HIGHLIGHTS
- Treasuries continued to grind higher Tuesday, Mar'25 10Y futures back to mid-December levels (110-20) amid ongoing uncertainty over the Trump admin's global trade policies.
- US Data was supportive of rates: Conference Board's consumer confidence composite fell to 98.3 from 105.3 prior (102.5 expected).
- Risk-off tone did not carry through late trade as stocks bounced off lows, the Dow outperforming as broadline retailers and real estate investment trusts made decent gains.
- Lower core yields and pressure on major equity indices on Tuesday have boosted the likes of JPY and CHF, while risk sensitive currencies such as AUD, NZD and CAD have all underperformed.
MNI US TSYS: Trade Policy Uncertainty, Lower Consumer Confidence Buoys Rates
- Treasuries continued to grind higher Tuesday, carry-over risk-off support helping Mar'25 10Y futures climb back to mid-December highs in the first half as Trump Admin trade policy increased uncertainty and weighed on sentiment.
- Heavy volumes in Tsy futures tied to Mar'25/Jun'25 rolling, both Mar'25 5Y and 10Y contracts well over 5M after the bell. TYH5 trades 110-17 after the bell (+21) vs.110-20 high, just below initial technical resistance at 110-25 (High Dec 12 ‘24). Initial firm support well below at 109-09, the 50-day EMA. A move below this average is required to highlight a potential reversal.
- Data underpinned rates: Conference Board's consumer confidence composite fell to 98.3 from 105.3 prior (102.5 expected), led by a drop in expectations to 72.9 from 82.2. February's Philadelphia Fed Non-Manufacturing survey showed a deterioration in current regional activity to a 6-month low -13.1 from -9.1 prior (no consensus).
- Tsys remained well bid after $70B 5Y note auction (91282CMQ1) stops 0.9bp through (fourth consecutive stop since June): drawing 4.123% high yield vs. 4.134% WI.
- Lower core yields and pressure on major equity indices on Tuesday have boosted the likes of JPY and CHF, while risk sensitive currencies such as AUD, NZD and CAD have all underperformed.
- Wednesday data includes New Home Sales and building permits. Main focus on GDP and PCE data this Thursday. US Treasury auctions $44B 7Y notes at 1300ET.
SOFR FIXES AND PRIOR SESSION REFERENCE RATES
SOFR Benchmark Settlements:
- 1M -0.00007 to 4.32352 (+0.00422/wk)
- 3M +0.00048 to 4.31852 (-0.00301/wk)
- 6M -0.00474 to 4.27042 (-0.02034/wk)
- 12M -0.01978 to 4.17208 (-0.05134/wk)
US TSYS: Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 4.34% (+0.00), volume: $2.425T
- Broad General Collateral Rate (BGCR): 4.32% (+0.00), volume: $936B
- Tri-Party General Collateral Rate (TCR): 4.32% (+0.00), volume: $912B
- (rate, volume levels reflect prior session)
STIR: FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 4.33% (+0.00), volume: $99B
- Daily Overnight Bank Funding Rate: 4.33% (+0.00), volume: $292B
FED Reverse Repo Operation
RRP usage rebounds to an even $96.0B this afternoon from $76.818B on Monday. Compares to Friday, February 14 low of $58.770B - the lowest level since mid-April 2021. The number of counterparties at 36 from 30 prior.
US SOFR/TREASURY OPTION SUMMARY
SOFR & Treasury option volume remained heavy Tuesday, leaning towards upside 10Y calls (113k May'25 10Y 111.5 calls and 75k TYJ5 110.5 calls overnight) with some chunky two-way put skew plays in the second half. Underlying futures well bid, TYH5 climbing back to mid-December levels w/ 110-20 high, yield hits 4.2811% low. Projected rate cuts through mid-2025 steady to mixed vs. morning levels (*) as follows: Mar'25 steady at -0.7bp, May'25 at -7.6bp (-8.2bp), Jun'25 at -21.1bp (-20.7bp), Jul'25 at -29.1bp (-28.6bp).
