MNI ASIA OPEN: March NFP High Estimate +1M Jobs

EXECUTIVE SUMMARY

• MNI INTERVIEW: US Factory Prices Seen +3% Amid Best ISM in 38Y
• MNI BRIEF: Fed Jobs Model Sees Nearly 2M Jobs in March
• US DATA: ISM Mar Manufacturing PMI Rose To 64.7 vs Feb 60.8, Near 4-Decade High
• MAJORITY OF OPEC+ MEMBERS SUPPORT 1-MONTH ROLLOVER: DELEGATES, Bbg
• IRAN, CHINA, RUSSIA, EU TO DISCUSS U.S. RETURN TO NUCLEAR PACT, Bbg

US

FED: U.S. payrolls from mid-February to mid-March may have increased by as much as 1.67 million, St. Louis Fed economist Max Dvorkin told MNI. That's despite a "modest slowdown in the evolution of employment in mid-March, most likely related to spring break."

• On the lower end, Dvorkin's model, which synthesizes high frequency data from employee scheduling software companies Homebase and Kronos, predicts a monthly payrolls gain of 843,000, which would still be the largest one-month gain since August.
  

OVERNIGHT DATA

• US JOBLESS CLAIMS +61K TO 719K IN MAR 27 WK
  
• US PREV JOBLESS CLAIMS REVISED TO 658K IN MAR 20 WK
• US CONTINUING CLAIMS -0.046M to 3.794M IN MAR 20 WK

• US FEB CONSTRUCT SPENDING -0.8%
• US FEB PRIVATE CONSTRUCT SPENDING -0.5%
• US FEB PUBLIC CONSTRUCT SPENDING -1.7%

• US ISM NEW ORDERS INDEX 68.0 MAR VS 64.8 FEB
• US ISM EMPLOYMENT INDEX 59.6 MAR VS 54.4 FEB
• US ISM PRODUCTION INDEX 68.1 MAR VS 63.2 FEB
• US ISM SUPPLIER DELIVERY INDEX 76.6 MAR VS 72.0 FEB
• US ISM INVENTORIES INDEX 50.8 MAR VS 49.7 FEB

• CANADIAN FEB BUILDING PERMITS +2.1% MOM
• CANADA RESIDENTIAL BUILDING PERMITS -2.9%; NON-RESIDENTIAL +14.2%

MARKETS SNAPSHOT

• DJIA up 163.58 points (0.5%) at 33144.48
• S&P E-Mini Future up 36.25 points (0.91%) at 4003.75
• Nasdaq up 216.3 points (1.6%) at 13462.88
• US 10-Yr yield is down 6.3 bps at 1.677%
• US Jun 10Y are up 15.5/32 at 131-13.5
• EURUSD up 0.004 (0.34%) at 1.177
• USDJPY down 0.11 (-0.1%) at 110.61
• WTI Crude Oil (front-month) up $2.06 (3.48%) at $61.22
• Gold is up $19.46 (1.14%) at $1727.19

European bourses closing levels:

• EuroStoxx 50 up 26.75 points (0.68%) at 3945.96
• FTSE 100 up 23.67 points (0.35%) at 6737.3
• German DAX up 98.83 points (0.66%) at 15107.17
• French CAC 40 up 35.73 points (0.59%) at 6102.96

US TSY SUMMARY: Tsys Strong Ahead March NFP, S&P futures Top 4,000

• Post-Claims Bid: Slight delay post data before bid on decent volumes, futures made new session highs after wkly claims came out higher than exp (719k vs. 675k est), continuing claims pretty much in line at 3.794M. , yld curves bull flattening:
• All better reads on Mfg ISM data drew immediate selling followed by brief buying on the follow, some desks posited data was miss vs. whisper number on the heels of Wed's 5pt beat on Chicago PMI.
• Treasury sources report waves of real$ buying in long end as yield curves resume bull flattening, foreign acct buying intermediates, sporadic month end buying in the mix vs. swap-tied selling in 5s-10s.
• FRBNY EFFR for prior session: Daily Effective Fed Funds Rate: 0.06% volume: $56B; Daily Overnight Bank Funding Rate: 0.05%, volume: $148B. Relevance:
• Last year, OBFR dipped to 0.05% on April 1 as well and stayed there through June 1 with a brief dip to 0.04% on April 21 to May 1. Focus is speculation whether the Fed will raise IOER if EFFR dips below 5bps or less.
• Early close Friday w/March NFP at normal 0830ET, median est +650k.
• The 2-Yr yield is down 0.2bps at 0.1585%, 5-Yr is down 3.5bps at 0.9042%, 10-Yr is down 6.3bps at 1.677%, and 30-Yr is down 7.1bps at 2.3392%.

