US RATES SUMMARY

• 3-Month USD LIBOR +6.7bp today, now at 0.7700%; 3-Month OIS +3.4bp at 0.4785%
• The treasury yield curve steepened, with the 1s10s spread widening 7.8 bp, now at 84.2 bp (YTD change: -29.1bp)
• 1Y: 1.1089% (up 3.3 bp)
• 2Y: 1.6737% (up 7.5 bp)
• 5Y: 1.8791% (up 10.4 bp)
• 7Y: 1.9321% (up 10.6 bp)
• 10Y: 1.9506% (up 11.1 bp)
• 30Y: 2.3297% (up 11.2 bp)
• US treasury curve spreads: 3m2Y at 129.5bp (up 6.9bp today), 2s5s at 20.5bp (up 2.9bp), 5s10s at 7.1bp (up 0.7bp), 10s30s at 37.9bp (up 0.1bp)
• Treasuries butterfly spreads: 1s5s10s at -70.6bp (down -5.3bp), 5s10s30s at 30.2bp (down -0.3bp)
• TIPS 1Y breakeven inflation at 5.45% (down -40.6bp); 2Y at 4.35% (down -12.7bp); 5Y at 3.33% (down -7.2bp); 10Y at 2.89% (down -3.8bp); 30Y at 2.53% (down -2.1bp)
• US 5-Year TIPS Real Yield: +17.9 bp at -1.5330%; 10-Year TIPS Real Yield: +15.9 bp at -0.9220%; 30-Year TIPS Real Yield: +14.7 bp at -0.1840%

AUCTION RESULTS: $34BN 10-YEAR 1.875% COUPON TREASURY NOTE (91282CDY4)

• Mixed stats: pricing just off the when-issued, at a below-average cover but with reasonable end-user demand (at 86.2% vs 92.6% prior and 84.2% average)
• High yield: 1.920% (vs 1.904% prior), a 0.4bp tail vs when-issued at the bid deadline
• Bid/Cover: 2.47 (vs 2.68 prior and 2.51 average)
• dealer 13.7% (vs 14.7% average)
• Directs: 18.0% (vs 15.0% prior and 16.6% average)
• Indirects 68.2% (vs 77.6% prior and 67.5% average)

US MACRO RELEASES

• JOLTS Job Openings for Jan 2022 (BLS, U.S Dep. Of Lab) at 11.26 Mln (vs 10.93 Mln prior), above consensus estimate of 10.93 Mln
• MBA Mortgage Applications Survey composite index, weekly percentage change, Change P/P for W 04 Mar (MBA, USA) at 8.50 % (vs -0.70 % prior)
• Mortgage applications, market composite index for W 04 Mar (MBA, USA) at 502.50 (vs 463.10 prior)
• Mortgage applications, market composite index, purchase for W 04 Mar (MBA, USA) at 267.60 (vs 246.30 prior)
• Mortgage applications, market composite index, refinancing for W 04 Mar (MBA, USA) at 1829.70 (vs 1685.70 prior)
• Mortgage Lending Rates, FRM 30-Year Contract Rate (MBA Sourced) for W 04 Mar (MBA, USA) at 4.09 % (vs 4.15 % prior)
• Refinitiv / Ipsos Primary Consumer Sentiment Index (CSI) for Mar 2022 (Refinitiv/Ipsos) at 54.72 (vs 53.62 prior)

