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AUSSIE BONDS

AOFM Weekly Issuance Slate

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Redback Hugs Tight Range

AUSSIE BONDS

ACGB Jun '31 Supply Well Received

CHINA PRESS

China Bond Sales in Hong Kong Boosts City's Status: Journal


US TSY SUMMARY

Inside range session for rates Monday, Tsys firmer but off midday highs after the bell, volumes dampened by blizzard conditions closing large swaths of the Eastern seaboard Monday.

  • Equities gained (S&Ps +1.78%) as did West Texas crude (WTI +1.47) and Gold (+13.77) amid multiple Fed speakers -- Boston Fed President Eric Rosengren said Monday the U.S. economy is still "in the depth of it" when it comes to the Covid-19 slump: "I hope over the course of the spring we're really talking about a significant recovery but I think it does depend on some of the public health outcomes," he said.
  • Moderate two-way flow included deal-tied hedging from near $25B high-grade corporate issuance, $14B Apple 6-tranche jumbo lead followed by $5.5B Altria 4-part jumbo.
  • Modest two-way option volumes with pick-up in upside call buying
  • The 2-Yr yield is unchanged at 0.1093%, 5-Yr is unchanged at 0.4193%, 10-Yr is up 0.5bps at 1.0706%, and 30-Yr is up 1.3bps at 1.8425%.

US TSY: Short Term Rates

US DOLLAR LIBOR: Latest settles:

  • O/N +0.00050 at 0.07925% (-0.00750 net last wk)
  • 1 Month -0.00650 to 0.11300% (-0.00525 net last wk)
  • 3 Month -0.00638 to 0.19550% (-0.01337 net last wk) ** 3M New record Low vs. 0.20188% on 1/29/21
  • 6 Month -0.00825 to 0.21500% (-0.01275 net last wk)
  • 1 Year -0.00563 to 0.30550% (-0.00112 net last wk)
STIR: FRBNY EFFR for prior session:
  • Daily Effective Fed Funds Rate: 0.07% volume: $62B
  • Daily Overnight Bank Funding Rate: 0.07%, volume: $186B
US TSYS: Repo Reference Rates
  • Secured Overnight Financing Rate (SOFR): 0.06%, $915B
  • Broad General Collateral Rate (BGCR): 0.04%, $344B
  • Tri-Party General Collateral Rate (TGCR): 0.04%, $317B
  • (rate, volume levels reflect prior session)
FED: NY Fed Operational Purchase
  • Tsy 20Y-30Y, $1.734B accepted vs. $4.020B submission
  • Next scheduled purchases:
  • Tue 2/02 1010-1030ET: TIPS 7.5Y-30Y, appr $1.225B
  • Wed 2/03 1100-1120ET: Tsy 4.5Y-7Y, appr $6.025B
  • Thu 2/04 1010-1030ET: Tsy 20Y-30Y, appr $1.750B
  • Fri 2/05 1100-1120ET: Tsy 0Y-2.25Y, appr $12.825B

