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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.
Strong Risk-On Start To 2022
Rates open 2022 sharply lower with a decidedly risk-on tone with equities strong (ESH2 +25.0 at 4783.5) but slightly off all-time highs set last Thu (4797.75). 30YY topped 2.0% with 2.0233% high, 10YY hit 1.6332% high. TYH2 tapped first support of 129-12.5, 76.4% retracement of the Nov 24 - Dec 20 rally.- Gold -27.46 at 1801.74; West Texas Crude +0.84 at 76.05; US$ index DXY +.547 at 96.217.
- Rates started off weaker, albeit on very light volumes as NZ, Australia, Japan, London and Canada out for New Years holiday. Best volumes in weeks as sell-off accelerated into midday, TYH2 over 1.2M after the bell.
- Nevertheless, market depth remained thin, trade whippy. Contributing to steeper curves, trading desks reporting domestic real$ buying 2s, foreign real$ selling 10s, sporadic deal-tied selling and flattener unwinds in intermediates vs. long end. Some stops triggered in rates on way down, technical selling.
- Early flow included prop, fast$ and deal-tied selling in 2s-10s, Real$ selling 30s.
- Resumption of corporate issuance ($11.75B total Monday) absent since around Dec 10 contributed marginally to selling.
- The 2-Yr yield is up 4.4bps at 0.7758%, 5-Yr is up 9.6bps at 1.3589%, 10-Yr is up 11.1bps at 1.621%, and 30-Yr is up 10.7bps at 2.0105%.
SHORT TERM RATES
US DOLLAR LIBOR: No new settlements w/ London out for New Years, resume Tuesday. Last Friday's 2021 year-end settlements:
- O/N -0.00825 at 0.06438% (-0.00537/wk)
- 1 Month -0.00063 to 0.10125% (+0.00000/wk)
- 3 Month -0.00525 to 0.20913% (-0.00875/wk) ** Record Low 0.11413% on 9/12/21
- 6 Month -0.00638 to 0.33875% (-0.00450/wk)
- 1 Year -0.00562 to 0.58313% (+0.01600/wk)
- Daily Effective Fed Funds Rate: 0.07% volume: $49B
- Daily Overnight Bank Funding Rate: 0.07% volume: $88B
- Secured Overnight Financing Rate (SOFR): 0.04%, $923B
- Broad General Collateral Rate (BGCR): 0.05%, $327B
- Tri-Party General Collateral Rate (TGCR): 0.05%, $302B
- (rate, volume levels reflect prior session)
- Tsy 2.25Y-4.5Y, $6.301B accepted vs. $11.995B submission
- Next scheduled purchases:
- 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 recedes to $1,579.526B from 76 counterparties from last Friday's record high of $1,904.582B (prior record high of $1,758.041B posted Monday, December 20)
EURODOLLAR/TREASURY OPTIONS SUMMARY
Eurodollar Options:
+10,000 Sep 98.37/98.50/98.75 put flys, 2.0 vs. 99.185/0.10%
+20,000 Red Dec 99.37/99.62 1x2 call spds, 1.0 cr/1-leg over
-2,000 Blue Feb 98.00/98.12/98.25 put trees, 0.5
5,000 short Mar 98.43/98.62 2x1 put spds
-2,500 Green Jan 98.25/98.37 put spds, 1.5
+1,000 short Jan/short Feb 98.75 straddle strip, 39.0-39.5
10,000 Green Mar 98.06 puts
2,250 Mar 99.31/99.62 2x1 put spds
3,000 Green Jun 97.25/97.75 put spds
1,000 short Mar 98.62/98.87/99.12 put flys
Treasury Options:
+75,000 TYH2 127 puts, 14-15, ref: 129-17.5 to -18
-8,000 TYH 128/132 strangles, 35-41
2,000 FVH 118.5 puts
2,500 FVG 119.75/120 put spds, 1
1,700 TYG 128.75/129.75 put spds
EQUITIES
Key late session market levels:- DJIA up 191.15 points (0.53%) at 36529.36
- S&P E-Mini Future up 23.25 points (0.49%) at 4782
- Nasdaq up 165.7 points (1.1%) at 15813.46
- EuroStoxx 50 up 33.41 points (0.78%) at 4331.82
- German DAX up 135.87 points (0.86%) at 16020.73
- French CAC 40 up 64.19 points (0.9%)at 7217.22
COMMODITIES
Key late session market levels:
- WTI Crude Oil (front-month) up $0.85 (1.13%) at $76.08
- Gold is down $26.54 (-1.45%) at $1802.47
OUTLOOK
| Date | GMT/Local | Impact | Flag | Country | Event |
| 04/01/2022 | 0001/0001 | * |  | UK | BRC Monthly Shop Price Index |
| 04/01/2022 | 0030/0930 | ** |  | JP | IHS Markit Final Japan Manufacturing PMI |
| 04/01/2022 | 0145/0945 | ** |  | CN | IHS Markit Final China Manufacturing PMI |
| 04/01/2022 | 0730/0830 | *** |  | CH | CPI |
| 04/01/2022 | 0745/0845 | *** |  | FR | HICP (p) |
| 04/01/2022 | 0855/0955 | ** |  | DE | unemployment |
| 04/01/2022 | 0930/0930 | ** | | UK | IHS Markit/CIPS Manufacturing PMI (Final) |
| 04/01/2022 | 0930/0930 | ** | | UK | BOE M4 |
| 04/01/2022 | 0930/0930 | ** | | UK | BOE Lending to Individuals |
| 04/01/2022 | - | *** |  | US | domestic made vehicle sales |
| 04/01/2022 | 1330/0830 | * |  | CA | Industrial Product and Raw Material Price Index |
| 04/01/2022 | 1355/0855 | ** | | US | Redbook Retail Sales Index |
| 04/01/2022 | 1500/1000 | *** | | US | ISM Manufacturing Index |
| 04/01/2022 | 1500/1000 | ** | | US | JOLTS jobs opening level |
| 04/01/2022 | 1500/1000 | ** | | US | JOLTS quits Rate |
| 04/01/2022 | 1630/1130 | ** | | US | NY Fed Weekly Economic Index |
| 04/01/2022 | 1630/1130 | | US | Minneapolis Fed's Neel Kashkari |
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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