HIGHLIGHTS
- Treasuries look to finish near mid-December highs going into February month end, global trade and tariff uncertainty remain supportive factors.
- Data supportive: recent Core PCE trends stabilize above target after upward revisions, as did lower than expected Atlanta Fed GDPNow (-1.5%, a 2.3% decline from prior).
- Latest tariff developments this week have prompted a solid 1.40% recovery for the USD index from the week’s lows as markets digest the potential impact of a more protectionist US trade policy.
MNI US TSYS: Rates Well Bid on Data, No US/UK Minerals/Peace Accord
- Treasuries look to finish near mid-December highs Friday, new lead Treasury quarterly futures, Jun'25 10y tapped 111-07.5 highs, just below technical resistance at 111-13 (High Dec 10). Global trade and tariff uncertainty coupled with data that leaned towards softer inflation remained supportive:
- Core PCE eased to 2.647% Y/Y from an upward revised 2.865% Y/Y (initial 2.794%) in Dec, as it starts to be helped by more favorable base effects.
- The Atlanta Fed’s GDPNow for Q1 has been slashed to -1.5% from 2.3% annualized in the Feb 19.
- Meanwhile, Chicago PMI, produced with MNI increased 6.0 points to 45.5 in February. This is the second consecutive monthly gain, taking the reading to the highest level since June 2024, though it remains in contractionary territory for the fifteenth consecutive month.
- USD gained ground after Pres Trump & Zelenskyy failed to reach an accord, chances of an imminent ceasefire looking less likely. EURUSD has slipped around 30 pips to 1.0370, but it's emerging markets that are really feeling the pinch, particularly the Hungarian forint. EURHUF rallies ~1.5% from 400 to 406.93 highs before moderating.
SOFR FIXES AND PRIOR SESSION REFERENCE RATES
SOFR Benchmark Settlements:
- 1M +0.00203 to 4.32471 (+0.00541/wk)
- 3M -0.00173 to 4.31678 (-0.00302/wk)
- 6M -0.00501 to 4.25675 (-0.03401/wk)
- 12M -0.00819 to 4.12672 (-0.09670/wk)
US TSYS: Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 4.36% (+0.06), volume: $2.557T
- Broad General Collateral Rate (BGCR): 4.34% (+0.03), volume: $954B
- Tri-Party General Collateral Rate (TCR): 4.34% (+0.03), volume: $925B
- (rate, volume levels reflect prior session)
STIR: FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 4.33% (+0.00), volume: $110B
- Daily Overnight Bank Funding Rate: 4.33% (+0.00), volume: $280B
FED Reverse Repo Operation
RRP usage surged over $200B this afternoon to $234.442B from $182.044B on Thursday. Compares to $58.770B (lowest level since mid-April 2021) on February 14. The number of counterparties at 50 from 41 prior.
US SOFR/TREASURY OPTION SUMMARY
SOFR and Treasury options continued to rotate around low delta call structures Friday, while flow turned two way with some selling in the former late. Underlying futures higher near new 6-wk highs amid ongoing focus on global trade. Projected rate cuts through mid-2025 are firmer vs. late Thursday levels (*) as follows: Mar'25 at -1.6bp (-0.5bp), May'25 at -9.4bp (-7.1bp), Jun'25 at -25.7bp (-19.4bp), Jul'25 at -36.1bp (-27.9bp).
SOFR Options:
-6,000 SFRU5 96.50/97.00/97.50/98.00 call condors 5.0 ref 96.17
-6,000 SFRM5 96.25/96.37 call spds, 1.25 ref 95.94
-2,500 0QZ5 96.25 straddles, 80.5
+30,000 0QM5/0QU5 97.50 call spds, 3.75 to 4.0
-20,000 SFRJ5 96.12/96.37/96.50/96.75 call condors, 1.25 vs. 95.895/0.10%
20,000 0QM5 96.87/97.12 call spds ref 96.365
2,500 SFRZ5 95.75/96.00 put spds vs. 96.50/96.75 call spds ref 96.235
Blocks 20,000 0QM5 96.75/97.00 call spds from 4.0 to 4.5 ref 96.36.
