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Free AccessUS TSYS: CHOPPY DAY FOR CRUDE, EMERGING MKTS ON US$ STRENGTH
US TSY SUMMARY: Choppy day for crude, emerging mkts on US$ strength to 4+-month
highs, Tsys rebound off lows following US Pres Trump's annc US will exit Iran
Nuclear accord and will re-impose sanctions on Iran. Muted trade/sidelined accts
ahead the US/Iran annc. Fed Chair Powell in Zurich did not talk policy.
- Equities weaker (emini -4.0, 2666.0); gold bounce (XAU +2.09, 1316.23 vs
1306.05L). West Texas crude CRUSHED on earlier CNN headlines that US Pres "Trump
to annc new sanctions against Iran but will NOT withdraw from deal." WTI fell to
67.63 low. Eq's reacted favorably, emini climbed to 2674.25. Cross-current
headlines denials re: Iran accord followed.
- Tsys made new session lows as US$ index DXY tapped 4+ month high 93.280, 10YY
taps 2.9854H vs. 3.03% high from Apr 25. Flow included FX-tied selling, prop and
real$ sales in 10s and 30s, some pre-auction short setting in 3s ahead today's
$31B note auction, fast$ buying lows, swap-tied rate receiving 2s-5s, technical
selling in 10s. Heavier Eurodollar option flow targeting Mar19 rate hike (+125k
EDH 68 puts, 2.0).
- Tsy ylds: 2Y 2.513%, 3Y 2.650%, 5Y 2.813%, 7Y 2.927%, 10Y 2.972%, 30Y 3.127%
US TSY FUTURES CLOSE: Trading lower after the bell, off late session highs
following President Trump's announcement of Iran Deal Pullout. Curves
flatter/off early highs, update:
* 2s10s +0.449, 45.312 (47.220H/44.070L);
* 2s30s -0.993, 61.112 (63.583H/60.616L);
* 5s30s -1.618, 31.712 (33.422H/31.388L);
Current futures levels:
* Jun Ultra bonds down 7/32 at 156-12 (155-24L/156-24H)
* Jun 30-yr Bond futures down 7/32 at 143-11 (142-29L/143-22H)
* Jun 10-yr futures down 6.5/32 at 119-15.5 (119-12L/119-23H)
* Jun 5-yr futures down 4.5/32 at 113-12.25 (113-10.75L/113-16.5H)
* Jun 2-yr futures down 1/32 at 105-31.5 (105-31.25L/106-00.75H)
US EURODOLLAR FUTURES CLOSE: Eurodollar Futures trading mostly lower across
the
strip, short end bid ever since 3M LIBOR fell. Current White pack
(Jun'18-Mar'19):
* Jun'18 +0.015 at 97.620
* Sep'18 +0.005 at 97.490
* Dec'18 -0.005 at 97.335
* Jun'19 -0.010 at 97.225
* Red pack (Jun'19-Mar'20) -0.015-0.030
* Green pack (Jun'20-Mar'21) -0.030
* Blue pack (Jun'21-Mar'21) -0.020-0.030
* Gold pack (Jun'22-Mar'22) -0.020-0.030
US DOLLAR LIBOR: Latest settles,
* O/N -0.0006 to 1.7050% (+0.0012 last wk)
* 1 Month +0.0008 to 1.9285% (+0.0207 last wk)
* 3 Month -0.0165 to 2.3525% (+0.0110 last wk)
* 6 Month +0.0035 to 2.5237 (+0.0007 last wk)
* 1 Year -0.0057 to 2.7709% (-0.0038 last wk)
REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): down to 1.71% from 1.72% prior, $760B
* Broad General Collateral Rate (BGCR): down to 1.67% vs. 1.68% prior, $347B
* Tri-Party General Collateral Rate (TGCR): down to 1.67% vs. 1.68% prior, $333B
US SWAPS: Spds running mostly tighter, long end bucking move all session.
