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FED

NY Fed Operational Purchases

OPTIONS

Expiries for Dec03 NY cut 1000ET (Source DTCC)

BONDS

EGB/Gilt - Germany curbs lead Europe higher

US TSY OPTIONS

Feb 10Y Put Buying

US TSY FLOWS

US 30yr yield lowest since start of January

EXECUTIVE SUMMARY:

  • - MNI INTERVIEW: Millions More US Jobs Lost if Govt Aid Falters
  • - SENATE WON'T PASS BILL WITHOUT LIABILITY PROTECTIONS: MCCONNELL - BBG
US

US: Millions more U.S. jobs will be lost in coming months if a federal relief package fails to support struggling households and businesses, labor market experts told MNI.

"Senate GOP unveils coronavirus relief plan with 70% wage replacement in unemployment insurance" CNN
"Republicans unveil major parts of their coronavirus relief plan."
"Congress faces pressure to pass new aid after states stopped paying out enhanced unemployment insurance and a federal eviction moratorium expired."
"Democratic congressional leaders Nancy Pelosi and Chuck Schumer plan to meet with Trump administration officials later Monday"

California virus data:

  • "REPORTS 6,891 NEW VIRUS CASES; TOTAL OF 460,550" Bbg
  • "HAS 29 NEW VIRUS DEATHS, LESS THAN 14-DAY AVG OF 98" Bbg That said...
  • "VIRUS CASES RISE 1.5%, LESS THAN 7-DAY AVG OF 2.4%" Bbg

OVERNIGHT DATA

MNI: US Jun DURABLE NEW ORDERS 7.3%; EX-TRANSPORTATION 3.3%

MARKETS SNAPSHOT
Key market levels in late NY trade:

  • DJIA up 114.88 points (0.43%) at 26584.77
  • Nasdaq up 173.1 points (1.7%) at 10536.27
  • US 10-Yr yield is up 2.6 bps at 0.6151%
  • US Sep 10Y are down 3.5/32 at 139-15
  • EURUSD down 0.0002 (-0.02%) at 1.175
  • USDJPY up 0.01 (0.01%) at 105.38
  • Gold is up $0.05 (0%) at $1942.29
  • European bourses closing levels:
  • EuroStoxx 50 down 8.05 points (-0.24%) at 3302.84
  • FTSE 100 down 18.94 points (-0.31%) at 6104.88
  • French CAC 40 down 16.81 points (-0.34%) at 4939.62

US TSY SUMMARY: Second Half Sag Combination of stronger equities, two tailed note auctions and larger than exp'd corporate issuance hedging tied to ATT 5pt jumbo borrowing another $11B after securing $12.5B in May, reversed first half support, futures extending session lows after the close. Yld curves see-sawed on session, finish steeper. The 2-Yr yield is up 0.4bps at 0.1514%, 5-Yr is up 1bps at 0.2852%, 10-Yr is up 2.6bps at 0.6151%, and 30-Yr is up 3.3bps at 1.2626%

TSY FUTURES CLOSE: Combination of stronger equities, two note auctions that tailed and larger than expected corporate issuance related hedging (ATT 5pt jumbo borrowed another $11B after securing $12.5B in May). Yld curves see-sawed on session, finish steeper. Update