US FORWARD RATES

• Fed Funds futures now price in 27.3bp of Fed hikes by the end of March 2022, 61.7bp (2.47 x 25bp hikes) by the end of May 2022, and price in 6.39 hikes by the end of December 2022
• 3-month Eurodollar futures (EDZ) spreads price in 32.5 bp of hikes in 2023 (equivalent to 1.3 x 25 bp hikes), up 5.5 bp today, and -22.0 bp of hikes in 2024 (equivalent to -0.9 x 25 bp hikes)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 5.45% (down -40.6bp); 2Y at 4.35% (down -12.7bp); 5Y at 3.33% (down -7.2bp); 10Y at 2.89% (down -3.8bp); 30Y at 2.53% (down -2.1bp)
• 6-month spot US CPI swap down -27.4 bp to 5.130%, with a flattening of the forward curve
• US Real Rates: 5Y at -1.5330%, +17.9 bp today; 10Y at -0.9220%, +15.9 bp today; 30Y at -0.1840%, +14.7 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) down -29.5% at 137.0%
• 3-Month LIBOR-OIS spread up 3.3 bp at 29.2 bp (12-months range: -5.5-29.2 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.116% (up 7.8 bp); the German 1Y-10Y curve is 8.4 bp steeper at 90.0bp (YTD change: +44.0 bp)
• Japan 5Y: 0.000% (up 0.5 bp); the Japanese 1Y-10Y curve is 0.3 bp steeper at 23.1bp (YTD change: +7.2 bp)
• China 5Y: 2.566% (up 4.0 bp); the Chinese 1Y-10Y curve is 4.6 bp flatter at 73.8bp (YTD change: +22.8 bp)
• Switzerland 5Y: -0.057% (up 4.8 bp); the Swiss 1Y-10Y curve is 0.3 bp steeper at 90.4bp (YTD change: +26.9 bp)

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +3.0 bp at 199.3 bp (YTD change: +27.2 bp)
• US-JAPAN: +8.0 bp at 186.4 bp (YTD change: +51.7 bp)
• US-CHINA: +6.8 bp at -67.3 bp (YTD change: +61.9 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: -9.5 bp at 117.7 bp (YTD change: +34.5bp)
• US-JAPAN: +19.9 bp at -21.9 bp (YTD change: +48.9bp)
• JAPAN-GERMANY: -29.4 bp at 139.6 bp (YTD change: -14.4bp)

FX SUMMARY

• The US Dollar Index is down -1.17% at 98.01 (YTD: +2.45%)
• Euro up 1.37% at 1.1048 (YTD: -2.8%)
• Yen down 0.32% at 116.05 (YTD: -0.8%)
• Onshore Yuan up 0.02% at 6.3174 (YTD: +0.7%)
• Swiss franc up 0.12% at 0.9278 (YTD: -1.7%)
• Sterling up 0.47% at 1.3165 (YTD: -2.7%)
• Canadian dollar up 0.48% at 1.2818 (YTD: -1.4%)
• Australian dollar up 0.39% at 0.7294 (YTD: +0.5%)
• NZ dollar up 0.25% at 0.6821 (YTD: 0.0%)

MACRO DATA RELEASES

• Argentina, Production, Change Y/Y, Price Index for Jan 2022 (INDEC, Argentina) at -0.30 % (vs 10.10 % prior)
• Brazil, Production, General industry, Change P/P for Jan 2022 (IBGE, Brazil) at -2.40 % (vs 2.90 % prior), below consensus estimate of -1.90 %
• Brazil, Production, General industry, Change Y/Y for Jan 2022 (IBGE, Brazil) at -7.20 % (vs -5.00 % prior), below consensus estimate of -6.00 %
• China (Mainland), CPI, Average, Change Y/Y, Price Index for Feb 2022 (NBS, China) at 0.90 % (vs 0.90 % prior), in line with consensus
• China (Mainland), CPI, Change P/P for Feb 2022 (NBS, China) at 0.60 % (vs 0.40 % prior), above consensus estimate of 0.30 %
• China (Mainland), Producer Prices, Change Y/Y, Price Index for Feb 2022 (NBS, China) at 8.80 % (vs 9.10 % prior), above consensus estimate of 8.70 %
• Czech Republic, Trade Balance, CIF/FOB (National Concept), Current Prices for Jan 2022 (CSU, Czech Rep) at 6.20 Bln CZK (vs -15.00 Bln CZK prior), above consensus estimate of 0.00 Bln CZK
• Hungary, CPI, All Items, Change Y/Y, Price Index for Feb 2022 (HCSO, Hungary) at 8.30 % (vs 7.90 % prior), above consensus estimate of 8.10 %
• Italy, Production, Total industry excluding construction, Change P/P for Jan 2022 (ISTAT, Italy) at -3.40 % (vs -1.00 % prior), below consensus estimate of 0.00 %
• Italy, Production, Total industry excluding construction, Change Y/Y for Jan 2022 (ISTAT, Italy) at -2.60 % (vs 4.40 % prior), below consensus estimate of 3.20 %
• Mauritius, Policy Rates, Key Repo Rate for Q1 2022 (Bank of Mauritius) at 2.00 % (vs 1.85 % prior)
• Mexico, CPI, Change P/P, Price Index for Feb 2022 (INEGI, Mexico) at 0.83 % (vs 0.59 % prior), above consensus estimate of 0.80 %
• Mexico, CPI, Change Y/Y, Price Index for Feb 2022 (INEGI, Mexico) at 7.28 % (vs 7.07 % prior), above consensus estimate of 7.23 %
• Mexico, CPI, Core CPI, Change P/P, Price Index for Feb 2022 (INEGI, Mexico) at 0.76 % (vs 0.62 % prior), above consensus estimate of 0.74 %
• New Zealand, Electronic card transactions, Retail industry, Change P/P for Feb 2022 (Statistics, NZ) at -7.80 % (vs 3.00 % prior)
• New Zealand, Electronic card transactions, Retail industry, Change Y/Y for Feb 2022 (Statistics, NZ) at 1.10 % (vs 5.70 % prior)
• Russia, CPI, Change P/P for Feb 2022 (RosStat, Russia) at 1.20 % (vs 1.00 % prior)
• Russia, CPI, Change Y/Y for Feb 2022 (RosStat, Russia) at 9.20 % (vs 8.70 % prior)
• Sweden, Industrial Production, Change Y/Y for Jan 2022 (SCB, Sweden) at 3.90 % (vs 0.10 % prior)
• Sweden, Industrial Production, Change M/M, Volume Index for Jan 2022 (SCB, Sweden) at 1.10 % (vs -1.20 % prior)
• Sweden, Private Sector Production, Change M/M, Volume Index for Jan 2022 (SCB, Sweden) at 0.20 % (vs 0.60 % prior)
• Sweden, Private Sector Production, Change Y/Y for Jan 2022 (SCB, Sweden) at 7.60 % (vs 7.70 % prior)