EURODOLLAR/TREASURY OPTIONS: Summary

Eurodollar Options:
  • 2,500 Blue Sep 97.00/99.12 5x4 put spds
  • +5,000 Green Jun 96/97 put spds, 6.5 vs. 99.645/0.25%
  • +2,000 Sep 99.812/99.875 1x2 call spds, 0.5
  • +3,000 Blue Jun 92 puts, 16.0 vs. 99.195/0.55%
  • -5,000 Green Jun 93/95 put spds vs. 97 calls, 1.5 calls sold over, adds to screen
  • +2,000 Jun 99.81/99.87 call spds, 1.5
  • 5,000 Red Sep22 90/95 put spds
  • -10,000 Mar 99.75/99.812 call spds, 5.5
  • -1,500 Red Dec'22 96/97 put strips, 19.0
  • Overnight trade
  • 9,700 Green Sep 93 puts, 8.5
  • 6,000 Mar 98 calls, .75
  • -6,500 Green Jun 93/95 put spds vs. 97 calls, 1.5 calls sold over
  • 2,000 Sep 99.75/99.812 put spds
  • 1,250 Jun 99.81/99.87/99.93 call flys
Treasury Options:
  • +10,000 FVJ 125.75/126/126.25 1x1x2 call trees, 0-1 cr
  • +3,000 TYH 137 puts, 20
  • +6,000 TYH 138 calls, 10
  • 2,000 TYH 135.5/135.75/136.25/136.5 put condors, 1
  • 5,000 TYJ 138.5/137.5 call spds, 9
  • +4,100 TYH 140 calls, 2 -- huge >230k offered
  • 9,000 TYH 136 puts, 6
  • 2,000 TYH 137 puts, 24
  • +1,000 FVM 123.5/124.5 put spds, 4
  • Overnight options
  • 5,500 TYH 135.5 puts, 3 last
  • 7,500 TYH 136 puts, 6-7
  • 6,000 TYH 137 puts, 22-26
  • 7,500 TYH 138 calls, 9-12

EGBs-GILTS CASH CLOSE: BTPs Gain Ahead Of Tuesday Politics

Bunds and Gilts closed mixed after earlier weakness, in a mostly risk-on session to open the month / week, with periphery EGB spreads tightening.

  • Markets largely looked through weak data in the morning (Spanish Mfg PMI and German retail sales, though Italian PMI was strong).
  • BTPs looking through political risk amid Tuesday deadline set by Pres Mattarella for PM Conte and relevant parties to come up with a resolution to the current impasse.
  • Issuance picking up w EUR benchmark mandates announced for Finland, Cyprus, Belgium, see our previews out earlier. Tuesday will also be eyed for French flash CPI and Italy and Eurozone Q4 prelim GDP.

Closing yields/10-Yr Spreads to Bunds:

  • Germany: The 2-Yr yield is up 1bps at -0.723%, 5-Yr is up 0.5bps at -0.73%, 10-Yr is up 0.2bps at -0.516%, and 30-Yr is unchanged at -0.077%.
  • UK: The 2-Yr yield is unchanged at -0.106%, 5-Yr is down 0.6bps at -0.034%, 10-Yr is down 0.6bps at 0.321%, and 30-Yr is down 0.5bps at 0.892%.
  • Italian BTP spread down 2.4bps at 113.7bps
  • Spanish bond spread down 0.5bps at 61.1bps

OPTIONS EUROPE SUMMARY: Downside Via Blue Stg Mids

Monday's options flow included:

  • RXH1 176.00p/178.00c combo, bought put and sold call receiving 3 in 18k (vs 177.16, d 0.50%)
  • RXJ1 170.00 put bought for 10 in 5k
  • ERM2 100.50 put sold at 5.25 in 5k
  • LH1 100.125 calls bought for 0.5 in 2k
  • LU1 99.75 put bought for 0.5 in 2k
  • LZ1 100.125 call bought for 6.5 in 5k
  • 3LM1 99.625/99.375 put spread bought for 5.75 in 3k
  • 3LM1 99.625/99.50/99.375/99.25 put condor bought for 2.75 in 5k
  • 3LM1 99.75/00.625 put spread v 2LM1 99.75 put, pays 1.25 for the blue in 2k
  • 3LM1 99.625/99.50/99.375 put fly bought for 1.75 in 5.5k

FOREX: Greenback Reaches New 2021 Highs

Risk appetite was buoyed early Monday, as stocks globally bounced back from a particularly soft performance last week. This sentiment was partially echoed in currency markets, with CHF offered.

