US TSYS: TYA Probes Resistance, 5s30s Close To Cycle Highs
May-01 10:56
- Treasuries have pushed to session highs across 2-10Y tenors with an added boost from GM cutting its outlook and noting tariff exposure currently up to $5bn.
- It extends modest gains across the curve, building on the BoJ holding its policy rate and lowering economic forecasts plus sizeable declines in crude oil futures (WTI -2.7%).
- Today sees further labor market data and manufacturing surveys before tomorrow’s NFP report (MNI preview here) along with continued focus on earnings (McDonalds and Mastercard still to come pre-market before Air BnB, Amazon and Apple after the close).
- Cash yields are between 1.5-2.5bp lower.
- It consolidates yesterday’s large steepening with 2s10s at 55bps and 5s30s at 95bps after hitting 97.5bp yesterday.
- 5s30s in particular is notable, at a level that it has struggled to push above for any sustained period of time including with deleveraging pressure after Apr 2 Liberation Day tariff announcements – see chart.
- TYM5 has recently pushed to session highs of 112-16 (+09) to match yesterday’s 112-16, on particularly low volumes of 215k that aren’t helped by holidays across Europe and Asia.
- It helps extend the bull cycle, testing resistance at the same 112-16 (1.0% 10-dma envelope) after which lies 113-04 (76.4% retrace of Apr 7-11 bear leg). To the downside, 111-07+ 20-day EMA).
- Data: Challenger job cuts Apr (0730ET), Weekly jobless claims (0830ET), S&P Global US mfg PMI Apr final (0945ET), ISM mfg Apr (1000ET), Construction spending Mar (1000ET)
- Bill issuance: US Tsy $85B 4W, $75B 8W bill auctions (1130ET)
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AUD: SocGen Believe AUD Should Not Be Underperforming Against Current Backdrop
Apr-01 10:56
- In contrast to the earlier bearish views on AUD, SocGen highlight that AUDUSD is almost exactly where it was on January 6, despite a 40bp narrowing in the 5-year yield differential.
- With recent Chinese data improving, and with China accounting for 9 times as much of Australia’s exports as the US does, SG believe the AUD should not be one of the worst-performing currencies against the current backdrop.
US TSYS: Steady Gains See TYA Take Another Step Closer To Bull Trigger
Apr-01 10:56
- Treasuries have slowly extended gains through both Asia and European hours and continue to probe recent highs.
- Modest gains over the past hour were helped by the Washington Post reporting around White House aides drafting a proposal for tariffs of around 20%.
- Cash yields are 2-4bp lower on the day, with 2s lagging declines ahead of some notable data releases including ISM manufacturing and JOLTS reports at 1000ET.
- 2Y yields at 3.865% for now remain above yesterday’s stabilization either side of the 3.85% level. 10Y yields meanwhile at 4.165% have easily pushed through yesterday’s 4.18-4.20%, with ytd lows seen at 4.104% on Mar 4.
- TYM5 trades close to a recent session high of 110-24+ ( + 17+) on solid overnight volumes of 455k.
- It has cleared tentative resistance at yesterday’s 111-22+ for another step closer to a bull trigger at 112-01 (Mar 4 high) after which lies 112-13 (Fibo projections).
- Data: S&P Global US mfg PMI Mar final (0945ET), ISM mfg Mar (1000ET), JOLTS Feb (1000ET), Construction spending Feb (1000ET), Dallas Fed services Mar (1030ET)
- Fedspeak: Barkin on policy and economic outlook (0900ET, text tbd)
- Bill issuance: US Tsy $70B 6W bill & $50B 14D CMB auctions (1130ET)
STIR: Net Long Cover Most Prominent In SOFR Futures On Monday, Some Shorts Set
Apr-01 10:53
OI data points to net long cover providing the most meaningful positioning swings through the SOFR greens on Monday, although some sizeable rounds of net short setting were also observed (most notably in SFRM5).
| 31-Mar-25 | 28-Mar-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,184,946 | 1,176,188 | +8,758 | Whites | -21,652 |
SFRM5 | 1,339,213 | 1,299,968 | +39,245 | Reds | -3,830 |
SFRU5 | 933,926 | 988,251 | -54,325 | Greens | -43,970 |
SFRZ5 | 1,084,708 | 1,100,038 | -15,330 | Blues | -2,701 |
SFRH6 | 650,227 | 643,893 | +6,334 |
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SFRM6 | 690,706 | 680,632 | +10,074 |
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SFRU6 | 628,954 | 637,794 | -8,840 |
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SFRZ6 | 785,437 | 796,835 | -11,398 |
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SFRH7 | 491,477 | 507,456 | -15,979 |
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SFRM7 | 470,802 | 488,042 | -17,240 |
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SFRU7 | 314,041 | 318,777 | -4,736 |
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SFRZ7 | 427,353 | 433,368 | -6,015 |
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SFRH8 | 230,364 | 232,386 | -2,022 |
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SFRM8 | 191,123 | 190,300 | +823 |
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SFRU8 | 128,687 | 130,602 | -1,915 |
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SFRZ8 | 135,854 | 135,441 | +413 |
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