VOLATILITIES TODAY

• Deutsche Bank USD Currency Volatility Index currently at 8.99, down -0.96 (YTD: +2.88)
• Euro 1-Month At-The-Money Implied Volatility currently at 10.23, down -0.3 (YTD: +5.2)
• Japanese Yen 1M ATM IV currently at 6.75, down -0.8 (YTD: +2.6)
• Offshore Yuan 1M ATM IV currently at 3.08, down -0.5 (YTD: -0.2)

NOTABLE MOVES IN SOVEREIGN CDS BID SPREADS TODAY

• South Africa (rated BB-): down 21.8 basis points to 211 bp (1Y range: 178-246bp)
• Indonesia (rated BBB): down 12.5 basis points to 108 bp (1Y range: 66-124bp)
• Colombia (rated BB+): down 12.1 basis points to 207 bp (1Y range: 105-228bp)
• Mexico (rated BBB-): down 9.4 basis points to 107 bp (1Y range: 81-124bp)
• Philippines (rated BBB): down 7.6 basis points to 94 bp (1Y range: 39-106bp)
• Malaysia (rated BBB+): down 7.3 basis points to 70 bp (1Y range: 38-82bp)
• China (rated A+): down 6.4 basis points to 53 bp (1Y range: 29-66bp)
• Panama (rated WD): down 5.9 basis points to 89 bp (1Y range: 64-103bp)
• Chile (rated A-): down 5.7 basis points to 78 bp (1Y range: 48-95bp)
• Peru (rated BBB): down 5.2 basis points to 87 bp (1Y range: 68-105bp)

LARGEST FX MOVES TODAY

• Hungarian Forint up 4.4% (YTD: -4.8%)
• Polish Zloty up 3.7% (YTD: -6.6%)
• Albanian Lek up 2.9% (YTD: -6.7%)
• Swedish Krona up 2.7% (YTD: -6.9%)
• Czech Koruna up 2.6% (YTD: -4.2%)
• Solomon Is Dollar up 2.5% (YTD: +0.4%)
• Mexican Peso up 2.2% (YTD: -2.1%)
• Burundi Franc down 4.8% (YTD: -4.8%)
• Belarusian Rouble down 5.6% (YTD: -21.9%)
• Russian Rouble down 6.9% (YTD: -48.3%)