Better
receivers on net in 2s-5s in first half, two-way curve flow in 2s5s, 7s10s
steepener, two-way in the intermediates tended toward better paying. Deal-tied
flow in the mix on decent supply. Latest spd levels:
* 2Y -1.00/26.19
* 5Y -0.62/12.50
* 10Y -0.12/3.62
* 30Y +0.62/-10.00
PIPELINE: $7.5B General Dynamics Leads, $3B Westpac 4-part launched
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
05/08 $1.78B *Verizon 7Y FRN +110
05/08 $7.5B #General Dynamics 7-part:
$2B 2Y fix +55, $500M 2Y FRN +29, $2B 3Y fix +60, %00M 3Y FRN +38
$750M 5Y +65, $750M 7Y +77, $1B 10Y +85
05/08 $3B #Westpac Banking $750M 2Y fix +55, $500M 2Y FRN +28, $1B 5Y fix +85,
$750M Y FRN +72
05/08 $1.75B #Skandinaviska Enskilda Banken AB (SEB), $650M 3Y fix +65, $1.1B 3Y
FRN +43
05/08 $1.25B #Huntington, $750M 3Y fix +68, $500M 7Y +112.5
OUTLOOK: Data/speaker calendar (prior, estimate):
- May 09 04-May MBA Mortgage Applications (-2.5%, --) 0700ET
- May 09 Apr Final Demand PPI (0.3%, 0.2%) 0830ET
- May 09 Apr PPI ex. food and energy (0.3%, 0.2%) 0830ET
- May 09 Apr PPI ex. food, energy, trade (0.4%, --) 0830ET
- May 09 Mar wholesale inventories (1.0%, --) 1000ET
- May 09 Mar wholesale sales (1.0%, --) 1000ET
- May 09 04-May crude oil stocks ex. SPR w/w (6.22m bbl, --) 1030ET
- May 09 Apr Kansas City Fed LMCI (0.71, --) 1100ET
- May 09 US Tsy $25B 10-Year note auction, May 15 settle, 1300ET
- May 09 Atl Fed Pres Bostic, World Affairs Council, Florida, Q&A 1315ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* +20,000 Green Dec 61/65/66 put sprd at 1.5 vs 9690/0.05%
UPDATE: Total 5,000 Blue Sep 66 put at 5.5 vs 9693/0.22%
* +20,000 short Sep 75/77 call spds, 1.0
Blocks, 1157-1157:12ET, adds to 25k in pit
* total -30,000 Sep 75 straddles 10.5 over the Sep 76 calls
* 12,000 Aug 72/73 put sprd at 1
* 3,000 Blue Sep 66 put at 5.5 vs 9692.5/0.22%
* UPDATE: Total +120,000 Mar 68 puts at 2.0 vs. 97.215 to -.22 (open interest
coming into the session: 204,245)
* -10,000 Short Jun 71 put, 5.0 vs 9712.5/0.50%
* +10,000 Blue Jun 66 put, 1.0 vs 9691.5/0.10%
getting rate bearish again, large hedges for Q1 2019
* +70,000 Mar 68 put at 2 vs 9720.5/0.10%
* 5,750 Blue Jun 67/71 put over risk reversal, 0.5 vs 9693/0.32% earlier
* 3,000 Short May 71 put at 2 vs 9712.5/0.50%
* 3,000 Short Jul 70 put at 5 vs 9706.5/0.35%
* 10,000 Short Sep 75/77 call sprd at 1
UPDATE: Total 10,000 Green Dec 80 calls at 1 vs 9697/0.05%
Block, 1017:24ET, repeats confirmed ratio put
tree Block, 30k total w/another 4.5k in pit
* 15,000 Dec 71/72/73 put trees, 10.0 net vs. Dec8 97.345
* 2,000 Sep 73/76 call sprd at 10.5
UPDATE: Total 8,000 Green Dec 80 calls at 1 vs 9697/0.05%
Blocks, 1008:17ET, likely a ratio put tree
* 15,000 Dec 71 puts 2.0
* 30,000 Dec 72 puts, 6.0
* 30,000 Dec 73 puts, 12.0
* 3,750 Dec8 97.345
* +12,000 Green Sep 73/75/76/77 call condors, 0.5 vs. 97.915/0.05%
* 2,500 Green Sep 73/76 2x3 call sprd at 2.5
* 2,500 Green Sep 76/78 1x2 call sprd at 0
* +10,000 Mar 68/70/71 put trees, 3.0 vs. 97.17/0.05%
* -4,000 Mar 67/71 2x1 put spds, 7.0 vs. 97.225/0.28%
* 4,000 Green May 68/70 2x1 put sprd at 4
* 2,250 Green Dec 75 call at 4 vs 9696/0.12%
* 2,000 Oct 73 Straddle at 16.5
* 10,000 Dec 71/72/73 put flys, 2.5 vs. 97.32/0.10%
* +8,000 Green Dec 80 calls, 1.0 vs. 96.985/0.05%
* +2,000 Green Dec 75/76/77/78 put condors, 2.5
* 2,500 May 76 straddles, 2.25
Block at 1010BST:
* 6k Sep8 2-yr mid-curve (2EU8) 97/96.875 put spread at 6 vs EDU0 @ 96.965
Tsy options/Pit/screen:
* +40,000 TUN 106.25/106.38 call spds, .5/64 on screen recently
* 4,000 TYM 123 calls, 2/64
* 2,300 TYM 120.75 calls, 3/64 vs. 119-16 vs.
* 2,300 wk2 US 145 calls, 2/64
* +12,500 TYM 119 puts, 13/64
* 4,400 TYM 118.5/120.5 put over risk reversals, 2/64 vs. 119-15.5
* total 16,000 TYM 119.75 calls on screen, 16/64 earlier
* +7,500 wk3 TY 118.5/119.25 put spds, 10
Block:
* 13.6k TYM8 117.75 puts at '02 vs TYM8 @ 119-21
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
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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.