US TSY FUTURES CLOSE:

• 3M10Y -5.659, 166.357 (L: 165.47 / H: 172.833)
• 2Y10Y -5.99, 151.634 (L: 151.457 / H: 158.908)
• 2Y30Y -7.037, 217.6 (L: 217.486 / H: 226.3)
• 5Y30Y -4.025, 142.944 (L: 142.789 / H: 148.078)
• Current futures levels:
• Jun 2Y down 0.25/32 at 110-11.375 (L: 110-11.25 / H: 110-12.125)
• Jun 5Y up 4.5/32 at 123-17.25 (L: 123-11.75 / H: 123-21)
• Jun 10Y up 15/32 at 131-13 (L: 130-29 / H: 131-17.5)
• Jun 30Y up 52/32 at 156-7 (L: 154-20 / H: 156-12)
• Jun Ultra 30Y up 103/32 at 184-14 (L: 181-15 / H: 184-18)

US EURODOLLAR FUTURES CLOSE:

• Jun 21 steady at 99.825
• Sep 21 -0.005 at 99.805
• Dec 21 -0.005 at 99.730
• Mar 22 steady at 99.765
• Red Pack (Jun 22-Mar 23) steady to +0.015
• Green Pack (Jun 23-Mar 24) +0.025 to +0.040
• Blue Pack (Jun 24-Mar 25) +0.040 to +0.055
• Gold Pack (Jun 25-Mar 26) +0.055 to +0.065

Short Term Rates

US DOLLAR LIBOR: Latest settles:

• O/N -0.00588 at 0.07475% (+0.00137/wk)
• 1 Month -0.00075 to 0.11038% (+0.00313/wk)
• 3 Month +0.00550 to 0.19975% (+0.00075/wk) (Record Low of 0.17525% on 2/19/21)
• 6 Month -0.00400 to 0.20125% (-0.00200/wk)
• 1 Year -0.00263 to 0.28050% (-0.00025/wk)

• Daily Effective Fed Funds Rate: 0.06% volume: $56B
• Daily Overnight Bank Funding Rate: 0.05%, volume: $148B

• Secured Overnight Financing Rate (SOFR): 0.01%, $931B
• Broad General Collateral Rate (BGCR): 0.01%, $348B
• Tri-Party General Collateral Rate (TGCR): 0.01%, $324B
• (rate, volume levels reflect prior session)

• Scheduled purchases resume next week:
• Mon 4/05 1100-1120ET: Tsy 0Y-2.25Y, appr $12.825B
• Tue 4/06 1010-1030ET: Tsys 20Y-30Y, appr $1.750B
• Wed 4/07 1010-1030ET: Tsy 4.5Y-7Y, appr $6.025B
• Thu 4/08 1010-1030ET: TIPS 1Y-7.5Y, appr $2.425B
• Fri 4/09 1010-1030ET: Tsy 7Y-20Y, appr $3.625B

PIPELINE: Total $232.62B High-Grade Debt Issuance for March

March leads 2021 with stellar $232.62B high-grade corporate issuance vs. $275.48B for Mar 2020 (second to all-time record of $401.325B in April 2020). Q1'21 ahead last years pace $618.03B vs. $548.16B -- but April 2021 will be hard pressed to match last years record $401.32B for a single month!

FOREX: USD Rolls Off Cycle High Pre-Payrolls

• After holding its ground for much of the early session, the greenback turned lower after the London close, dragging the USD index off the 2021 highs printed earlier in the week. News catalysts were few and far between, with traders focusing on the extended weekend and the looming payrolls release. Nonetheless, equities continued their charge higher, with the S&P 500 breaking above 4,000 to hit new all-time highs.
• NZD and EUR traded most firmly Thursday, securing the fourth consecutive session of losses for AUD/NZD, which confirms a bearish reversal off the 2021 highs printed on Monday at 1.0947.
• Focus turns to Friday's payrolls release, which may see a muted response given the sporadic market closures across the US and full market closures across the European continent.
• Survey stands for the US to have added 650k jobs across March, pressuring the unemployment rate to new post-pandemic lows of 6.0%.

EGBs-GILTS CASH CLOSE: Entering Easter Weekend On A High

Bunds and Gilts went out on a high (with yields on lows) going into the 4-day weekend, with curves bull flattening despite strengthening equities. Periphery spreads ended mixed.

• Fairly orderly price action throughout the session, with European fixed income markets closed Fri and Mon.
• Potentially some position squaring / short cover ahead of Friday's US employment report. Indeed, US Tsys leading global yields lower.
• Final Manuf PMI data this morning, but first/only readings came in at/above expectations for Spain and Italy.

Closing yields/10-Yr Spreads to Bunds:

• Germany: The 2-Yr yield is down 1.7bps at -0.708%, 5-Yr is down 3.1bps at -0.659%, 10-Yr is down 3.6bps at -0.328%, and 30-Yr is down 3.2bps at 0.226%.
• UK: The 2-Yr yield is down 2.8bps at 0.076%, 5-Yr is down 2.8bps at 0.366%, 10-Yr is down 5bps at 0.795%, and 30-Yr is down 5.4bps at 1.343%.
• Italian BTP spread down 0.1bps at 95.9bps / Spanish up 0.7bps at 63.6bps