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Muted Start to Week, FOMC Wed

US TSYS SUMMARY
Tsy yields backed off last week's appr 4-month lows, finishing Monday near session highs on light over all volumes: TYU breaking 900k after the bell. Near $9.5B in swappable corporate issuance helped generate some two-way hedging flow on the day. Equities indexes were trading weaker as well, ESU1 -9.0 at 4227.5.
  • Aside from apparent position squaring ahead Wednesday's FOMC monetary policy annc, Eurodollar and Treasury option traders reported better buyers of wing insurance (low delta call and put buying reflecting indecision over direction of yields in the near term).
  • Tsy option traders looked at buying the TYN 132/132.25/132.5/132.75 put condor. Current market a relatively cheap 2/64 bid -- at 3/64, 132-26 ref. Traders see 13/64 potential profit if Wed's FOMC annc turns out to be a non-event. July options expire June 25.
  • Benchmark 3M LIBOR continues to make new low: -0.00088 to 0.11800% (-0.00937 total last wk): Jun'21 futures settles 99.882. New lead quarterly EDU1 holds slightly weaker.
  • The 2-Yr yield is up 1.2bps at 0.159%, 5-Yr is up 4.7bps at 0.7854%, 10-Yr is up 4.6bps at 1.4973%, and 30-Yr is up 5.1bps at 2.1885%.
Federal Reserve Balance Sheet Market NewsFED Bank Board of Directors Market NewsFOMC Calendar Market NewsHomepageUnderstanding FOMC Market NewsFED (Federal Reserve) Market NewsBulletMarketsFixed Income Bullets
Federal Reserve Balance Sheet Market NewsFED Bank Board of Directors Market NewsFOMC Calendar Market NewsHomepageUnderstanding FOMC Market NewsFED (Federal Reserve) Market NewsBulletMarketsFixed Income Bullets

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