HIGHLIGHTS
- Treasuries look to finish near late session lows, reversing Friday morning's gap bid after lower than expected October jobs gain of +12k vs. +100k estimate.
- Despite the reversal, curves held steeper all session, 2s10s +5.593 at 16.595 (vs. 7.660 low), reflecting decent gains in projected rate cuts in the next few Fed policy meetings.
- Looking ahead, the US Presidential Election on Tuesday and the FOMC decision unusually on a Thursday are two major risk events in an otherwise light US calendar.
MNI US TSYS: Late Treasury Roundup: Ignoring Jobs Data, Yields Climb Ahead Election
- Curves maintained steeper profiles late Friday, despite Treasury futures gradually reversing this morning's post NFP-tied bid. Fast two-way trade reported as Treasury futures briefly extended lows than rebound gap higher after the latest employment report shows much lower than expected jobs gain and down revision to prior, unemployment rate in-line with expectations.
- Support evaporated after higher than expected S&P Global US Manufacturing PMI, Construction Spending and ISM prices paid data. After the bell, the Dec'24 10Y contract trades through round number support to 109-31.5 (-15.5) while curves hold steeper levels -- reflecting improved rate cut expectations on the day: 2s10s +4.592 at 15.594 (vs. 7.660 low), 5s30s +3.035 at 34.538 (vs. 28.331 low). After
- Projected rate cuts into early 2025 held firmer vs. late Thursday levels (*): Nov'24 cumulative at -24.6bp ( -23.5bp), Dec'24 -45.9bp (-42.8bp), Jan'25 -59.2bp (-58.1bp), Mar'25 -74.8bp (-75.0bp).
- Greenback initially weakened across the board after the lower-than-expected headline, but the murky details around industrial action and hurricanes likely containing the market fallout here. The USD reversed course throughout the session, terminal rates in the US stronger climbs on the week which contributed to the strong dollar reversal on Friday, with the USD index looking to close the week broadly unchanged around 104.25.
- Looking ahead, the US Presidential Election on Tuesday and the FOMC decision unusually on a Thursday are two major risk events in an otherwise light US calendar.
SOFR FIXES AND PRIOR SESSION REFERENCE RATES
SOFR Benchmark Settlements:
- 1M -0.00406 to 4.65200 (-0.05530/ wk)
- 3M -0.00495 to 4.55429 (-0.05035/wk)
- 6M +0.00472 to 4.41198 (-0.01874/wk)
- 12M +0.02230 to 4.19104 (+0.03814/wk)
US TSYS: Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 4.90% (+0.09), volume: $2.244T
- Broad General Collateral Rate (BGCR): 4.85% (+0.04), volume: $795B
- Tri-Party General Collateral Rate (TGCR): 4.85% (+0.04), volume: $763B
- (rate, volume levels reflect prior session)
STIR: FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 4.83% (+0.00), volume: $96B
- Daily Overnight Bank Funding Rate: 4.83% (+0.00), volume: $230B
FED Reverse Repo Operation: New Low Usage
RRP usage falls below $200B to $155.476B -- the lowest since May 6, 2021 -- vs. $201.278B on Thursday. The number of counterparties falls to 41 from 57 prior.
US SOFR/TREASURY OPTION SUMMARY
SOFR & Treasury option volumes picked up early Friday, option desks reporting better downside put structures on net as underlying futures gradually reversed Friday morning's post-NFP related rally, finishing near late session lows. Despite the reversal, curves held steeper levels as short end rates outperformed following the lower than expected October jobs gain. As a result, projected rate cuts into early 2025 held firmer vs. late Thursday levels (*): Nov'24 cumulative at -24.6bp ( -23.5bp), Dec'24 -45.9bp (-42.8bp), Jan'25 -59.2bp (-58.1bp), Mar'25 -74.8bp (-75.0bp).
