US TSYS: Gains Pared But Belly-Led Rally Holds With Some Notable Data Ahead
Apr-03 11:09
- Treasuries have shifted back towards the lower end of overnight ranges but hold a firm belly-led rally on the day after yesterday’s “Liberation Day” tariff announcement triggers large risk-off moves.
- Cash yields are 2-6.5bp lower on the day to extend the rally seen late yesterday. The day’s declines are led by the belly whilst 30s lag the move.
- TYM5 trades at 112-13 (+29) off overnight highs of 112-24+, on huge cumulative volumes already above 1mln.
- The contract has firmly resumed its uptrend, punching through 112-01 (Mar 4 high) and next opening 113-05 (Fibo projection). To the downside, support at 111-17+ (Mar 20 high).
- Today sees tariff and/or retaliation headlines firmly in focus but also with multiple potentially market moving releases including ISM services, jobless claims and Challenger job cuts. The latter wouldn’t normally get a mention but saw a sizeable rates rally last month after their sharp spike higher.
- Data: Challenger job cuts Mar (0730ET), Weekly jobless claims (0830ET), Trade balance Feb final (0830ET), S&P Global US serv/comp PMI Mar final (0945ET), ISM services Mar (1000ET)
- Fedspeak: Jefferson on economic outlook (1230ET, text + Q&A), Cook on economic outlook (1430ET, text + Q&A) – neither have spoken recently.
- Bill issuance: US Tsy $80B 4W, $75B 8W bill auctions (1130ET)
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EURIBOR OPTIONS: Put Spread seller
Mar-04 11:07
ERU5 97.9375/97.8125ps, sold at 4.5 in 10k.
OPTIONS: Expiries for Mar04 NY cut 1000ET (Source DTCC)
Mar-04 11:02
- EUR/USD: $1.0300(E1.0bln), $1.0375-85(E1.3bln), $1.0400(E691mln), $1.0450-55(E873mln), $1.0480(734mln), $1.0520-30(E1.9bln), $1.0545-50(E884mln)
- USD/JPY: Y148.30($686mln), Y148.90-00($555mln)
- AUD/USD: $0.6335(A$1.2bln)
- USD/CAD: C$1.4315-25($1.2bln), C$1.4395-10($2.0bln), C$1.4425($529mln)
- USD/CNY: Cny7.2610($574mln)
US: SOFR FIX - 04/03/25
Mar-04 11:01
SOFR FIX - Source BBG/CME
- 1M 4.31406 -0.00733
- 3M 4.30019 -0.00952
- 6M 4.21664 -0.01564
- 12M 4.05781 -0.01712
