TREASURY WRAP: T-NOTE FUTURES (H6) SETTLE 8+ TICKS HIGHER AT 113-13+

Analysis details (20:41)

T-notes rally in risk-off trade. At settlement, 2-year −2.7bps at 3.444%, 3-year −3.2bps at 3.452%, 5-year −3.7bps at 3.579%, 7-year −3.7bps at 3.775%, 10-year −3.2bps at 4.016%, 20-year −3.0bps at 4.607%, 30-year −2.78ps at 4.666%.

THE DAY: T-notes were firmer across the curve on Tuesday. Overnight trade was quiet, but T-notes rallied throughout the US session while the jobless claims data had little effect. The upside really kicked off after the US equity open, where any post and pre-market gains in Nvidia (NVDA) were wiped out (and more) despite a stellar report. Meanwhile, the SCMP reported that the Trump-Xi summit preparations faltered as planning gaps unsettled Beijing. This further hit risk sentiment, weighing on equities and boosting Treasuries, while at the same time, more haven demand was seen as the first stage of Iran/US talks this morning, which seemingly did not get off to a great start. Attention then shifted to the 7-year auction, which was better received than the 2 and 5-year supply earlier this week (see below). Later, the second part of the US/Iran talks concluded, which ultimately were a lot more optimistic than the morning session - talks resume next week. Fed speak saw Goolsbee largely reiterate recent commentary, noting he wants inflation to come down before easing policy, but he is still optimistic that the Fed can cut rates more this year.   

SUPPLY

Bills

• US sold 8-week bills at high rate of 3.630%, B/C 2.80x; sold 4-week bills at high rate of 3.625%, B/C 2.88x


• US to sell USD 77bln 26-week bills and USD 89bln 13-week bills on March 2nd; to sell USD 90bln on March 3rd; all to settle on March 5th

Notes

• The US sold USD 44bln of 7-year notes at a high yield of 3.790%, on the screws vs the When Issued. This was better than the prior and six auction average of a 0.4bps tail, and also a better sign of demand when compared to the 2- and 5-year issuance earlier in the week. The Bid-to-cover rose above recent averages to 2.50x, with these strong metrics despite a rally in T-notes ahead of the auction. The breakdown was more average, with direct demand rising to 26%, in line with recent averages, while indirect demand slipped to 63.6%, slightly above the 62.6% average, which left dealers with 10.4% of the auction, slightly lower than the prior and average.

STIRS/OPERATIONS

• Market Implied Fed Rate Cut Pricing: March 0bps (prev. 0bps), April 3.2bps (prev. 2.7bps), June 11.3bps (prev. 10.8bps), December 54.2bps (prev. 52.3bps).


• NY Fed RRP op demand at 3.80bln (prev. 1.16bln) across 7 counterparties (prev. 7) on February 26th


• SOFR at 3.67% (prev. 3.67%), volumes at USD 3.232tln (prev. USD 3.239tln) on February 25th


• EFFR at 3.64% (prev. 3.64%), volumes at USD 108bln (prev. USD 106bln) on February 25th

26 Feb 2026 - 20:41- ForexResearch Sheet- Source: Newsquawk