SOFR Options:
+5,000 SFRK5/SFRM5 95.68/95.75/95.81/95.87 put condor strip, 2.5 total ref 95.915
Block, +3,000 SFRM5 96.00/96.25 2x3 call spds, 1.0 net vs. 95.895
+5,000 2QJ5/2QK5/2QM5 96.25/96.50/96.75 call fly strip, 13.5 total
-20,000 0QM5 96.37/97.00 call spds 12.0 over 95.37/95.62 put spds, ref 96.29
-1,500 SFRH6 96.25 straddles, 78.5 ref 96.255
+2,000 SFRZ5 96.18 straddles, 63.0 ref 96.18
-15,000 SFRZ5 96.25/96.87 call spds 3-2.75 over SFRZ5 95.50 puts & SFRM5 96.00/96.50 call spds
-8,000 0QH5 95.93/96.06/96.18/96.43 call condors, 1.0 ref 96.26
+2,000 SFRM5 95.87 straddles, 24.5 ref 95.885
+10,000 SFRK5 95.81 puts 5.5 over SFRK5 95.93/96.06/96.12 call flys
+30,000 SFRZ5 95.12/95.62/96.12 put flys, 17.0
+12,000 SFRM5 96.25/96.87 call spds, 3.0 ref 95.88
-2,500 SFRZ5 95.68/95.93 put spds, 9.75 ref 96.19
5,000 0QM5 96.50/97.00 call spds vs 3QM5 96.37/96.87 call spds, 0.5 3QM5 sold over
-30,000 SFRJ5 96.25/97.00 call spds, 2.0 vs. 95.885/0.11%
Block, 17,500 SFRM5 96.25/96.87 call spds, 3.0 ref 95.885
over 12,400 SFRJ5 95.75 puts, 1.5 ref 95.885
3,000 SFRK5 96.00/96.12 call spds 1.75 ref 95.885
3,000 SFRZ5 97.00/97.50 call spds, 4.5
6,600 SFRN5 96.50/97.00 call spds
+7,500 SFRM5 95.75 puts, 4.25 ref 95.89
Treasury Options:
Block: +38,000 TYK5 108.5 puts, 21 vs. -15,000 TYK5 112 calls, 34 and -10,000 TYJ5 112 calls 15 vs 24,000 TYH5 110-16
-30,000 TYK5 109/111 put over combos at 13 vs. 110-07/0.71%
-15,000 wk1 TY 110.75/111.25/111.5/112 call condors, 5.0
-6,000 TYJ5 110.25/110.5 strangle, 119
5,000 TYK5 111/112 call spds, 20 ref 110-14
over +113,000 TYK5 111.5 calls from 36-40 ref 110-07.5 to -10
over +75,500 TYJ5 110.5 calls 37-44, kicked off w/ +50k at 37 ref 110-08
30,000 TYJ5 108.5/109 2x1 put spds
over -30,000 TYJ5 108.5/109 2x1 put spds, 2 legs over/2 net
20,000 TYJ5 106/107 put spds 1.0 ref 110-08.5
3,500 TYJ5 108 puts, 5 vs. 4,600 TYK5 105.5 puts, 3
2,000 TYJ5 110/111 call spds, 22
+5,000 USJ5 117/119.5 call spds, 52
+2,500 FVJ5 107 puts, 20.5 ref 107-10
MNI BONDS: EGBs-GILTS CASH CLOSE: Rally Fuelled By US Risk-Off
European yields dropped Tuesday, following the lead set by US Treasuries.
- US tariff and growth concerns continued to set the tone overnight. Another pullback in US equities and more soft US data (including consumer confidence) helped fuel the bid in Treasuries, which spilled over into Europe.
- EGBs were also aided by a pullback in European gas prices.
- ECB implied cut pricing extended 4bp for 2025 (83bp) / BOE 5bp (58bp).
- In data, the ECB's negotiated wage tracker softened to 4.1% Y/Y in Q4 (5.4% prior), with final Q4 German GDP confirming the flash estimate.
- Gilts outperformed Bunds, with both the German and UK curves leaning bull steeper.
- Despite the US-led risk-off safe haven bid, periphery/semi-core EGB spreads closed tighter on the day (European equity futures were up), albeit off the session's tightest levels.
- Wednesday's schedule includes German andFrench consumer confidence; the week's data highlights commence Thursday with Spanish flash Feb inflation (Italy, France, Germany to follow Friday - MNI's preview will be out Wednesday).
Closing Yields / 10-Yr EGB Spreads To Germany
- Germany: The 2-Yr yield is down 2.3bps at 2.065%, 5-Yr is down 2.1bps at 2.215%, 10-Yr is down 1.9bps at 2.458%, and 30-Yr is down 3bps at 2.723%.
- UK: The 2-Yr yield is down 5.4bps at 4.174%, 5-Yr is down 6.3bps at 4.182%, 10-Yr is down 5.5bps at 4.509%, and 30-Yr is down 5.8bps at 5.102%.