  • 3M10Y +2.895, 50.877 (L: 45.254 / H: 51.041)
  • 2Y10Y +1.52, 45.467 (L: 42.552 / H: 45.631)
  • 2Y30Y +1.836, 109.825 (L: 106.304 / H: 109.951)
  • 5Y30Y +1.488, 96.699 (L: 94.006 / H: 96.859)
  • Current futures levels:
  • Sep 2Y down 0.5/32 at 110-12.875 (L: 110-12.875 / H: 110-13.8)
  • Sep 5Y down 2/32 at 125-23.75 (L: 125-23.5 / H: 125-28)
  • Sep 10Y down 4.5/32 at 139-14 (L: 139-14 / H: 139-24)
  • Sep 30Y down 18/32 at 180-17 (L: 180-17 / H: 181-21)
  • Sep Ultra 30Y down 21/32 at 225-3 (L: 225-01 / H: 227-05)
US TSYS/SUPPLY: This week's schedule gets crowded ahead the FOMC policy annc on Wednesday. US Tsy bill/note auction schedule:
DATE TIME AMOUNT SECURITY (CUSIP)/ANNC AWARDED
  • 27 Jul 1130ET $51B 26W Bill (912796UC1) 0.130%
  • 27 Jul 1130ET $48B 2Y Note (91782CAC5) 0.155%
  • 27 Jul 1300ET $54B 13W Bill (9127962T5) 0.105%
  • 27 Jul 1300ET $49B 5Y Note (91282CAB7) 0.288%
  • 28 Jul 1130ET $30B 42D Bill CMB (912796TJ8)
  • 28 Jul 1130ET $30B 120D Bill CMB (9127963B3)
  • 28 Jul 1300ET $24B 2Y Note FRN (91282CAA9)
  • 28 Jul 1300ET $44B 7Y Note (91282CAD3)
  • 30 Jul 1130ET TBA 4W Bill 28 Jul Annc
  • 30 Jul 1130ET TBA 8W Bill 28 Jul Annc
US EURODLR FUTURES CLOSE: Weaker, Session Lows On Close After trading mildly higher in the first half, futures slipped to session lows in late trade, lead quarterly steady after 3M LIBOR set +0.0228 to 0.2696% (-00246 last wk).
  • Sep 20 steady at 99.760
  • Dec 20 -0.005 at 99.705
  • Mar 21 -0.010 at 99.790
  • Jun 21 -0.010 at 99.810
  • Red Pack (Sep 21-Jun 22) -0.015 to -0.01
  • Green Pack (Sep 22-Jun 23) -0.02 to -0.015
  • Blue Pack (Sep 23-Jun 24) -0.02 to -0.015
  • Gold Pack (Sep 24-Jun 25) -0.025 to -0.02
US DOLLAR LIBOR: Latest settles:
  • O/N +0.0002 at 0.0851% (+0.0002/wk)
  • 1 Month -0.0064 to 0.1662% (-0.0064/wk)
  • 3 Month +0.0229 to 0.2696% (+0.0229/wk)
  • 6 Month -0.0018 to 0.3166% (-0.0018/wk)
  • 1 Year -0.0026 to 0.4569% (-0.0026/wk)

STIR: Federal Reserve Bank of New York EFFR for prior session:

  • Daily Effective Fed Funds Rate: 0.09% volume: $45B
  • Daily Overnight Bank Funding Rate: 0.09%, volume: $138B

US TSYS: REPO REFERENCE RATES:

  • Secured Overnight Financing Rate (SOFR): 0.10%, $950B
  • Broad General Collateral Rate (BGCR): 0.07%, $403B
  • Tri-Party General Collateral Rate (TGCR): 0.07%, $381B
FED: NY Fed operational purchases; Updated purchase schedule for next couple weeks:
  • Tue 07/28 1010-1030ET: Tsy 0-2.25Y, appr $12.825B
  • Thu 07/30 1010-1030ET: Tsy 20Y-30Y, appr $1.750B
  • Fri 07/31 1010-1030ET: Tsy 2.25Y-4.5Y, appr $8.825B
  • Tue 08/04 1010-1030ET: TIPS 7.5Y-30Y, appr $1.225B
  • Wed 08/05 1100-1120ET: Tsy 4.5Y-7Y, appr $6.025B
  • Thu 08/06 1010-1030ET: Tsy 20Y-30Y, appr $1.750B
  • Mon 08/10 1010-1030ET: Tsy 7Y-20Y, appr $3.625B
  • Tue 08/11 1010-1030ET: TIPS 1Y-7.5Y, appr $2.425B
  • Wed 08/12 1010-1030ET: Tsy 20Y-30Y, appr $1.750B
PIPELINE: $11B ATT 5Pt jumbo likely to price after closeDate $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #
  • 07/27 $11B #ATT $2.25B 7.5Y +120, $2.5B 11.5Y +165,
  • $2.5B 22.5Y +185, $2.25B 31.5Y +205, $1.5B 40.5Y +225
  • 07/27 $2.6B #UBS $1.3B Each 4NC3 +83, 6.5NC5.5 +108
  • 07/27 $1.25B *Kinder Morgan $750M 10Y +150. $500M 30Y +210
  • 07/27 $1B *Prosus 30Y+280
FOREX: Dollar Dives to New Multi-year Low
  • The USD index sank to a new multi-year low last seen in mid-2018, with the greenback's losses extending to 9% from the 2020 high. The catalysts for the USD selling are piling up, with worsening Sino-US tensions, an extended build in the EUR net long position, month-end greenback sales and the Fed rate decision Wednesday all adding to the negative dollar bias.
  • The dollar's drop worked in favour of precious metals, prompting a new intraday high in spot gold at $1,945.72 alongside strength in haven FX as USD/JPY dropped well below Y106. Despite this, CHF failed to benefit, with the EUR's persistent rally largely responsible - EUR/CHF rallied through crowded resistance at 1.0795-97 and looks set to close above 1.08 for the first time since early June.
  • The data calendar Tuesday is lighter, with just US consumer confidence on the docket. Earnings from Pfizer, Visa, 3M and McDonald's are due. No central bank speakers are currently scheduled, with the Fed in media blackout ahead of Wednesday's policy decision.

UP TODAY:

MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com