HIGHLIGHTS
- Treasuries bounced off midmorning lows, look to finish moderately highs amid ongoing trade war uncertainty and recession concerns.
- President Trump threatened soaring tariffs on US imports of EU alcoholic beverages earlier, Tsy Sec Bessent followed up with: "if trading partners want to ratchet things up, surplus countries will take the biggest hit".
- Treasury futures pared losses then retreat again following latest PPI inflation data: lower than expected, weekly jobless claims shy of expectations (prior up-revised slightly) while continuing claims are lower than expected.
- Brief two-way trade as Treasury futures pare losses then retreat again following latest PPI inflation data: headline PPI printed 0.0% M/M, below the 0.3% consensus, but January was revised up 0.2pp to 0.6%; core PPI (ex-food/trade/energy) saw only a modest dip to 0.2% from 0.3% prior (0.3% expected, Jan unrevised at 0.3% rounded).
- Initial jobless claims were lower than expected at 220k (sa, cons 225k) in the week to Mar 8 after a marginally upward revised 222k (initial 221k). Continuing claims meanwhile also surprised lower as they fell to 1870k (sa, cons 1888k).
- Treasuries bounced off midmorning lows, look to finish moderately highs amid ongoing trade war uncertainty and recession concerns. President Trump threatened soaring tariffs on US imports of EU alcoholic beverages earlier, Tsy Sec Bessent followed up with: "if trading partners want to ratchet things up, surplus countries will take the biggest hit".
- After the bell, Jun'25 10Y futures trade +9.5 at 110-30, well below technical resistance above at 111-25 (High Mar 11). Curves flatter, 2s10s mildly steeper +.538 at 32.498. Stocks weaker but off lows (SPX eminis -50.0 at 5554.75), Gold nearing 3000 as it climbs over 2983.0, Crude weaker (WTI -1.16 at 66.52).
- Bbg US$ index off early high of 1270.18 to modestly higher late Thursday at 1267.47 (+1.12).
SOFR FIXES AND PRIOR SESSION REFERENCE RATES
SOFR Benchmark Settlements:
- 1M -0.00132 to 4.31918 (-0.00303/wk)
- 3M +0.01051 to 4.29928 (+0.00692/wk)
- 6M +0.04150 to 4.20238 (+0.01871/wk)
- 12M +0.07010 to 4.02273 (+0.02340/wk)
US TSYS: Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 4.31% (-0.01), volume: $2.489T
- Broad General Collateral Rate (BGCR): 4.30% (-0.01), volume: $968B
- Tri-Party General Collateral Rate (TCR): 4.30% (-0.01), volume: $946B
- (rate, volume levels reflect prior session)
STIR: FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 4.33% (+0.00), volume: $98B
- Daily Overnight Bank Funding Rate: 4.33% (+0.00), volume: $273B
FED Reverse Repo Operation
RRP usage retreats to $113.435B this afternoon from $131.055B Wednesday. Compares to $58.770B (lowest level since mid-April 2021) on February 14. The number of counterparties at 29 from 35.
US SOFR/TREASURY OPTION SUMMARY
Option desks reported moderate repositioning and outright closer volumes Thursday. Underlying futures recovering from early session lows amid ongoing uncertainty over trade rhetoric. Projected rate cuts through mid-2025 rebound slightly vs. morning levels (*) as follows: Mar'25 at -1.0bp (-.6bp), May'25 at -10.1bp (-8bp), Jun'25 at -26.7bp (-23.3bp), Jul'25 at -37bp (-33.9bp).
