TREASURY WRAP: T-NOTE FUTURES (M6) SETTLE 4 TICKS HIGHER AT 112-14

Analysis details (20:32)

T-notes chop to surging energy prices and a weak NFP report while private credit concerns linger. At settlement, 2-year -3.8bps at 3.561%, 3-year -2.7bps at 3.588%, 5-year -1.8bps at 3.724%, 7-year -1.3bps at 3.923%, 10-year -0.6bps at 4.140%, 20-year +1.5bps at 4.736%, 30-year +1.3bps at 4.766%.

THE DAY: T-notes were choppy on Friday with downside observed throughout the morning as energy prices continued to rocket, with Qatar warning the conflict could cause all Gulf energy producers to have shut production within weeks. However, T-notes rallied in wake of the weak US NFP report, which saw 92k jobs lost, unwinding some of the strength seen in January and raising questions over the recent labour market stabilisation. T-note futures rose from lows of 112-01+ pre-data, to a peak of 112-21 on the release. However, this move quickly faded with T-notes heading lower to match the aforementioned low an hour later. However, with participants weighing the state of the US labour market, or potential price impacts from the Middle East war, treasuries rose back to highs into settlement. Elsewhere, Retail Sales were slightly better than expected, but focus was on the jobs data. There was plenty of Fed speak before the blackout period commences, Daly said the jobs market is vulnerable and this report has caught her attention, but also noting one month of data is not decisional. Goolsbee said the report was a tough miss, but said one report is not a trend - if this went on for several months, it would be a concern. Miran said the Fed should cut to neutral, then re-estimate. Waller, speaking pre-data, said there will be a spike in gasoline prices, but it is unlikely to cause sustained inflation. He also somewhat ironically said that if we get a bad jobs number today, and January is revised down, "Why would we just sit on our hands?". January only saw a minor revision lower, but December saw a 65k revision lower - perhaps signalling he may vote for another 25bps cut in March. Concerns on private credit continue to linger too, Western Alliance (WAL) filed a lawsuit & charged off USD 126.4mln in loan balances after Jefferies (JEF) failed to make agreed-upon payments. Meanwhile, Blackrock (BLK) limited withdrawals at a private credit fund as redemptions start to mount. 

SUPPLY

Notes

• US to sell USD 58bln of 3-year notes, USD 29bln of 10-year notes and USD 22bln of 30-year bonds on March 12th; all to settle on March 16th

Bills

• US to sell USD 89bln of 13-week bills and USD 77bln of 26-week bills on March 9th; to sell USD 90bln of 6-week bills on March 10th; All to settle March 12th.

STIRS/OPERATIONS

• NY Fed RRP op demand at USD 1.51bln (prev. 2.79bln) across 5 counterparties (prev. 5).


• SOFR at 3.66% (prev. 3.67%), volumes at USD 3.294tln (prev. USD 3.292tln) on March 5th.


• EFFR at 3.64% (prev. 3.64%), volumes at USD 106bln (prev. USD 106bln) on March 5th.

06 Mar 2026 - 20:32- ForexData- Source: Newsquawk