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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
US TSYS: Year End Support Pushes Stocks to New All-Time High
Tsy futures traded mixed on extremely light post-Christmas holiday volumes by the close: TYH2 just over 418k, no surprise with London closed through Tuesday in observance.
- Bonds outperform all session yield curves flatter (5s30s -3.06 at 62.95), futures trading near upper half narrow range.
- Equities climb to new all-time highs, ESH2 4776.0; Gold pared early losses -0.97 at 1809.30 late; West Texas crude +1.89 at 75.68.
- Limited data: Dallas Fed Manf. Activity Index 8.1 vs. 11.8 prior
- Not much of a react to the weak 2Y sale, Tsy futures remain mixed, short end weaker after $56B 2Y note auction (91282CDR9) tailed: 0.769% high yield vs. 0.762% WI; 2.55x bid-to-cover outpaces Nov's 2.36x and well over five auction avg: 2.49x. $57B 5Y Note auction tomorrow.
- QE: NY Fed buy-operations pause for holidays, resume January 3.
- Headline watching: Russia said on Saturday it was pulling back about 10,000 troops from near the Ukrainian border in an unexpected major de-escalation, MSN.
- FT reported US will lift travel bans imposed last month on eight African countries. Foreign nationals travelling to the US from those countries will be allowed to board flights to America from midnight on December 31.
- The 2-Yr yield is up 1.9bps at 0.7069%, 5-Yr is up 0.8bps at 1.2499%, 10-Yr is down 1.2bps at 1.4807%, and 30-Yr is down 2.1bps at 1.8846%.
SHORT TERM RATES
US DOLLAR LIBOR: No new settlement with London closed for Christmas holiday through December 28. Settlements as of Friday, December 24:
- O/N -0.00538 at 0.06975% (-0.00450 total last wk)
- 1 Month -0.00063 to 0.10125% (-0.00125 total last wk)
- 3 Month -0.00187 to 0.21788% (+0.00525 total last wk) ** Record Low 0.11413% on 9/12/21
- 6 Month +0.00687 to 0.34325% (+0.03050 total last wk)
- 1 Year +0.00600 to 0.56713% (+0.03750 total last wk)
- Daily Effective Fed Funds Rate: 0.08% volume: $69B
- Daily Overnight Bank Funding Rate: 0.08% volume: $88B
- Secured Overnight Financing Rate (SOFR): 0.04%, $880B
- Broad General Collateral Rate (BGCR): 0.05%, $344B
- Tri-Party General Collateral Rate (TGCR): 0.05%, $323B
- (rate, volume levels reflect prior session)
- NY Fed buy-operations pause for holidays, resume Jan 3:
- Mon 01/03 1010-1030ET: Tsy 2.25Y-4.5Y, appr $6.325B vs. $7.375B prior
- Tue 01/04 1100-1120ET: TIPS 1Y-7.5Y, appr $1.525B
- Wed 01/05 1010-1030ET: Tsy 7Y-10Y, appr $2.425B vs. $2.825B prior
- Wed 01/05 1100-1120ET: Tsy 22.5Y-30Y, appr $1.825B
- Thu 01/06 1100-1120ET: TIPS 7.5Y-30Y, appr $0.925B
- Fri 01/07 1010-1030ET: Tsy 0Y-2.25Y, appr $9.325B
FED Reverse Repo Operation
NY Federal Reserve/MNI
NY Fed reverse repo usage inches up to $1,580.347B from 79 counterparties vs. $1,577.780B last Thursday. New record high of $1,758.041B posted Monday, December 20.
EURODOLLAR/TREASURY OPTIONS SUMMARY
Eurodollar Options:
+3,000 Sep 98.00/99.00 put strips 14.0
2,500 Red Mar'23 98.25/99.00 put spds
+/-6,000 Blue Feb 98.12/98.50 put over risk reversals, 1
+5,000 Mar 99.56/99.68/99.81 call flys, 2.75 vs. 99.655/0.05%
Treasury Options:
-10,500 TYG 130.5 straddles 120-117
1,000 TYH 136/137.5 1x3 call spds
+8,000 TYG 128.5/132.5 put over risk reversals, 1, 130-17 ref (129.25/131.75 put over combo trading small at 4)
-2,500 TYG 129.25/131.75 strangle, 28
2,000 TYG 129.5/130 4x3 put spds, 20
EQUITIES
Key late session market levels:
- DJIA up 263 points (0.73%) at 36215.85
- S&P E-Mini Future up 54.25 points (1.15%) at 4770
- Nasdaq up 189.6 points (1.2%) at 15845.44
- EuroStoxx 50 up 32.97 points (0.77%) at 4287.98
- German DAX up 78.94 points (0.5%) at 15835.25
- French CAC 40 up 53.81 points (0.76%) at 7140.39
COMMODITIES
- WTI Crude Oil (front-month) up $1.74 (2.36%) at $75.52
- Gold is down $1.3 (-0.07%) at $1808.83
On Tap Tuesday: FHFA House Price Index, Richmond Fed Mfg Index
- US Data/Speaker Calendar (prior, estimate)
- Dec-28 0900 FHFA House Price Index MoM (0.9%, 0.9%)
- Dec-28 0900 S&P CoreLogic CS 20-City MoM SA (0.96%, 0.90%)
- Dec-28 1000 Richmond Fed Manufact. Index (11, 11)
- Dec-28 1130 US Tsy $34B 52W-Bill auction (912796R27)
- Dec-28 1300 US Tsy $57B 5Y note auction (91282CDQ1)
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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