SOFR Options:
-7,000 SFRZ5 96.00/96.12/96.37/96.50 call condor, 2.25 ref 96.31
-7,500 SFRH5 96.18/96.43 put spds, 24.75 ref 95.70
-4,000 SFRM5 95.68/95.81/96.00/96.12 call condors, 4.25 ref 95.93
9,000 0QM5 97.00/97.50 call spds vs 6,000 0QN 96.50/96.75 call spds, 1.5 net/Jul over
+4,000 SFRU5 95.37/95.62 put spds, 0.5
2,000 SFRZ5 96.50/96.75/97.00/97.25 call condors
Block, 4,000 0QH5 96.31 puts, 1.0 vs. 96.375/0.10%
1,500 0QM5 96.87/97.12 call spds vs. 1,000 96.00/96.18 put spds ref 96.43
5,000 SFRH5 95.68 puts, cab (March exp Friday)
2,500 SFRJ5 96.12 calls
1,250 SFRM5 95.75/95.87 put spds
Treasury Options:
7,000 TYJ5 111.5/112.5 call spds, 10 ref 110-25.5
3,000 TYK5/TYM5 110.5 call spd
+3,000 TYJ5 110.5 straddles, 54 ref 110-15 (appr vol 6.34%) exp 3/21
+2,000 TYK5 108/112.5 strangles, 32 ref 110-15.5 (appr vol 6.49%)
2,000 TUM5 103/103.5 put spds ref 103-14.12
2,650 TYJ5 109.5/110.5 2x1 put spds vs. TYJ5 111 calls
+17,500 TYJ5/TYK5 111 call spds, 34 net/May over vs. 110-22/0.07%
12,000 TYJ5 107.5/TYM5 108 put spds ref 110-19
2,000 wk2 FV 107.25/108.25 strangles, 4 ref 107-21
1,500 TYJ5 108.5/109.5 put spds ref 110-17
Block, 4,000 FVM5 106/107/107.5 broken put trees, 0.0 vs. 107-22/0.10%
+6,000 FVK5 107/108.5 call over risk reversal, 5.5 ref 107-25
MNI BONDS: EGBs-GILTS CASH CLOSE: Equity Pullback Keeps Core FI Underpinned
Front-end Bunds and long-end Gilts outperformed on the respective curves Thursday, with EGB periphery/semi-core spreads widening.
- Core FI weakened in European morning trade, with the EGB space weighed down in part by Italian/Greek supply. Eurozone IP (above consensus, but in-line with MNI tracking) didn't appear to be a negative trigger in itself.
- But US tariff concerns once again returned to the forefront of market movements, with Bunds gaining as President Trump threatened soaring tariffs on US imports of EU alcoholic beverages. Meanwhile renewed Green Party opposition to the incoming government's fiscal plan also saw a Bund boost.
- A renewed pullback in equities saw yields enter the cash close at/near the lows.
- The German curve bull steepened, with the UK's bull flattening. BTPs and GGBs underperformed on the periphery, again with supply a factor.
- Friday's agenda includes UK monthly activity / GDP, Italian industrial production, final Feb CPI for France/Germany/Spain, and appearances by ECB's Escriva and Cipollone.
Closing Yields / 10-Yr EGB Spreads To Germany
- Germany: The 2-Yr yield is down 4.2bps at 2.183%, 5-Yr is down 3.6bps at 2.486%, 10-Yr is down 2.2bps at 2.855%, and 30-Yr is up 0.9bps at 3.175%.
- UK: The 2-Yr yield is down 3.3bps at 4.192%, 5-Yr is down 3.8bps at 4.3%, 10-Yr is down 4.5bps at 4.677%, and 30-Yr is down 4.5bps at 5.281%.
- Italian BTP spread up 3.2bps at 114.8bps / Greek up 2.9bps at 84.8bps
MNI EGB OPTIONS: Upside-Leaning Rate Plays Continue Thursday
Thursday's Europe rates/bond options flow included:
- RXM5 124.50/123.00/121.50p fly, bought for 12.5 in 5k
- ERM5 97.81/98.00cs vs 1.5x 97.68p, bought the cs for -0.75 in 10k (10kx15k). bought in over 60k of late
- SFIZ5 96.20/96.30cs v 95.75/95.65ps, bought the cs for 1 in 3k
MNI FOREX: Cross/JPY Weakens amid Lower US Equities, USDMXN Prints New 2025 Lows
- Thursday’s session has been characterized by another bout of US equity weakness. The direction of the greenback has been less clear to the waning sentiment than in recent sessions, leaving the Japanese yen as the key beneficiary from the moves.
