CROSS ASSET: Equity Recovery Has Been Notable, But Could Reflect Complacency
- Benchmarking cross-asset returns on the ceasefire bounce this week expose an inconsistency among the major asset classes. Equities are the major beneficiary, while energy complex returns have been considerably more conservative.
- The reported ceasefire agreement between the US and Iran is on fragile footing, but markets across asset classes have moved away from “risk off” extremes. Equities have registered the largest retracement, with the Eurostoxx 50 having retracted ~56% of the Feb 27 – March 20 selloff, and the S&P 500 seeing a more notable 80% retracement of the Feb 27 – March 30 pullback.
- In contrast, crude oil, fixed income and precious metals have seen more contained retracements.
- One rationale for this dynamic is that equities are taking a longer-term forward-looking view: an end to the war would allow markets to refocus on potential tailwinds related to AI productivity enhancements, for example. That said, it could also be considered complacent given still-elevated geopolitical risks.
- Similar dynamics have been observed this morning: Equity markets are lower on the session but have nonetheless held onto the majority of Wednesday night’s ceasefire-fuelled gains.
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SOFR: Short Setting Most Prominent In Front End Of Futures Strip On Monday
OI data points to net short setting dominating through the reds as SOFR futures settled lower on Monday, before long cover came to the fore in the greens and a more even balance between the two was seen in the blues.
- Note that the heaviest net OI swing came in the reds.
- A reminder that oil price swings drove almost all of yesterday’s movement in SOFR futures, with the rally from lows late in the session complicating any inference surrounding positioning swings.
| 09-Mar-26 | 06-Mar-26 | Daily OI Change |
| Daily OI Change In Packs |
SFRZ5 | 1,301,115 | 1,303,160 | -2,045 | Whites | +57,387 |
SFRH6 | 1,379,566 | 1,333,511 | +46,055 | Reds | +168,670 |
SFRM6 | 1,307,656 | 1,277,148 | +30,508 | Greens | -11,991 |
SFRU6 | 1,183,780 | 1,200,911 | -17,131 | Blues | +1,030 |
SFRZ6 | 1,341,156 | 1,298,950 | +42,206 |
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SFRH7 | 991,513 | 928,436 | +63,077 |
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SFRM7 | 929,732 | 890,909 | +38,823 |
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SFRU7 | 761,593 | 737,029 | +24,564 |
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SFRZ7 | 1,054,449 | 1,044,231 | +10,218 |
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SFRH8 | 528,553 | 536,955 | -8,402 |
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SFRM8 | 426,765 | 436,253 | -9,488 |
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SFRU8 | 399,836 | 404,155 | -4,319 |
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SFRZ8 | 397,849 | 390,147 | +7,702 |
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SFRH9 | 220,035 | 227,676 | -7,641 |
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SFRM9 | 188,535 | 188,680 | -145 |
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SFRU9 | 173,923 | 172,809 | +1,114 |
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GERMAN AUCTION RESULTS: 2.10% Mar-28 Schatz
| 2.10% Mar-28 Schatz | Previous | |
| ISIN | DE000BU22122 | |
| Total sold | E5bln | E6bln |
| Allotted | E3.871bln | E4.59bln |
| Avg yield | 2.27% | 2.02% |
| Bid-to-offer | 1.24x | 1.36x |
| Bid-to-cover | 1.61x | 1.77x |
| Avg Price | 99.674 | 100.152 |
| Low Price | 99.670 | 100.150 |
| Pre-auction mid | 99.676 | 100.146 |
| Previous date | 17-Feb-26 |
US 10YR FUTURE TECHS: (M6) Monitoring Resistance
- RES 4: 113-13+ Low Feb 27
- RES 3: 113-07+ High Mar 3
- RES 2: 113-03 High Mar 4
- RES 1: 112-22/112-24+ 20-day EMA / Intraday high
- PRICE: 112-17+ @ 10:20 GMT Mar 10
- SUP 1: 111-26+ Low Mar 6 and the bear trigger
- SUP 2: 111.21+ Low Feb 9
- SUP 3: 111-13+ Low Feb 5
- SUP 4: 111-06+ Low Jan 20 and a key support
The current bear cycle in Treasuries remains intact and a fresh cycle low on Monday reinforces the bear theme. The recovery from yesterday’s is - for now - considered corrective. A resumption of the bear cycle would signal scope for an extension towards the next key support at 111-06+, the Jan 20 low. Initial firm resistance is seen at 112-22, the 20-day EMA. It has been pierced, a clear break of it is required to signal a possible reversal.