  • A solid greenback followed a round of soft Eurozone economic data, as German retail sales and a number of PMIs missed expectations, helping boost the USD index further above the 50-dma to hit the best levels of the year.
  • CHF was one of the weakest performers in G10, falling against most others, as equities traded well and risk appetite seemed to find some more solid ground. CHF downside protection was in vogue, with sizeable USD/CHF call options trading throughout European hours.
  • Focus Tuesday turns to prelim French CPIs, Italian growth data for Q4 and the RBA rate decision. The RBA are seen keeping rates unchanged, with markets watching for any mention of the RBA's asset purchase programme. ECB's de Cos, Fed's Kaplan and Mester are due to speak.

Expiries for Feb02 NY cut 1000ET (Source DTCC)

  • EUR/USD: $1.1950-65(E653mln), $1.2150(E1.4bln-EUR puts), $1.2200-20(E1.1bln), $1.2290-1.2300(E1.1bln)
  • USD/JPY: Y106.00($530mln)
  • AUD/USD: $0.7600(A$1.2bln-AUD puts), $0.7650(A$574mln), $0.7685(A$1.1bln-AUD puts), $0.7735(A$592mln)
  • AUD/NZD: N$1.0665-90(A$850mln)
  • USD/CNY: Cny6.55($1.1bln)

PIPELINE: $14B Apple 6-Part Jumbo Kicks Off February

$14B Apple 6-part jumbo kicks off February, matches all of 2020 issuance from tech icon. $24.65B To price Monday

  • Date $MM Issuer (Priced *, Launch #)
  • 02/01 $14B #Apple 6-part jumbo: $2.5B 5Y +32, $2.5B 7Y +47, $2.75B 10Y +57, $1.5B 20Y +72, $3B 30Y +82, $1.75B 40Y +95. Last year Apple issued $14B total: $5.5B on August 13, 2020 w/ $1.25B 5Y +28, $1.25B 10Y +58, $1.25B 30Y +100, $7.75B 40Y +118; $8.5B issued on May 4, 2020: $2B 3Y +60, $2.25B 5Y +80, $1.75B 10Y +110, $2.5B 30Y +145. Apple also in the top ten record jumbo issuance w/$17B back in April 2013.
  • 02/01 $5.5B #Altria Group $1.75B 11Y +138, $1.5B 20Y +178, $1.25B 30Y +188, $1B 40Y +218
    02/01 $1.5B #UBS PerpNC10 4.375%
  • 02/01 $1.5B #UBS PerpNC10 4.375%
  • 02/01 $850M #National Rural Utilities $500M 3Y +2, $350M 10Y +60
  • 02/01 $700M *GATX Corp $400M 10Y +90, $300M 30Y +125
  • 02/01 $600M *Hyundai 5Y +92.5
  • Rolled to Tuesday:
  • 02/01 $1B Clear Channel Worldwide 7NC3
  • 02/02 $Benchmark World Bank 10Y +14a
  • No new issuance Friday; Total January issuance $227.55B

EQUITIES: Stocks Stage Solid Bounce

After a sour finish to the Friday session last week, US equities bounced well Monday, with the S&P500 rising over 1.5%, as tech and consumer discretionary names helped fuel the recovery. Energy was the sole sector in the red, with ExxonMobil/Chevron merger chatter not enough to prop.

  • The e-mini S&P closed below the 50-dma Friday for the first time since late October last year, but bounced back above Monday to mount a decent challenge on the Friday high of 3777.25.
  • Earnings take focus going forward, with reports due this week from Amazon, Alphabet, PayPal and Ford among others.

COMMODITIES: Silver Strong, But Off the Highs

Having staged retail fueled gains of as much as 10%, silver came off the day's highs ahead of the US close, but remains well over 5% stronger at pixel time. Bulls keep their sights set high at $30/oz mark, which failed to hold in early Monday trade. Momentum will need to pick up considerably to firm the current rally.

  • Oil markets trade well, despite the firmer greenback. Both WTI and Brent crude futures held gains of over 1.5% apiece into the US close, with reports suggesting that disruptions in supply from Nigeria and Libya may put OPEC output targets under pressure in the coming months. Resistance for WTI and Brent crude futures remain at $53.58 and $56.59 respectively.
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com