- As such, AUDJPY is down ~0.9% as we approach the APAC crossover, and the ongoing weakness/volatility in equity markets will keep this cross firmly in the spotlight in coming weeks. Both 20- and 50-day EMAs have acted as strong resistance, keeping a bearish threat at the fore. Two lows at 91.86 provide initial support, of which a breach would target a move to the carry unwind lows around 90.00 from August last year.
- For USDJPY, yesterday’s flurry above 148.00 has proved short-lived and spot tracks closer to 147.50 in late European trade. The bearish trend structure keeps the focus on cycle lows at 146.54, before 145.92, the Oct 4 2024 low.
- EURUSD attempted to pullback from its recent highs, printing 1.0823 in the aftermath of the US PPI data on Thursday. However, dips remain well supported following last week’s impressive 5% rally, keeping the topside vulnerable as markets digest the ongoing US growth concerns and Eu fiscal developments.
- The ongoing resilience for the Mexican peso gained traction despite the weakness in equities, prompting USDMXN to print fresh 2025 lows below 20.13 support. On the downside, immediate attention turns to the December low at 20.0219, with greater downside momentum targeting 19.7618, the Nov 7 low. Resistance moves down to the 20- and 50-day moving averages, intersecting around the 20.40 mark.
- Friday will bring UK monthly GDP data and US preliminary UMich sentiment and inflation expectations figures.
MNI FX OPTIONS: Expiries for Mar14 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.0750(E808mln), $1.0850-55(E550mln)
- USD/JPY: Y146.00($1.0bln), Y149.50-55($801mln), Y150.50($666mln)
- GBP/USD: $1.2755(Gbp500mln)
- AUD/USD: $0.6125(A$1.1bln), $0.6400-10(A$1.0bln)
- USD/CAD: C$1.4450($890mln), C$1.4700($1.2bln)
- USD/CNY: Cny7.2500($655mln), Cny7.2900($566mln)
MNI US STOCKS: Late Equities Roundup: Test Technical Support, Discretionary Weighs
- Stocks remain broadly weaker late Thursday, S&P Eminis a little off lows after breaching technical support in late trade (through Sep 11 '24 low of 5534.00 to 5509.25 today). Currently, S&P E-Minis are down 68.25 points (-1.22%) at 5536.25, Nasdaq down 294.3 points (-1.7%) at 17352.99, DJIA down 511.25 points (-1.24%) at 40838.6.
- Stocks remain weak amid ongoing trade war uncertainty and recession concerns. Tsy Sec Bessent said "if trading partners want to ratchet things up, surplus countries will take the biggest hit".
- Consumer Discretionary and Communication Services sectors continued to underperform in late trade: the Discretionary sector weighed by Ulta Beauty -5.49%, CarMax -5.40%, Airbnb -5.32%, Home Depot -4.70% and Deckers Outdoor -4.55%.
- Communication Services reversed midweek gains as interactive media and entertainment shares traded weaker: Live Nation Entertainment -7.55%, Meta Platforms -4.72%, Warner Bros Discovery -3.36% and Alphabet -2.71%.
- Materials and Utilities outperformed by midday as tech stocks pared morning gains. Metals/mining shares buoyed the Materials sector as gold surged over $46 to appr 2981.0: Newmont Corp +4.13%, Freeport-McMoRan +2.31% and FMC Corp +0.43%.
- Alternative energy supported the Utilities sector: AES Corp +2.96%, FirstEnergy Corp +1.75%, Exelon Corp +1.53% and Consolidated Edison +1.41%.
- Regarding tech stocks, Intel had surged over 18% after placement of new CEO: Lip-Bu Tan this morning currently trades +15.27% at 23.84.
