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Free AccessUS TSYS END MIXED/FLATTER AS SELLOFF STOPS;GOOD 5Y TIPS REOPEN
US TSYS SUMMARY: Treasuries end Thu mixed/flatter, long end gains amid
consolidation day after 3day selloff. Mkt had strong $14B 5Y TIPS reopening:
stopped thru to 0.370% yield, high 1.7% indirects, solid 12.23% directs, left
only record-low 16.12% for dealers to mop up. Congress seems working on Tsy
limit; recall temporary debt limit lift expires Fri Dec. 22.
- US weekly initial jobless claims up 20K; 3Q GDP 3rd estimate +3.2%.
- Tsys saw early pre-leading indicator flow of real$ selling 5s and 10s, buying
off-the-run 2s and 3s, fast$ doing flatteners in 5s vs. 10s and 30s. Long end
rose late morning with real$ buying long end futures and cash Tsys esp. 30y
bond. Tsys mirrored core EGBs coming into NY, opened bid, pared gain soon after,
followed core EGB lead into midmorning.
- Levels rebounded w/Bunds, prop and real$ buying 10s and 30s after fast$
selling in intermediates. More long-end Tsys buys done, and curve flattenerstoo.
- Month-end: BBG/Barclays Tsys index extends 0.07yrs, Agencies 0.12yrs.
- TIPS outperformed nominal Treasuries.
- TSYS 3PM ET: 2Y 1.878%, 3Y 1.997%, 5Y 2.245%, 7Y 2.395%, 10Y 2.481%, 30Y
2.833%
US TSY FUTURES CLOSE: Trading mixed after the bell -- long end trading strong
but off midday highs, curve flattening slightly after steepening off 10+ year
lows the last three sessions. Latest curve update:
* 2s10s -3.521, 60.097 vs. 63.898H
* 2s30s -6.114, 95.471 vs. 101.852H
* 5s30s -4.815, 59.033 vs. 64.413H. Current futures levels:
* Mar Ultra bonds up 1-3/64 at 164-22 (163-15L/164-30H)
* Mar 30-yr Bond futures up 17/32 at 151-03 (150-15L/151-08H)
* Mar 10-yr futures up 1/32 at 123-15.5 (123-12.5L/123-20H)
* Mar 5-yr futures down 1/32 at 115-29.5 (115-28.25L/116-01.25H)
* Mar 2-yr futures down .75/32 at 107-01 (107-00.75L/107-02.75H)
US EURODLR FUTURES CLOSE: Trading mixed into the close, long end support
mirroring flattening in Tsys. Current White pack (Mar'18-Dec'18):
* Mar'18 +0.000 at 98.210
* Jun'18 -0.005 at 98.050
* Sep'18 -0.005 at 97.940
* Dec'18 -0.010 at 97.840
* Red pack (Mar'19-Dec'19) -0.010-0.015
* Green pack (Mar'20-Dec'20) -0.010-0.005
* Blue pack (Mar'21-Dec'21) steady to +0.005
* Gold pack (Mar'22-Dec'22) +0.005-0.015
US SWAPS: Spds mostly wider by the close, spd curve steeper vs. flattening in
Tsys. Light volume: 2-way in 4s and 5s, payers in 2s at 2.07375%., flattener
unwinds. OTC vol lower across the surface heading into the holidays. Latest
spread levels:
* 2Y -0.31/20.94
* 5Y +0.25/4.81
* 10Y +0.69/-1.56
* 30Y +1.69/-20.75
OUTLOOK: *** Data/speaker calendar (prior, estimate):
- Dec 22 Nov durables new orders (-0.8%, 2.3%)/ex trans (0.9%, 0.6%) 0830ET
- Dec 22 Nov personal income (0.4%, 0.4%) 0830ET
- Dec 22 Nov current dollar PCE (0.3%, 0.4%) 0830ET
- Dec 22 Nov total PCE price index (0.1%, --)/core PCE (0.2%, 0.1%) 0830ET
- Dec 22 Dec Philadelphia Fed Nonmfg Index (19.3, --) 0830ET
- Dec 22 Nov new home sales (685k, 658k) 1000ET
- Dec 22 Nov bldg permits revision 1000ET
- Dec 22 Dec Michigan sentiment index (f) (96.8, 97.0) 1000ET
- Dec 22 Nov BLS state payrolls (240.7K, --) 1000ET
- Dec 22 Dec Kansas City Fed Mfg Index (16, --) 1100ET
- Dec 22 Q4 St. Louis Fed Real GDP Nowcast 1100ET
- Dec 22 Q4 NY Fed GDP Nowcast 1115ET
- Dec 22 US Financial Futures Close Early 1300ET
- Dec 22 US Cash Bonds/Treasuries Early Close 1400ET
- Dec 22 Dec Treasury Allotments (p) --/-- b USD 1500ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* +8,000 short Mar 81/82 1x2 call spds, 0.0
* -10,000 Green Mar 76/Green Jun 73 put spd, 3.0
* +5,000 short Mar 75 puts, 1.0
* -4,000 Blue Jun 73/76 2x1 put spds, 1.0
* -3,500 Green Mar 73/78 call over risk reversals, 1.0 net vs. 97.645
* +/-4,000 short Sep 77/Blue Sep 75 straddle spds, 78.0
* +3,500 Jan 77/78/80 put flys, cab
* +10,000 Jun 78/80 2x1 put spds, 2.5
* -5,000 Apr 78/80 put strip, 3.5, 1.5 net debit package
* 5,000 Sep 82/85 call spds, 6.5 vs. 97.955/0.30%
* 3,200 Dec 76 straddles, 42.0
* total 13,000 Mar 80/81 put spds, 1.0 (12k Blocked)
* 10,300 Sep 83/85 call spds
Tsy options, Pit/screen:
* 3,000 TYH 120.5/123 put spds, 29/64
* 1,200 TUH 106.8/107/107.1 put flys, 1.5/64
30Y ratio iron fly
* appr 3,600 USH 151 straddles, 3-55/64 vs.
* 6,300 USH 146/156 strangles, 54- to 53/64
* Screen total 26,100 TYG 123 puts, 22/64
* total 3,000 TYG 123/123.5 put strips, 52- to 53/64 vs.
* total 4,000 TYG 124.5 puts, 1-9/64 vs. 123-17
--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com
[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]
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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.