SOFR Options:
Block, 6,000 0QX4 95.75/96.00/96.25 2x3x1 put flys, 2.5 net/wings over
Block, 8,880 SFRG5 95.87/96.00 put spds vs. 0QG5 95.31/95.56 put spds, 4.5 net/front Feb over
Block, 14,000 0QX4 96.00/96.12/96.31/96.43 put condors, 4.0 net vs. 96.43/0.06%
6,000 SFRH5 96.56/96.81 call spds ref 96.01
2,000 SFRF5 95.75/95.87/96.00 put flys ref 95.915
2,000 0QM5 97.25/97.62/98.00 call flys
1,500 2QZ4/3QZ4 96.87/97.50 call spd spds
4,000 0QZ4 96.25/96.37 put spds ref 96.325
4,000 2QZ4 96.62/97.0 3x2 put spds ref 96.325
9,600 2QZ4 96.62/97.00 put spds ref 96.34
4,000 SFRH5 95.37/95.62 put spds vs. 96.18/96.43 call spds ref 95.92
5,000 SFRZ4 95.56/95.62/95.68 iron flys ref 95.61
Treasury Options:
Block -26,250 wk2 TY 107.25 puts, 33 vs. 107-08/0.50% vs. +7,500 wk2 30Y 117.5 puts, 153 vs. 117-16/0.50%
over 17,500 USZ4 115 puts, 46-47 ref 117-28 to -26
over 8,700 USZ4 115 puts, 51 last ref 117-29
over 19,000 TYZ4 108.5/111.25 risk reversals ref 110-12.5
over 17,000 wk1 TY 110 puts, 9 last -- expire today
1,700 TYZ4 106.75 puts ref 110-11
2,600 TYZ4 114/115.5 call spds ref 110-11
1,500 TYZ4 110.25 straddles ref 110-11
FOREX: Strong Greenback Bounce Post Weaker Payrolls, USDMXN Fresh YTD High
- Despite a far softer than expected NFP reading for October at just 12k (cons 100k) along with a heavy, and highly important, two-month downward revision of -112k, the initial punch lower for US yields and the USD reversed course throughout the session.
- Terminal rates in the US have seen stronger climbs on the week and this has contributed to the strong dollar reversal on Friday, with the USD index looking to close the week broadly unchanged around 104.25.
- USDJPY (+0.60%) displayed its usual volatility over major US data points, initially dipping around 90 pips back to session lows around 151.80, before then reversing all the way back to 153.00, where spot currently stands as we approach the close.
- EURUSD made a very brief showing above 1.0900 before also reversing back to 1.0840 at typing. The softer single currency and more stable sentiment in the UK helped EURGBP (-0.62%) ease back to 0.8385 after its impressive 2-day advance following the UK budget.
- Upward pressure on US yields and the close proximity to the US presidential election has seen a notable move higher for USDMXN into the close, rising over 1% to print a fresh year-to-date high. Investors remain wary of what another Trump term may mean for the Mexican economy, as well as pessimism surrounding the ongoing domestic reforms continuing to weigh on the peso. A clear break above the prior 20.2181 high would resume the uptrend and open 20.4578, the 1.764 projection of the Sep 18 - Oct 1 - Oct 4 price swing.
- The RBA meeting and US ISM Services PMI are notable data points on Tuesday, ahead of the US election. The FOMC decision and press conference will be on Thursday next week.
FX OPTIONS: Expiries for Nov01 NY cut 1000ET (Source DTCC) - EUR/USD: $1.0750(E699mln), $1.0800-03(E1.1bln), $1.0840-50(E1.4bln), $1.0895-00(E1.4bln), $1.0925-30(E510mln)
- USD/JPY: Y152.00($575mln), Y153.00($606mln)
- GBP/USD: $1.2900(Gbp584mln)
- EUR/GBP: Gbp0.8340(E719mln)
- NZD/USD: $0.6100(N$720mln)
- USD/CAD: C$1.3885($620mln), C$1.3940($618mln)
- USD/CNY: Cny7.1500($854mln)
MNI US STOCKS: Late Equities Roundup: Broadline Retailers, IT Outperforming
- Still firmer in late Friday trade, stocks have trimmed gains ahead the weekend with sights on next week's presidential election. While the event risk is undeniable, there is practically no chance that the winner of the election will be known after polling stations close next Tuesday evening.