MNI EQUITY TECHS: E-MINI S&P: (H5) Oversold But Remains Bearish
- RES 4: 6178.75 High Dec 6 ‘24 and key resistance
- RES 3: 6166.50 High Jan 19
- RES 2: 5949.30 50-day EMA
- RES 1: 5757.75/5853.88 High Mar 10 / 20-day EMA
- PRICE: 5540.25 @ 1415 ET Mar 13
- SUP 1: 5534.00 Low Sep 11 2024
- SUP 2: 5509.25 Low Mar 13
- SUP 3: 5499.25 Low Sep 9 2024
- SUP 4: 5444.55 76.4% retracement of the Aug 5 - Dec 6 ‘24 bull leg
The trend condition in S&P E-Minis remains bearish 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 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 5949.30, the 50-day EMA.
MNI COMMODITIES: Gold Rises To Fresh All-Time High, Copper At 10-Month High
- Spot gold has risen to a fresh all-time high today, with the yellow metal up by a further 1.7% at $2,984/oz,
- Gold continues to benefit from strong safe haven demand, amid ongoing tariff concerns and another bout of US equity weakness.
- Gold has risen through resistance at $2,962.2, a Fibonacci projection, opening the $3,000.0 handle next.
- Copper has also extended gains today, rising by another 1.4% to $492/lb, its highest level since May last year. The red metal has risen by over 5% from this week’s lows, amid concern about potential US tariffs of copper imports.
- A bull cycle in copper futures remains intact, and today’s gains reinforce this theme, with the move higher delivering a print above $488.50, the Feb 14 high and a bull trigger.
- A clear break of this level would confirm a resumption of the uptrend and open the $500.00 handle next.
- Crude has fallen today after further signs of progress towards peace in Ukraine. Earlier, the IEA revised down its 2025 demand forecast amidst increasing trade tensions, adding to bearish pressure.
- WTI Apr 25 is down by 1.7% at $66.5/bbl.
- The IEA expects oil demand of 103.9m b/d this year, representing a 100k b/d downward revision to last month’s forecast, citing a deterioration in macroeconomic conditions amid rising trade tensions.
- With a bearish condition in WTI futures still in play, attention is on $65.22, the Mar 5 low, followed by $63.61, the Oct 10 ‘24 low.
FRIDAY DATA CALENDAR
| Date | GMT/Local | Impact | Country | Event |
| 14/03/2025 | 0700/0700 | ** |  GB | UK Monthly GDP |
| 14/03/2025 | 0700/0800 | ** |  SE | Unemployment |
| 14/03/2025 | 0700/0700 | ** | GB | Trade Balance |
| 14/03/2025 | 0700/0700 | ** | GB | Index of Services |
| 14/03/2025 | 0700/0700 | *** | GB | Index of Production |
| 14/03/2025 | 0700/0800 | *** |  DE | HICP (f) |
| 14/03/2025 | 0700/0700 | ** | GB | Output in the Construction Industry |
| 14/03/2025 | 0730/0730 | GB | DMO calendar for first 3 weeks of FY 25/26 confirmed | |
| 14/03/2025 | 0745/0845 | *** |  FR | HICP (f) |
| 14/03/2025 | 0800/0900 | *** |  ES | HICP (f) |
| 14/03/2025 | 0900/1000 | * |  IT | Industrial Production |
| 14/03/2025 | 0930/0930 | GB | BoE/Ipsos Inflation Attitudes Survey | |
| 14/03/2025 | - | *** |  CN | New Loans |
| 14/03/2025 | - | *** | CN | Money Supply |
| 14/03/2025 | - | *** | CN | Social Financing |
| 14/03/2025 | 1230/0830 | ** |  CA | Monthly Survey of Manufacturing |
| 14/03/2025 | 1230/0830 | ** | CA | Wholesale Trade |
| 14/03/2025 | 1315/1415 |  EU | Cipollone in panel discussion at "Fifty years of Consob: present and future - Reflections in Bocconi" Milan | |
| 14/03/2025 | 1400/1000 | *** |  US | U. Mich. Survey of Consumers |
| 14/03/2025 | 1400/1000 | ** | US | University of Michigan Surveys of Consumers Inflation Expectation |
| 14/03/2025 | 1700/1300 | ** | US | Baker Hughes Rig Count Overview - Weekly |
| 14/03/2025 | 1700/1300 | ** | US | Baker Hughes Rig Count Overview - Weekly |