New low treasury yields for 2025, new high vol
March 3, 2025
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–Trump announces Crypto Strategic Reserve, causing bitcoin to jump 10%. Precious metals also rebounding, but in a much more muted way. GCJ +34.50 to 2883, up 1.2%.
–Friday featured new low yields for this calendar year, with tens down 5.6 bps to 4.227%. 2y now just under 4% at 3.995 (-8.3 bps). PCE inflation data about as expected +0.3 with Core also +0.3 m/m. Core yoy at 2.6% matched the low of last year at 2.6%, the low of this cycle. Real Personal Spending was -0.5%, reflecting concerns about consumption going forward. Treasury vol at new high for the year. On Friday 2/21, TYM atm 109.5^ was 2’31. On Friday 2/28, the atm 111^ is 2’48.
–Today’s news includes ISM Mfg expected 50.8 vs 50.9 last. New Orders expected 54.6 from 55.1. New Orders bears close scrutiny as some reports indicate that orders are slowing significantly on policy uncertainty. Atlanta Fed GDP Now plunged to -1.5% for Q1. However, NY Fed Nowcast is still 2.9%.
–On SOFR strip, new lows in near calendars. SFRH5/H6 settled -68.25 (9571.25/9639.5) with H6 along with Z5 being the strongest contracts Friday, +10.5. (Z5 at 9631.5 or 3.685% vs Fed’s year-end projection of 3.9%). Near contracts being held down as easing is pushed back in time somewhat. For example, the guy who bought 100k FFK5 at 9571 the previous week continues to exit with a small profit, selling 60k at 9573.0 (settled 9574.5).
–Headline just on BBG: German 30-yr bond yield rises 10 bps on defense spending.