Blocks, 10,000 0QM5 96.62/67.00 call spds crossed at 8.0.
Block, 4,800 0QH5 96.00/96.25 put spds, 6.0 vs. 96.315/0.32%
2,000 SFRJ5 96.00/96.12 call spds ref 95.905
2,500 SFRM5 96.75/97.25 call spds vs 2QM5 97.00/97.37 call spds
4,000 SFRM5 96.62/97.12 call spds, 1.5 ref 95.92
Treasury Options:
8,000 TYJ5 112.5/TYK5 114 1x2 call spds, 20 net ref 111-03.5
Block 40,000 TYJ5 113.5 calls, 8 ref 111-02
46,600 TYJ5 113 calls, 10 ref 111-01
7,800 TYM5 109/113 strangles ref 110-31
+25,000 wk2 TY 112.5/113.5 call spds 7 vs. 111-02.5/0.10%
+20,000 TYJ5 109 puts, 8 ref 111-00
+22,800 wk1 TY 112/112.5/113/113.5 call condors, 4 net vs. 111-04/0.05%
5,000 TYJ5 106/107 put spds 1 ref 110-27.5
6,700 TYK5 111.5 calls, 54 ref 110-28
Block, 10,000 TYK5 111 calls, 104 vs. 110-28/0.46%
2,000 FVK5 108.5/109.5/110 broken call flys ref 107-24.5
2,000 FVJ5 106 calls ref 107-25.5
2,200 FVK5 109.5/110.5 call spds ref 107-28.25
7,000 TYJ5 108 puts vs. 5,600 TYJ5 109 puts ref 111-02.5
14,000 TYJ5 110.5/111.5/111.75/112.75 call condors
MNI EGBS: CASH CLOSE: Paring of Risk Off Open Gains, EZ HICP Next Focus Point
EGBs have moved off recent highs seen after a short-lived latest rally in spillover from negative US 1 GDP tracking, and indeed German 10s have recently touched session lows amidst narrow ranges.
- RXH5 trades at 132.99 (+ .10), close to recent session lows of 132.94 having pushed through the 133.00 seen after nationwide CPI data at 1400CET. That said, the day’s high of 133.46 marks a latest extension of the bull cycle that started Feb 19, after which lies 133.71 (Feb 5 high and a reversal trigger).
- EGBs more broadly are mildly firmer on the day, with most 2Y yields between 0-2bp lower on the day and 10Y yields between -1bp and +0.5bp.
- In 10Y space, OATs underperform with the OAT-Bund spread at 73.7bp (+1.2bp) widening back towards levels seen at the open prior to softer than expected French HICP inflation (at 0.9% Y/Y vs cons 1.1%).
- Peripheral spreads have tightened intraday though, with the BTP-Bund spread in particular back to 112.8bp (-0.1bp) having pushed easily above 115bp in early trading, aided by an almost 1% intraday recovery in the Euro Stoxx 50 to close -0.2% on the day.
- Next week sees early focus with flash February HICP for the Eurozone on Monday, with risks of it coming in at the higher end of our previous tracking of 2.1-2.2% Y/Y. The ECB is of course on Thursday, fully expected to cut another 25bps, whilst more broadly, defense spending deliberations will continue to have an impact and the Bundesbank’s debt brake reform on Mar 5 will also be watched.
MNI FOREX: Late Trump/Zelenskyy Headlines Sour Risk Sentiment / Boost Greenback
- Latest tariff developments this week have prompted a solid 1.40% recovery for the USD index from the week’s lows as markets digest the potential impact of a more protectionist US trade policy. Furthermore, latest negative developments from the White House as discussions between Trump and Zelenskyy sour have weighed on risk sentiment, further boosting the dollar.
