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US TSY SUMMARY: After opening higher -- Tsys just off late session lows by the
bell on moderate volumes (TYZ>1.2M) as rates receded on hopes over Brexit draft
(markets may see as soon as Wednesday). Total +10k FVZ Block buying lows added
impetus to bounce. Nice round trip in 3M10Y yld curve -- back to last Fri's 5+
month highs.
- Rounding out the developing "risk-on" tone, equities gained as latest earning
season gets underway, gold weaker (-12.15 in late trade).
- Little data to trade off of (US REDBOOK: OCT STORE SALES -0.2%), rate support
quickly evaporated on midmorning Brexit draft headlines. Despite weakness in
rates, many took with grain of salt -- expecting a rebound on denial of draft
deal talk. Rates did draw some short covering from program and fast$ accts as
senior EU official called chatter "spin" and "way to premature". Time will tell.
- Modest deal-tied hedging in short end, aforementioned +10k FVZ block buys
- The 2-Yr yield is up 3.1bps at 1.6221%, 5-Yr is up 4.1bps at 1.5954%, 10-Yr is
up 3.7bps at 1.7657%, and 30-Yr is up 3.6bps at 2.2305%.
US TSY FUTURES CLOSE: Just off late session lows by the bell after opening
higher; moderate volumes (TYZ>1.2M) as rates receded on hopes over Brexit draft
that markets may see as soon as Wednesday. Total +10k FVZ Block buying lows
added impetus to bounce. Nice round trip in 3M10Y yld curve -- back to last
Fri's 5+ month highs, update:
* 3M10Y  +4.961, 9.958 (L: -1.154 / H: 10.833)
* 2Y10Y  +1.62, 14.567 (L: 11.357 / H: 15.063)
* 2Y30Y  +1.377, 60.83 (L: 58.008 / H: 62.241)
* 5Y30Y  -0.694, 63.129 (L: 62.749 / H: 66.266)
Current futures levels:
* Dec 2-Yr futures down 1.75/32 at 107-21.75 (L: 107-21.25 / H: 107-26.5)
* Dec 5-Yr futures down 7.75/32 at 118-27.5 (L: 118-26.25 / H: 119-10.5)
* Dec 10-Yr futures down 14/32 at 129-25 (L: 129-22.5 / H: 130-17.5)
* Dec 30-Yr futures down 1-5/32 at 159-31 (L: 159-23 / H: 161-23)
* Dec Ultra futures down 2-2/32 at 187-30 (L: 187-14 / H: 190-29) 
US EURODLR FUTURES CLOSE: Near session lows, long end of strip on session lows.
Current White pack (Dec 19-Sep 20): 
* Dec 19 -0.010 at 98.10
* Mar 20 -0.025 at 98.30
* Jun 20 -0.025 at 98.390
* Sep 20 -0.025 at 98.450
* Red Pack (Dec 20-Sep 21) -0.05 to -0.03
* Green Pack (Dec 21-Sep 22) -0.06 to -0.055
* Blue Pack (Dec 22-Sep 23) -0.065
* Gold Pack (Dec 23-Sep 24) -0.07 to -0.065
US DOLLAR LIBOR: Latest settles
* 1 Month -0.0061 to 1.8891% (-0.0244/wk)
* 3 Month +0.0012 to 2.0021% (+0.0012/wk)
* 6 Month -0.0007 to 1.9772% (+0.0017/wk)
STIR: Federal Reserve Bank of New York EFFR for prior session:
* Daily Effective Fed Funds Rate: 1.82%, volume: $60B
* Daily Overnight Bank Funding Rate: 1.81%, volume: $150B
US TSYS: REPO REFERENCE RATES: (rate, volume),
* Secured Overnight Financing Rate (SOFR): 1.85%, $1.024T
* Broad General Collateral Rate (BGCR): 1.82%, $448B
* Tri-Party General Collateral Rate (TGCR): 1.82%, $422B
OUTLOOK: *** US Data/speaker calendar (prior, estimate):
16-Oct 0700 11-Oct MBA Mortgage Applications (5.2%, --)
16-Oct 0830 Sep retail sales (0.4%, 0.3%)
16-Oct 0830 Sep retail sales ex. motor vehicle (0.0%, 0.2%)
16-Oct 0830 Sep retail sales ex. mtr veh, gas (0.1%, 0.3%)
16-Oct 0830 Oct NY Fed Business Leaders Index
16-Oct 1000 Aug business inventories (0.4%, 0.2%)
16-Oct 1000 Oct NAHB home builder index (68, 68)
16-Oct 1000 Oct Atlanta Fed inflation
16-Oct 1045 Chicago Fed Pres Evans, eco/mon-pol conf, Peoria, Q&A
16-Oct 1300 Dallas Fed Kaplan, presser in Austin, Q&A
16-Oct 1400 Fed releases the Beige Book for upcoming FOMC 
16-Oct 1500 Fed Gov Brainard, crypto currency conf, DC, Q&A 
16-Oct 1600 Aug net TICS flows ($43.8B, --)
16-Oct 1600 Aug long term TICS flows ($84.3B, --)
PIPELINE: Credit Agricole launched
Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #:
10/15 $1B #Credit Agricole 5.25Y +85
10/15 $750M #New York Life 2Y FRN +28
On tap for Wednesday:
10/16 $1B FINNVERA WNG 5Y +19a
10/16 $Benchmark World Bank 10Y +20a expected Wednesday
Eurodollar/Tsy options: 
Eurodollar Options
* +10,000 Green Nov 81 puts, 1.5 vs. 98.475/0.10%
* -4,000 Green Mar 85 straddles, 39.5
* +7,500 Dec 80/81 call over risk reversals, 3.5
* -3,500 Jun 83/86 strangles, 30.5
* +3,000 Jan 85/86/87/88 call condors, 1.5
* -11,000 short Dec/Green Dec 82 put spd, 1.0 net conditional steepener
* +10,000 Mar 80/82 put spds, 8.0
* +5,000 Sep 95/97 call spds, 1.75
* +5,000 long Green Dec 97/100 call spds, 1.5
* +2,500 long Green Mar 97 calls, 6.0 vs. 98.575/0.12%
* +10,000 Jan 88/90 call spds, 0.5
* 5,450 Jun 86/88/90 1x3x2 call flys, 2.0 net/wings over
* short Mar 78/81 call spds, 21.5 trades vs. Green Mar 80/82 call spds, 20.0
* +5,000 Dec 83 calls, 2.0
* +4,000 Mar 78/82 3x1 put spds, 6.5
* +3,000 Nov 80 puts, 1.5
* 2,000 Red Dec'20 100 calls, 1.0
* +17,000 Dec 78 puts, 1.0 on screen
* 5,000 Mar 88/92 1x3 call spds on screen earlier
Tsy options:
* -6,000 TYX 128.5 puts, 6/64 on screen, just over 26k on day/screen
* +3,900 TYX 127/128.75/129.25 put trees, 7/64
* +5,000 FVZ 116.25/117.25 put spds, 3.5/64
* 4,000 TYZ 129.5/131.5 put over risk reversals, 1/64
* 3,000 TYF 133/134 call spds, 7/64 on screen recently
* 10,000 TYZ 133.5/134.5/135.5 call flys on screen
* -20,000 TYZ 128.5/132.5 strangles, 28- to 27/64
* 4,500 TYZ 131 calls, 38/64 on screen
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com

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