 | 1530/1030 | ** | US | Natural Gas Stocks |
| 02/01/2025 | 1600/1100 | ** | US | DOE Weekly Crude Oil Stocks |