- It’s emerging markets where the real pain has been late Friday, with the likes of ZAR and HUF the weakest global currencies. EURHUF rallied from around 400 to 407 on the headlines, as the latest optimism to a Russia/Ukraine ceasefire evaporated.
- Underlying this theme, it is the risk sensitive AUD and NZD which have significantly underperformed in G10. Weekly losses now total 2.57% and 2.69% respectively, with the doubling of China tariffs adding to the bearish momentum.
- This has seen NZDUSD slide back below 0.5600, and a daily close here would be the weakest since mid-Jan. Price action will keep markets pondering a revisit to the YTD lows of 0.5516 in the near-term.
- For AUDUSD, the steep sell-off yesterday and the follow through today is signalling scope for a deeper retracement. Downside momentum is bolstered by spot comfortably back below the 20- and 50-day EMAs, exposing support at 0.6171, the Feb 4 low. A break of this level would suggest scope for test of the bear trigger at 0.6088, the Feb 3 low.
- The Japanese Yen is also among the weakest performers in G10 Friday despite the lower US yields, as markets suggest the bullish yen narrative in recent weeks could be losing steam. USDJPY rose from overnight lows of 149.10 to reach as highs as 150.99 before moderating into the close.
- Eurozone inflation data and US ISM Manufacturing PMI headline Monday’s economic calendar.
MNI FX OPTIONS: Expiries for Mar03 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.0245-50(E1.9bln), $1.0275-85(E658mln), $1.0470-75(E1.6bln)
- USD/JPY: Y150.79-00($1.1bln)
- AUD/USD: $0.6350-60($777mln)
- USD/CAD: C$1.4300($1.6bln), C$1.4350($1.1bln), C$1.4400($1.5bln), C$1.4425-40($1.9bln)
MNI US STOCKS: Late Equities Roundup: Hardware/Software Makers Weigh on IT
- Stocks extended session lows briefly late Friday after President Trump and Ukraine President Zelenskyy failed to reach a peace and minerals accord, while Treasuries gained risk-off support ahead of the weekend.
- Stocks had see-sawed higher after this morning's PCE data that showed a modest decline in inflation while ongoing trade tensions hampered risk sentiment with SPX Eminis still trading around mid-January lows.
- Currently, the DJIA trades up 79.35 points (0.18%) at 43317.97, S&P E-Minis up 4.5 points (0.08%) at 5880.75, Nasdaq down 5.6 points (0%) at 18540.26.
- Information Technology and Materials sectors underperformed in late trade, software and hardware makers weighed on the tech sector: NetApp fell 16.55% after missing revenue expectations, HP -8.54%, Dell Technologies -6.62% while Enphase Energy dropped 6.19%.
- Metals and mining stocks weighed on the Material sector as the late week rout in Gold continued (-32.80 at 2844.72), The Mosaic Co -4.07%, Freeport-McMoRan -2.65% and Albemarle -2.43%.
- On the positive side, Energy and Financial sectors outperformed in the second half, Targa Resources +3.92%, ONEOK +3.36% and Kinder Morgan +3.24%led gainers in the Energy sector while banks buoyed the Financial sector: Bank of America +2.63%, Wells Fargo +0.95%, KeyCorp+0.59% and Truist Financial +0.55%.
MNI EQUITY TECHS: E-MINI S&P: (H5) Impulsive Sell-Off
- RES 4: 6200.00 Round number resistance
- RES 3: 6178.75 High Dec 6 ‘24 and key resistance
- RES 2: 6038.96/6166.50 50-day EMA / High Jan 19
- RES 1: 5935.50 Low Feb 3 and a recent breakout level
- PRICE: 5883.25 @ 14:49 GMT Feb 28
- SUP 1: 5857.00 Intraday low
- SUP 2: 5809.00 Low Jan 13 and a reversal trigger
- SUP 3: 5784.00 Low Nov 4 ’24
- SUP 4: 5730.00 Low Sep 18 ‘24
The latest move down in S&P E-Minis still appears corrective, however, price has breached a number of important supports this week; 6014.00, the Feb 10 low, and 5935.50, the Feb 3 low. The sharp move down signals scope for a deeper retracement and has exposed the next key support at 5809.00, the Jan 13 low. A breach of this level would highlight a stronger reversal. On the upside, initial firm resistance to watch 6038.96, the 50-day EMA.
