STIR: Fed Rates Slowly Extend Trend Reversal Of Mid-Week Surge
- Fed Funds implied rates are a little lower than levels seen ahead of China tariff retaliation headlines seen in London hours but have reversed most of the decline.
- Whilst back comfortably within ranges, Dec’25 implied rates are still 5bp lower on the day.
- Cumulative cuts from 4.33% effective: 10bp May, 28.5bp Jun, 50bp Jul, 68bp Sep and 93bp Dec.
- Little change in intermeeting cut odds, around 2.5bps priced.
- Terminal rate expectations are little changed on the day, with SOFR implied yields seen bottoming out at 3.25% (-2.5bp, still close to 110bp of cuts) in the SFRU6.
- Today’s data docket sees PPI watched for PCE implications as well as broader tariff impacts on input costs before the April preliminary U.Mich survey with further climbs in inflation expectations expected.
- There’s more Fedspeak ahead after Boston Fed’s Collins (’25 voter, leans dove) yesterday afternoon capped off multiple FOMC member appearances on the need for patience amidst uncertainty.
Note also yesterday afternoon’s addition with Fed Chair Powell set to speak on the economic outlook on Apr 16 at 1330ET.
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US TSY FUTURES: Short Setting Seen Across Much Of Curve On Tuesday
OI data points to net short setting across most contracts on Tuesday, with FV futures once again seeing the largest positioning swing.
- Only modest long cover in UXY futures broke the wider theme.
| 11-Mar-25 | 10-Mar-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 3,915,055 | 3,883,551 | +31,504 | +1,243,953 |
FV | 6,245,246 | 6,173,325 | +71,921 | +3,159,198 |
TY | 4,700,117 | 4,698,104 | +2,013 | +130,039 |
UXY | 2,216,680 | 2,227,328 | -10,648 | -952,498 |
US | 1,770,567 | 1,766,363 | +4,204 | +550,412 |
WN | 1,760,309 | 1,759,527 | +782 | +153,333 |
|
| Total | +99,776 | +4,284,439 |
US 10YR FUTURE TECHS: (M5) Trend Structure Still Bullish
- RES 4: 113-05 2.0% 10-dma envelope
- RES 3: 112-13 1.500 proj of the Jan 13 - Feb 7 - Feb 12 price swing
- RES 2: 112-01/02 High Mar 4 / 1.382 proj of Jan 13-Feb 7-12 swing
- RES 1: 111-25 High Mar 11
- PRICE: 111-36 @ 10:26 GMT Mar 12
- SUP 1: 110-12+/110-00 Low Mar 6 / High Feb 7
- SUP 2: 109-28 50-day EMA and a key near-term support
- SUP 3: 109-13+ Low Feb 24
- SUP 4: 108-21 Low Feb 19
The trend structure in Treasury futures is unchanged, it remains bullish. This is reinforced by moving average studies that remain in a bull-mode condition, highlighting a dominant uptrend. The contract has recently pierced resistance at 111-22+, the Dec 3 ‘24 high. A clear breach of this level would strengthen a bullish theme and open 112-02 and 112-13, Fibonacci projection points. Firm support to watch is at 110-00, the Feb 7 high.
PORTUGAL AUCTION RESULTS: 10/13-year OTs
| 3.00% Jun-35 OT | 3.50% Jun-38 OT | |
| ISIN | PTOTEAOE0005 | PTOTEZOE0014 |
| Amount | E563mln | E537mln |
| Previous | E4bln | E500mln |
| Avg yield | 3.381% | 3.633% |
| Previous | 3.074% | 3.066% |
| Bid-to-cover | 1.988 | 1.978 |
| Previous | ||
| Avg Price | 96.75 | 98.61 |
| Pre-auction mid | 96.545 | 98.304 |
| Prev avg price | 99.36 | 104.79 |
| Prev mid-price | 104.787 | |
| Previous date | 09-Jan-25 | 25-Sep-24 |
