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Free AccessUS Treasury Auction Calendar
MNI INTERVIEW: Emerging Markets Face "Last Mile" Test-IMF's Wu
US TSYS: FOMC HOLDS STEADY; BOE UP NEXT
US TSY SUMMARY: Tsy trading moderately lower on strong volume (TYU 1.3M), curves
bear steepening throughout the day but have since dipped off session highs. Tsy
ylds higher with 10YY breaching 3% for first time since mid June, currently
(3.001%) 98-29.5 vs. (3.014%) day high, 30YY 3.126%; US$/Yen fell back in line
with the 10YY; decent amount of data today as ADP came in stronger than
expected (219k vs 186k exp); ISM manufacturing and construction spending both
came in much weaker than expected, (58.1 vs 59.4 exp) and (-1.1% vs +0.3% exp);
Tsy supply increased , mild deal-tied flow in the mix, FX acct selling; dealer
sales cash 10s and 30s
-FOMC held the fed funds rate steady at 1.75% to 2.00% on an 8-0 vote; very few
changes to the overall statement
-DXY +.055 to 94.609; US$/Yen softer, -.31 to 111.55 (112.15H/111.39L); equities
lower (emini -3.50, 2813.5); gold softer (XAU -5.72, 1218.53); West Texas crude
lower (WTI -0.97, 67.79).
-Tsy cash/ylds: 2Y 99-28.5 (2.678%), 5Y 99-13.75 (2.872%), 10Y 98-30 (2.999%),
30Y 100-00 (3.124%).
US TSY FUTURES CLOSE: Trading moderately lower in the bottom half of the
range, strong volume (TYU 1.35M), Curves steeper:
* 2s10s +3.098, 31.730 (28.698L/33.036H);
* 2s30s +3.453, 44.240 (41.116L/46.270H);
* 5s30s +1.811, 25.067 (23.028L/26.160H);
Current futures levels:
* Sep Ultra bonds down 1-05/32 at 155-24 (155-05L/157-07H)
* Sep 30-yr Bond futures down 23/32 at 142-08 (141-27L/143-09H)
* Sep 10-yr futures down 7.5/32 at 119-06 (119-02.5L/119-18H)
* Sep 5-yr futures down 3.5/32 at 113-0.5 (112-30.5L/113-06.5H)
* Sep 2-yr futures down 0.5/32 at 105-21.5 (105-20.75L/105-22.5H)
US EURODOLLAR FUTURES CLOSE: Trading steady to mildly lower, long end of the
strip underperforming, strip at the bottom of the range Current White pack
(Sep'18-Jun'19):
* Sep'18 0.000 at 97.560
* Dec'18 -0.010 at 97.310
* Jun'19 -0.015 at 97.155
* Jun'19 -0.020 at 97.035
* Red pack (Sep'19-Jun'20) -0.035-0.025
* Green pack (Sep'20-Jun'21) -0.045-0.035
* Blue pack (Sep'21-Jun'21) -0.055-0.045
* Gold pack (Sep'22-Jun'22) -0.060-0.055
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 1.93% vs. 1.88% prior, $799B
* Broad General Collateral Rate (BGCR): 1.91% vs. 1.86% prior, $400B
* Tri-Party General Collateral Rate (TGCR): 1.91% vs. 1.86% prior, $386B
US SWAPS: Spds holding mixed into the close, spd curve flatter vs. steeper Tsy
curve all session. Flow evaporated into the FOMC, remained muted into the close.
Decent earlier flow included payer in 3s (2.96875%), 2-way in 5s, receiver in
10s (3.0625) and spd curve steepeners in 5s10s. Multiple short-intermediate
flys/receiving belly: 2s5s10s, 3s5s10s, 3s5s7s and 3s7s9s. Latest spd levels:
* 2Y +0.69/21.56
* 5Y +0.73/13.06
* 10Y +0.26/6.92
* 30Y -0.22/-4.66
PIPELINE: $900M NY Life launch, otherwise limited corporate issuance in lead-up
to FOMC
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
08/01 $900M #NY Life Global $500M 3Y fix +50, $400M 3Y FRN +32
08/01 $500M FS Energy & Power 5NCL
OUTLOOK: Data/speaker calendar (prior, estimate):
- Aug 02 Jul challenger layoff plans (19.6%, --) 0730ET
- Aug 02 28-Jul jobless claims (217k, 219k) 0830et
- Aug 02 Jul ISM-NY current conditions (55.0, --) 0945ET
- Aug 02 29-Jul Bloomberg comfort index (59, --) 0945et
- Aug 02 Jun factory new orders (0.4%, 0.4%) 1000ET
- Aug 02 Jun factory orders ex transport (0.7%, --) 1000ET
- Aug 02 27-Jul natural gas stocks w/w (78Bcf, --) 1030ET
- Aug 02 01-Aug Fed weekly securities holdings
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* 10,000 Green Mar 66/67 put strip for net 25.5 vs 9691.5/0.68%, note recent 10k
block for 20k
* 15,000 Green Aug 68/70/71 put fly for 3.5 vs 9691/0.26%
* 20,000 all day Green Aug 67/68/70 put fly vs Green Aug 68/70/71 put fly for
net 2
* 6,500 Sep 76 puts at 7.5 vs 9755.5/0.80%
* 4,000 Short Dec 75 calls at 2 vs 9693/0.10%
* -6,000 Sep 75/76 put sprd at 6.5 vs 9755.5/0.60%, note recent -10k block at
same price for a total of 20k
* 6,000 Short Dec 68 puts at 12 vs 9692/0.50%
* -10,000 Short Dec 68 puts at 12 vs 9692/0.50%
* 10,000 Red Sep 67/70 put sprd at 11.5 vs 9697.5/0.21%
* 15,000 Green Dec 98 calls with Mar 78 calls for net 2 vs 9720.5/0.10%, note
adds to earlier 15k block for 30k total
US TSY OPTIONS:
US TSY OPTIONS: Latest trade,
* +1,750 USU 143.5 calls, 26/64 vs. 142-01/0.28%
* +1,000 TYZ 121/122 call spds, 9/64
* 2,655 FVU 113.75 calls on screen at 2.5/64
* 1,000 TYU 118.5/120 strangles, 20/64
* 1,000 TYX 120.5/121.5 call spds, 10/64
* 1,900 TUU 105.8/106.1 call spds, 1/64 vs. TUU 105.3 puts, .5/64
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
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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.