NATGAS: German Gas Demand Falls 11.8% in Week to March 2

• FRBNY EFFR for prior session:
  • Daily Effective Fed Funds Rate: 4.33% (+0.00), volume: $104B
  • Daily Overnight Bank Funding Rate: 4.33% (+0.00), volume: $281B
• Earlier Repo Reference Rates
  • Secured Overnight Financing Rate (SOFR): 4.33% (-0.02), volume: $2.344T
  • Broad General Collateral Rate (BGCR): 4.31% (-0.02), volume: $909B
  • Tri-Party General Collateral Rate (TCR): 4.31% (-0.02), volume: $894B
  • (rate, volume levels reflect prior session)

TIPS sizes were increased for the upcoming quarter as follows, as expected: "Over the February to April 2025 quarter, Treasury plans to maintain the February 30-year TIPS new issue auction size at $9 billion, increase the March 10-year TIPS reopening auction size by $1 billion to $18 billion, and increase the April 5-year TIPS new issue auction size to $25 billion." The quarterly auction schedule is here (PDF).

• And there is some note of the debt limit in the Bill Issuance section, though unsurprisingly there is very limited detail and nothing new: "Since January 21, 2025, Treasury has been using extraordinary measures to finance the government on a temporary basis. Until the debt limit is suspended or increased, debt limit-related constraints will lead to greater-than-normal variability in benchmark bill issuance and significant usage of CMBs."
• And as expected, Treasury is transitioning the 6-week cash management bill to benchmark status, expected for the Feb 18 auction.
• The latest buyback schedule was released (schedule, PDF) for the upcoming quarter, with the first operation on Feb 12 and the last on May 6. "Treasury anticipates that over the course of the upcoming quarter it will purchase up to $30 billion in off-the-run securities across buckets for liquidity support and up to $22.5 billion in the 1-month to 2-year bucket for cash management purposes."
• TBAC studied the effectiveness of the buyback programs and concluded (PDF): "The Committee found, and dealer feedback confirms, that the program is broadly meeting its stated objectives of liquidity support and cash management, and that there is no pressing need for change."

Underlying futures still well bid but paring post-data and Tsy refunding-tied rally

• over +24,000 TUH5 102.5/102.75 2x1 put spds, 2.5 ref 102-27.88 to -28
• over +40,000 TYH5 109 puts, 24 (total volume over 55,000)