COMMODITIES: TOP GAINERS TODAY

• SHFE Nickel up 12.0% (YTD: 68.6%)
• SHFE Bitumen Continuation Month 1 up 10.3% (YTD: 37.0%)
• Bursa Malaysia Crude Palm Oil up 8.8% (YTD: 48.0%)
• EEX European Union Aviation Allowance Continuation Month 1 up 6.9% (YTD: -8.8%)
• SHFE Stannum up 4.9% (YTD: 23.4%)
• SMM Lithium Metal Spot Price Daily up 3.6% (YTD: 116.0%)
• SHFE Rubber up 2.7% (YTD: -5.8%)
• Shanghai International Exchange TSR 20 up 2.3% (YTD: -0.4%)
• Johnson Matthey Iridium New York 0930 up 2.1% (YTD: 22.5%)
• ICE Europe Low Sulphur Gasoil up 2.0% (YTD: 124.6%)
• Coffee Arabica Colombia Excelso EP spot up 1.5% (YTD: 6.8%)
• CBoT Soybean Meal up 1.0% (YTD: 19.7%)
• ICE-US Cocoa up 1.0% (YTD: 2.5%)

COMMODITIES: LOSERS TODAY

• TRPC Natural Gas TTF Monthly down -29.7% (YTD: 70.9%)
• TRPC Natural Gas TTF Day 1 down -28.7% (YTD: 90.8%)
• NYMEX NY Harbor ULSD down -21.9% (YTD: 44.6%)
• ICE Europe Brent Crude down -13.2% (YTD: 40.1%)
• NYMEX Light Sweet Crude Oil (WTI) down -12.1% (YTD: 41.2%)
• Crude Oil WTI Cushing US FOB down -12.0% (YTD: 41.6%)
• Brent Forties and Oseberg Dated FOB North Sea Crude down -12.0% (YTD: 50.2%)
• NYMEX RBOB Gasoline down -10.6% (YTD: 43.4%)
• Brent 1-month at-the-money implied volatility at 72.9, down -8.2 vols (12-month range: 26.1-89.3)
• Palladium spot down -7.3% (YTD: 49.7%)
• Platinum spot down -6.9% (YTD: 11.8%)
• Brent Crude Spot Free On Board (FOB) Sullom Voe North Sea down -6.5% (YTD: 66.2%)
• CBoT Wheat down -5.8% (YTD: 53.8%)
• Johnson Matthey Rhodium New York 0930 down -4.7% (YTD: 45.4%)
• SHFE Aluminum down -4.5% (YTD: 8.6%)

EQUITIES SUMMARY

• Daily performance of US indices: S&P 500 up 2.57%; Nasdaq Composite up 3.59%; Wilshire 5000 up 2.71%
• 83.6% of S&P 500 stocks were up today, with 37.6% of stocks above their 200-day moving average (DMA) and 27.1% above their 50-DMA
• Top performing sectors in the S&P 500: technology up 3.98% and financials up 3.61%
• Bottom performing sectors in the S&P 500: energy down -3.18% and utilities down -0.78%
• The number of shares in the S&P 500 traded today was 791m for a total turnover of US$ 86 bn
• The S&P 500 Value Index was up 1.5%, while the S&P 500 Growth Index was up 3.7%; the S&P small caps index was up 2.1% and mid-caps were up 2.8%
• The volume on CME's INX (S&P 500 Index) was 3.0m (3-month z-score: 0.7); the 3-month average volume is 2.6m and the 12-month range is 1.3 - 4.6m
• Daily performance of international indices: Europe Stoxx 600 up 4.68%; UK FTSE 100 up 3.25%; tonight in Asia, the Hang Seng SH-SZ-HK 300 Index up 1.97%, Japan's TOPIX 500 up 3.95%

IMPLIED VOLATILITY

• 1-month at-the-money implied volatility on the S&P 500 at 26.0%, down from 28.4%
• 1-month at-the-money implied volatility on the Europe Stoxx 600 at 30.5%, down from 33.2%