- Italian BTP spread down 1.2bps at 113bps / Greek down 1.5bps at 82.5bps
MNI EGB OPTIONS: More Large Euribor Spread Trades Tuesday
Tuesday's Europe rates/bond options flow included:
- RXM5 127.50/125.50 put spread paper paid 17.5 on +2.5K, 5K trades all day.
- ERJ5/ERM5 97.6875/97.75cs spread, bought the June for -0.25 in 40k
- ERZ5 98.25/98.625cs vs 97.75p, bought the cs for -0.75 in 8k (ref 98.05).
- ERZ5 98.50/98.75cs, bought for 3.5 in 40k total
MNI FOREX: JPY and CHF Extend Topside Momentum amid Souring Risk Sentiment
- US sentiment surveys have surprised to the downside consecutively during the last weeks (February consumer confidence below expectations today), bolstering the chances of further Fed rate cuts this year. Combining this with US tariff threats becoming more concrete, headwinds for both the dollar and global sentiment have been building.
- Lower core yields and pressure on major equity indices on Tuesday have boosted the likes of JPY and CHF, while risk sensitive currencies such as AUD, NZD and CAD have all underperformed. Treasury outperformance in today’s session has weighed on the dollar index overall, which shows a moderate 0.18% intra-day decline as we approach the APAC crossover.
- USDCHF (-0.50%) printed a fresh 2-month low at 0.8912, and broader market dynamics pose risks for a deeper correction lower for the pair. In recent sessions, both 20- and 50-day exponential moving averages have moved into a bear-mode position, underpinning the bearish threat. Support levels remain scant, with Fibonacci retracement points (drawn from 2024 low – 2025 high) at 0.8885 and 0.8788, the immediate technical levels of note.
- USDJPY briefly pierced key technical support, located at 148.65. Souring risk sentiment is weighing specifically on AUDJPY, which at one point extended its intra-day decline to around 1%, extending the 2025 lows and registering a 5-month low for the cross.
- Additionally, soft trendline support (drawn from the August 06 low) is being breached which underpins the bearish theme, and moving average indicators remain in a bear-mode position.
- AUDJPY should remain in focus this week, as Australia and Tokyo CPI are scheduled over the next two sessions. For Australia inflation due overnight, the market expects headline CPI to increase from 2.5% y/y to 2.6% y/y.
MNI FX OPTIONS: Expiries for Feb26 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.0400(E1.1bln), $1.0420-35(E2.6bln), $1.0440-50(E2.8bln), $1.0460-75(E1.6bln), $1.0495-00(E1.6bln), $1.0510-30(E5.0bln), $1.0550(E1.4bln)
- USD/JPY: Y149.00($956mln), Y150.00($833mln), Y150.20-25($780mln), Y151.00($1.4bln), Y151.95($1.0bln)
- EUR/JPY: Y155.00(E927mln)
- GBP/USD: $1.2675(Gbp619mln)
- AUD/USD: $0.6400(A$817mln)
- USD/CAD: C$1.3500($1.2bln), C$1.4300($784mln), C$1.4390-00($1.4bln)
- USD/CNY: Cny7.3500($1.2bln)
MNI US STOCKS: Late Equities Roundup: Broadline Retailers, REITS Buoy Weaker Market
- Stocks remain moderately mixed late Tuesday, the Dow outperforming amid buying in Consumer Staples sector. Currently, the DJIA trades up up 219.45 points (0.5%) at 43677.97, S&P E-Minis down 17.5 points (-0.29%) at 5983.5, Nasdaq down 207.1 points (-1.1%) at 19078.58.
- Risk sentiment remained poor amid ongoing tariff uncertainty. Anecdotally, the Conference Board's consumer confidence composite fell to 98.3 from 105.3 prior (102.5 expected), led by a drop in expectations to 72.9 from 82.2.
- Consumer Discretionary and Energy sector shares continued to lag in late trade, Tesla -9.86% led laggers in the Discretionary sector followed by Ralph Lauren -2.86%, Airbnb -2.20% and MGM Resorts -1.95%. Devon Energy -3.97%, ONEOK -3.47%, Coterra Energy -2.89% and Williams Cos -2.81% weighed on the Energy sector.
- On the positive side, Consumer Staples and Real Estate sectors led gainers, broadline retailers supported Consumer Staples: Walgreens Boots Alliance +4.16%, Walmart +3.53% and Church & Dwight +2.82%. Meanwhile, investment trusts buoyed the Real Estate sector: American Tower +6.15%, SBA Communications +2.34%, Public Storage +2.18%.