- Stocks bounced off near four week lows this morning after lower than anticipated employment data reignited bets of more Fed rate cuts in the near term. Currently, the DJIA trades up 340.54 points (0.82%) at 42103.07, S&P E-Minis up 28.5 points (0.5%) at 5767, Nasdaq up 153.1 points (0.8%) at 18247.55.
- Consumer Discretionary and Information Technology sectors continued to outperform in late trade, broadline retailers supporting the Discretionary sector: Lululemon +7.75%, Amazon +6.19% after topping earnings expectations late Thursday, Chipotle +4.38%. Chip makers bounced off midweek lows as they buoyed the IT sector: Intel +7.25% after topping estimates late Thursday, Dell +5.39%, First Solar +4.68%, Hewlett Packard +2.67%.
- Utilities and Real Estate sectors continued to underperform in late trade, electricity and independent energy providers reversing midweek gains: despite topping earnings, AES -10.34% as revenues missed, Entergy -5.63%, NRG Energy -4.73%. Residential and office REITs weighed on the Real Estate sector: Essex Property -2.35%, UDR Inc -2.32%, Camden Property -2.19%.
- Notable companies announcing early next week (aside from Berkshire Hathaway Saturday) include: Fidelity Ntnl, Marriott Int, Diamondback Energy, Vertex, AIG, Palantir, Marathon, Archer-Daniels Midland, Yum! Brands, Devon Energy, Lumen, Super Micro Computer, CVS, Owens Corning and McKesson.
MNI EQUITY TECHS: E-MINI S&P: (Z4) Monitoring Resistance
- RES 4: 6012.75 1.00 projection of the Aug 5 - Sep 3 - 6 price swing
- RES 3: 6000.00 Psychological handle
- RES 2: 5961.00 1.00 projection of the Sep 6 - 17 - 18 price swing
- RES 1: 5831.570/5927.25 20-day EMA / High Oct 17 and bull trigger
- PRICE: 5796.50 @ 14:25 GMT Nov 1
- SUP 1: 5732.50 Intraday low
- SUP 2: 5724.00 Low Oct 2
- SUP 3: 5637.60 38.2% retracement of the Aug 5 - Oct 17 bull cycle
- SUP 4: 5600.25 Low Sep 12
S&P E-Minis traded sharply lower Thursday but has found some support today. The contract has cleared both the 20- and 50-day EMAs - an important short-term bearish development. The break lower signals scope for an extension and has exposed the next support at 5724.00, the Oct 2 low. Clearance of this level would open 5637.60, a Fibonacci retracement. Initial firm resistance is 5831.57, the 20-day EMA.
MONDAY DATA CALENDAR
| Date | GMT/Local | Impact | Country | Event |
| 04/11/2024 | 0700/0200 | * |  TR | Turkey CPI |
| 04/11/2024 | 0815/0915 | ** |  ES | S&P Global Manufacturing PMI (f) |
| 04/11/2024 | 0845/0945 | ** |  IT | S&P Global Manufacturing PMI (f) |
| 04/11/2024 | 0850/0950 | ** |  FR | S&P Global Manufacturing PMI (f) |
| 04/11/2024 | 0855/0955 | ** |  DE | S&P Global Manufacturing PMI (f) |
| 04/11/2024 | 0900/1000 | ** |  EU | S&P Global Manufacturing PMI (f) |
| 04/11/2024 | - | EU | ECB's Lagarde and Cipollone in Eurogroup meeting | |
| 04/11/2024 | 1330/1430 | EU | ECB's Elderson speech at '10 years of SSM' conference | |
| 04/11/2024 | 1400/1500 | EU | ECB's Elderson in panel 'Achievement...and the outlook' | |
| 04/11/2024 | 1500/1000 | ** |  US | Factory New Orders |
| 04/11/2024 | 1530/1030 |  CA | BOC market participants survey | |
| 04/11/2024 | 1630/1130 | * | US | US Treasury Auction Result for 26 Week Bill |
| 04/11/2024 | 1630/1130 | * | US | US Treasury Auction Result for 13 Week Bill |
| 04/11/2024 | 1800/1300 | *** | US | US Note 03 Year Treasury Auction Result |
| 05/11/2024 | 0330/1430 | *** |  AU | RBA Rate Decision |