TOP WINNERS

• AST SpaceMobile Inc (ASTS), up 44.9% to $9.78 / YTD price return: +23.2% / 12-Month Price Range: $ 4.84-15.48 / Short interest (% of float): 22.8%; days to cover: 9.1
• Cano Health Inc (CANO), up 43.2% to $6.53 / YTD price return: -26.9% / 12-Month Price Range: $ 4.17-16.17
• Bumble Inc (BMBL), up 41.9% to $23.64 / YTD price return: -30.2% / 12-Month Price Range: $ 15.41-76.49 / Short interest (% of float): 4.3%; days to cover: 3.1
• Dada Nexus Ltd (DADA), up 25.8% to $8.10 / YTD price return: -38.4% / 12-Month Price Range: $ 6.31-34.43
• Figs Inc (FIGS), up 23.1% to $17.29 / YTD price return: -37.3% / 12-Month Price Range: $ 13.04-50.40
• Bright Health Group Inc (BHG), up 20.9% to $2.20 / YTD price return: -36.0% / 12-Month Price Range: $ 1.73-17.93 / Short interest (% of float): 2.9%; days to cover: 3.8
• Bakkt Holdings Inc (BKKT), up 20.1% to $5.62 / YTD price return: -34.0% / 12-Month Price Range: $ 3.31-50.80 / Short interest (% of float): 34.7%; days to cover: 1.0
• Exscientia PLC (EXAI), up 19.1% to $15.79 / YTD price return: -20.1% / 12-Month Price Range: $ 11.10-30.38 / Short interest (% of float): 1.5%; days to cover: 5.5
• Silvergate Capital Corp (SI), up 18.7% to $126.66 / YTD price return: -14.5% / 12-Month Price Range: $ 80.78-239.26 / Short interest (% of float): 7.6%; days to cover: 1.9
• MongoDB Inc (MDB), up 18.6% to $334.09 / YTD price return: -36.9% / 12-Month Price Range: $ 238.01-590.00

BIGGEST LOSERS

• Natera Inc (NTRA), down 32.8% to $36.80 / YTD price return: -60.6% / 12-Month Price Range: $ 52.20-129.09 (the stock is currently on the short sale restriction list)
• ProShares Ultra Bloomberg Crude Oil (UCO), down 21.0% to $153.21 / YTD price return: +76.1% / 12-Month Price Range: $ 50.22-205.50 / Short interest (% of float): 3.2%; days to cover: 0.5 (the stock is currently on the short sale restriction list)
• Sky Harbour Group Corp (SKYH), down 18.0% to $24.50 / YTD price return: +140.9% / 12-Month Price Range: $ 5.25-32.81 / Short interest (% of float): 0.5%; days to cover: 0.3 (the stock is currently on the short sale restriction list)
• Cricut Inc (CRCT), down 16.7% to $11.61 / YTD price return: -47.6% / 12-Month Price Range: $ 13.62-47.36 / Short interest (% of float): 12.4%; days to cover: 13.0 (the stock is currently on the short sale restriction list)
• Kinetik Holdings Inc (KNTK), down 12.2% to $61.36 / YTD price return: +.1% / 12-Month Price Range: $ 51.70-91.00 / Short interest (% of float): 1.2%; days to cover: 8.3 (the stock is currently on the short sale restriction list)
• United States Oil Fund LP (USO), down 11.7% to $75.47 / YTD price return: +38.8% / 12-Month Price Range: $ 39.27-87.84 / Short interest (% of float): 16.0%; days to cover: 1.2 (the stock is currently on the short sale restriction list)
• iShares S&P GSCI Commodity-Indexed Trust (GSG), down 10.7% to $23.08 / YTD price return: +35.2% / 12-Month Price Range: $ 13.65-26.08 / Short interest (% of float): 7.9%; days to cover: 2.7 (the stock is currently on the short sale restriction list)
• ProShares UltraPro Short QQQ (SQQQ), down 10.7% to $44.36 / YTD price return: +49.4% / 12-Month Price Range: $ 28.15-75.90 / Short interest (% of float): 8.5%; days to cover: 0.1 (the stock is currently on the short sale restriction list)
• iShares GSCI Commodity Dynamic Roll Strategy ETF (COMT), down 10.5% to $40.35 / YTD price return: +30.7% / 12-Month Price Range: $ 28.86-45.51 / Short interest (% of float): 0.3%; days to cover: 0.3 (the stock is currently on the short sale restriction list)
• Avidxchange Holdings Inc (AVDX), down 10.0% to $7.43 / YTD price return: -50.7% / 12-Month Price Range: $ 7.80-27.44 / Short interest (% of float): 2.8%; days to cover: 6.4 (the stock is currently on the short sale restriction list)