COMMODITIES
MNI AMERICAS OIL: WTI Crude Oil reversed some of the gains seen yesterday
WTI Crude Oil reversed some of the gains seen yesterday after further threats from President Donald Trump around tariffs on China, Mexico and Canada, though the market recovered slightly following Zelensky’s fiery meeting with Trump at the White House and with a decline in the Baker Hughes US oil rig count.
- Concern for the impact of rising trade tensions, with a possible further 10% tariff on China, has raised global growth and sentiment concerns, adding to poor economic data.
- US tariffs of 10% on Canada energy are still planned to be implemented on March 4, impacting around 4mbd to US refiners.
- WTI Apr futures were down 0.9% at $69.72
- WTI May futures were down 0.9% at $69.30
- RBOB Mar futures were down 1.3% at $1.97
- ULSD Mar futures were down 1.7% at $2.35
- US gasoline crack down 0.5$/bbl at 23.51$/bbl
- US ULSD crack down 1.1$/bbl at 27.43$/bbl
MONDAY DATA CALENDAR
| Date | GMT/Local | Impact | Country | Event |
| 03/03/2025 | 0700/0200 | * |  TR | Turkey CPI |
| 03/03/2025 | 0815/0915 | ** |  ES | S&P Global Manufacturing PMI (f) |
| 03/03/2025 | 0845/0945 | ** |  IT | S&P Global Manufacturing PMI (f) |
| 03/03/2025 | 0850/0950 | ** |  FR | S&P Global Manufacturing PMI (f) |
| 03/03/2025 | 0855/0955 | ** |  DE | S&P Global Manufacturing PMI (f) |
| 03/03/2025 | 0900/1000 | ** |  EU | S&P Global Manufacturing PMI (f) |
| 03/03/2025 | 0900/1000 | IT | Deficit to GDP 2024/ GDP Y/Y | |
| 03/03/2025 | 0930/0930 | ** |  GB | BOE Lending to Individuals |
| 03/03/2025 | 0930/0930 | ** | GB | BOE M4 |
| 03/03/2025 | 0930/0930 | ** | GB | S&P Global Manufacturing PMI (Final) |
| 03/03/2025 | 1000/1100 | *** | EU | HICP (p) |
| 03/03/2025 | - | *** |  US | Domestic-Made Vehicle Sales |
| 03/03/2025 | 1445/0945 | *** | US | S&P Global Manufacturing Index (final) |
| 03/03/2025 | 1500/1000 | *** | US | ISM Manufacturing Index |
| 03/03/2025 | 1500/1000 | * | US | Construction Spending |
| 03/03/2025 | 1630/1130 | * | US | US Treasury Auction Result for 26 Week Bill |
| 03/03/2025 | 1630/1130 | * | US | US Treasury Auction Result for 13 Week Bill |
| 03/03/2025 | 1735/1235 | US | St. Louis Fed's Alberto Musalem | |
| 04/03/2025 | 2330/0830 | * |  JP | Labor Force Survey |
| 04/03/2025 | 0001/0001 | * | GB | BRC Monthly Shop Price Index |
| 04/03/2025 | 0030/1130 |  AU | RBA Meeting Minutes | |
| 04/03/2025 | 0030/1130 | AU | Balance of Payments: Current Account | |
| 04/03/2025 | 0030/1130 | ** | AU | Retail Trade |