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Free AccessUS TSYS CURVES ROILED BY 2WAY ULTRA BOND VIEW; QUIET AFTERNOON
US TSYS SUMMARY: Treasuries ended Wed mildly lower, flatter, 30Y higher
after morning curve choppiness then short-cover, technl lg end buys, 2way flows.
MNI Main Wire exclusive cited St.Louis Fed Bullard saying wld not back another
rate hike given inflatn; urged Sep bal sheet reinvestment pol change.
- Early brisk buying in Tsy futures esp. 10Ys (77K done after initl refndng
anncmt) then 22K sold down to 125-31+ in profit-tkng. Then 10,000 USU Classic
Bond futures bought from 153-23 to -27, while 30K FVU 5Y futures traded in
uptick from 118-04.5 to -07.5. Then more bought: 9,500 TYU 8:50am ET at 125-31.5
while 7,483 bought in WNU Ultra Bonds, plus 50K TYU 10Y bought on spike. Then
11:14 am ET block sale of 5,000 TYU at 126-07, cross on bid at print time.
- Cash 2/30Y, 5/30Y Tsy flatteners as Tsy Aug refunding news did not cite Ultra
Long bond issuance; later flattener unwind as Tsy said at briefing still studies
Ultra Bonds, no decision date. Earlier misc 5Y sellers, two-way 10y; 30Y buys by
real$, bank portfls. Bunds end nr high amid solid German 10Y sale, MNI Fed
Bullard story.
- US TSYS 3PM ET: 2Y 1.363%, 3Y 1.508%, 5Y 1.819%, 7Y 2.082%, 10Y 2.262%, 30Y
2.846%.
US TSY FUTURES CLOSE: Mixed, long end outperforming but off first half highs,
better volume in first half as Tsys rebounded from early weakness. Current
futures levels:
* Sep Ultra bonds up 5/32 at 166-07 (165-06L/166-21H)
* Sep 30-yr Bond futures up 5/32 at 154-06 (153-17L/154-18H)
* Sep 10-yr futures down 4/32 at 126-03.5 (125-31L/126-08.5H)
* Sep 5-yr futures down 3.5/32 at 118-06 (118-04.25L/118-09.5H)
* Sep 2-yr futures down 1.25/32 at 108-04.75 (108-04.5L/108-06H)
US EURODLR FUTURES CLOSE: Mildly lower by the bell, upper end of narrow session
range on light volume. Current White pack (Jun'17-Mar'18):
* Sep'17 -0.005 at 98.665
* Dec'17 -0.005 at 98.545
* Mar'18 -0.005 at 98.465
* Jun'18 -0.010 at 98.405
* Red pack (Sep'18-Jun'19) -0.015-0.020
* Green pack (Sep'19-Jun'20) -0.020-0.015
* Blue pack (Sep'20-Jun'21) -0.015
* Gold pack (Sep'21-Jun'22) -0.010
US SWAPS: Spds mixed by the bell, spd curve broadly steeper after reversing
early flattening following refunding annc. Most action occurred in first half as
bonds reversed early weakness/surged higher amid decent long end buying and
steepener unwinds. Sources report hedge funds better receivers in 5s and rate
paying in the long end w/real$ and bank portfolios. OTC vol chopped around
steady to lower after see-sawing higher earlier in session, limited summer
trade. Latest spread levels:
* 2Y -0.36/23.62
* 5Y -0.44/6.88
* 10Y +0.31/-4.12
* 30Y +1.50/-32.75
OUTLOOK: *** Data/speaker calendar (prior, estimate):
- Aug 03 Jul Challenger layoff plans (-19.3%, --) 0730ET
- Aug 03 29-Jul initial weekly jobless claims (244K, 240K) 0830ET
- Aug 03 Jul Markit Services Index (final) (54.2, --) 0945ET
- Aug 03 30-Jul Bloomberg comfort index (48.6, --) 0945ET
- Aug 03 Jul ISM Non-manufacturing Index (57.4, 56.9) 1000ET
- Aug 03 Jun factory new orders (-0.8%, 3.0%) 1000ET
- Aug 03 Jun factory orders ex transport (-0.3%, --) 1000ET
- Aug 03 28-Jul natural gas stocks w/w 1030ET
- Aug 03 02-Aug Fed weekly securities holdings 1630ET
Eurodollar/Treasury option summary
Eurodollar options,
Pit/screen:
+20k EDZ 83/85p spds, 3.25
4k EDZ 83/86 strangles, 4.25 vs. 98.55
+2.5k EDZ 85/86p spds, 6.5
2.5k EDH 85 straddles, 18.5 vs.
5k EOF 85c, 4.5
+3k EOF 85/86/87c flys, 1.0
-2.5k EOM 75/77/80p trees vs.
+EOM 87c, 0.5 net
+32k E2H 80/82/85c flys, 4.5
+5k E2Z 76/77/80p flys, 5.5
4.5k E2Q 80/81 2x1p spds
+4k E2U 78/81p spds vs.
-4k E4U 75/77p spds, 1.0cr/flattener
+3k E2Z 73/75/77p flys, 3.0
2k E2Z 81/82/83c trees, 0.0
-1k E2Q 81 straddles, 8.0
+2.5k E3V 80/82 1x2c spds, 3.0
Tsy options
Pit/screen:
2k TYU 124.2/128 strangles, 5
-1k TYZ 126 straddles, 218
1k wk1 TY 125.5/126/126.25p flys, 1
1k FVU 118.2/118+/118.7c trees, 2
+7k USU 157/158c spds, 7
--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com
[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]
To read the full story
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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.