- Earnings after the close are expected from: Lucid Group, Permian Resources, ZoomInfo Technologies, Arcutis Biotherapeutics, First Solar, Caesars Entertainment, AMC Entertainment, Intuit Inc, Lemonade Inc, Workday Inc, Coupang, Supernus Pharmaceuticals and Axon Enterprise Inc.
MNI EQUITY TECHS: E-MINI S&P: (H5) Corrective Pullback Extends
- RES 4: 6205.38 0.764 proj of the Jan 13 - 24 - Feb 3 price swing
- RES 3: 6200.00 Round number resistance
- RES 2: 6178.75 High Dec 6 and key resistance
- RES 1: 6079.87/6166.50 20-day EMA / High Jan 24
- PRICE: 5980.00 @ 14:55 GMT Feb 25
- SUP 1: 5971.00 Intraday low
- SUP 2: 5935.50 Low Feb 3
- SUP 3: 5892.37 76.4% retracement of the Aug 5 - Dec 6 bull leg
- SUP 4: 5842.50 Low Jan 14
S&P E-Minis are trading lower this week. The move down appears corrective, however, price has breached support at 6014.00, the Feb 10 low. This signals scope for a deeper retracement and has exposed a key support at 5935.50, the Feb 3 low. Moving average studies remain in a bull-mode condition that suggests the trend direction remains up. A resumption of gains would refocus attention on key resistance at 6178.75, the Dec 6 ‘24 high.
MNI COMMODITIES: Crude, Precious Metals Fall After Weak US Sentiment Data
- Crude has fallen today on weak US consumer confidence data, which has added to fears of an economic slowdown.
- Meanwhile, the market is weighing US sanctions on Iranian oil companies against the potential for increased Iraq/Turkey pipeline flows and tariff threats.
- WTI APR 25 is down by 2.5% at $68.9/bbl.
- A bearish theme in WTI futures remains intact and today’s fresh short-term cycle low reinforces a bear condition. Next support is at $67.75, the Dec 20 ‘24 low.
- Meanwhile, spot gold has fallen by 1.4% to $2,912/oz, leaving the yellow metal ~$45 below yesterday all-time high.
- The move lower followed the weak US data as traders booked some profits after the recent run of gains, which still leaves gold up almost 4% MTD.
- A bull cycle in gold remains in play and sights are on $2,962.2, a Fibonacci projection. The first key support to watch is $2,878.2, the 20-day EMA.
- Silver is underperforming today, with the precious metal down by 2.5% at $31.5/oz, taking the gold-silver cross to its highest level since September 2022.
- From a technical perspective, a bull theme in silver is still intact and the latest pullback is considered corrective.
- Sights are on $33.450, a Fibonacci retracement. On the downside, key short-term support is seen at 31.386, the 50-day EMA. A clear breach of this level would highlight a potential reversal.
WEDNESDAY DATA CALENDAR
| Date | GMT/Local | Impact | Country | Event |
| 26/02/2025 | 0700/0800 | ** |  SE | PPI |
| 26/02/2025 | 0700/0800 | * |  DE | GFK Consumer Climate |
| 26/02/2025 | 0700/1500 | ** |  CN | MNI China Money Market Index (MMI) |
| 26/02/2025 | 0745/0845 | ** |  FR | Consumer Sentiment |
| 26/02/2025 | 0800/0900 | ** |  ES | PPI |
| 26/02/2025 | 1200/0700 | ** |  US | MBA Weekly Applications Index |
| 26/02/2025 | - |  EU | ECB's Lagarde and Cipollone in G20 FMs and CB Governors meeting | |
| 26/02/2025 | 1330/0830 | * |  CA | Capital and repair expenditure survey |
| 26/02/2025 | 1330/0830 | US | Richmond Fed's Tom Barkin | |
| 26/02/2025 | 1500/1000 | *** | US | New Home Sales |
| 26/02/2025 | 1530/1030 | ** | US | DOE Weekly Crude Oil Stocks |
| 26/02/2025 | 1630/1630 |  GB | BOE's Dhingra lecture on Trade fragmentation and monetary policy | |
| 26/02/2025 | 1630/1130 | ** | US | US Treasury Auction Result for 2 Year Floating Rate Note |
| 26/02/2025 | 1700/1200 | US | Atlanta Fed's Raphael Bostic | |
| 26/02/2025 | 1800/1300 | ** | US | US Treasury Auction Result for 7 Year Note |
| 27/02/2025 | 0030/1130 | * |  AU | Private New Capex and Expected Expenditure |