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Free AccessUS TSYS HIGHER, STOCKS LOWER ON N.KOREA NERVES;SOLID 30Y AUCTN
US TSYS SUMMARY: Treasuries ended Thu higher after mkt built in price
concession to get solid $15B 30y auction: drew 2nd- highest indirect award in
30Y auction history back to 2006.
- Tsys began NY nearly unchanged, chopped around a bit with nerves on
N.Korea/Guam situation (Jpn, S.Korea said wld react if Guam hit, N.Korea eyed
attack nr Guam by mid-Aug)
- Tsys bid after higher initial wkly jobless claims, soft -0.1% July PPI/Core,
NY Fed Dudley eyed modest wage growth. Tsys rose on 35K bought TYU 10Y futures
from 126-12.5 to -14; light fast$, prop sales in short end, better lg end buying
FX-tied buys in Tsys as US$ weak vs yen. 30Y mixed flows; better selling 3Y, 5Y,
7Y, 10Y. Then Tsys 30Y pre-auction shorts/sales done. Good 30Y auction: 2.818%
rate, strong 66.8% indirects bidders award, soft 5.38% directs, small 27.8% for
dealers. Some cited strong US buyers' demand, insurer bid, mild Jpn bid.
- Risk-off rate payg in US swaps. Big US Eurodlr sale: 40K EDU'17 sold,98.675.
Jpn mkt close Fri.
- TSYS 3pm ET: 2Y 1.335%; 3Y 1.489%, 5Y 1.781%; 7Y 2.031%, 10Y 2.211%, 30Y
2.788%
US STOCKS: Stocks traded weaker, S&P 500 futures declined too, amid N.Korea
jitters.
DJIA was off 0.73% at 3:24pm ET at 21,886; S&P 500 index was off 1.00%.
US TSY FUTURES CLOSE: Mostly higher by the bell and gaining on the screen, long
end outperforming. Current futures levels:
* Sep Ultra bonds up 1-0/32 at 167-28 (166-16L/167-29H)
* Sep 30-yr Bond futures up 20/32 at 155-11 (154-13L/155-13H)
* Sep 10-yr futures up 7/64 at 126-18 (126-06L/126-20H)
* Sep 5-yr futures up 2.5/32 at 118-13.75 (118-08.5L/118-15.5H)
* Sep 2-yr futures steady at 108-06.5 (108-05.75L/108-07.25H)
US SWAPS: Spds running steady to mildly tighter by the close, long and short end
leading compression. Rather quiet day for swaps, modest issuance weighing,
two-way deal-tied flow, while some spec-acct risk-off payer unwinds noted
despite carry-over strength in rates and safe-haven assets. OTC vol going out
mildly bid in the short to intermediates, longer vega steady, receivers bid over
again. Latest spread levels:
* 2Y -0.53/25.44
* 5Y +0.00/8.00
* 10Y -0.12/-3.62
* 30Y -0.50/-32.06
US EURODLR FUTURES CLOSE: Modestly higher across the strip, near highs w/long
end outperforming. Decent volume, large sale 40 Sep'17 98.675 earlier. Current
White pack (Jun'17-Mar'18):
* Sep'17 +0.005 at 98.675
* Dec'17 +0.000 at 98.545
* Mar'18 +0.005 at 98.475
* Jun'18 +0.005 at 98.415
* Red pack (Sep'18-Jun'19) +0.015-0.020
* Green pack (Sep'19-Jun'20) +0.025
* Blue pack (Sep'20-Jun'21) +0.025-0.030
* Gold pack (Sep'21-Jun'22) +0.025-0.030
OUTLOOK: *** Data/speaker calendar (prior, estimate):
- Aug 11 Jul CPI (0.0%, 0.2%) 0830ET
- Aug 11 Jul CPI Ex Food and Energy (0.1%, 0.2%) 0830ET
- Aug 11 Dal Fed Kaplan: Univ Tex/Arlngtn Accntg Dept CPE Day Q&A 0940ET
- Aug 11 Q3 St. Louis Fed Real GDP Nowcast 1100ET
- Aug 11 Q3 NY Fed GDP Nowcast (+2.0, --) 1115ET
- Aug 11 Minn Fed Kashkari Indpndt Comm Bankers Minn Cnv, Q&A 1130ET
Eurodollar/Treasury option summary
Eurodollar options,
Block:
0341ET
+10k E2Z 85c, 3.0 vs. 98.08/0.10%
0538ET
+10k EDV/EDX 87c strip, 1.0
1332ET, ongoing buyer
+15k EOZ 80/81p spds, 3.0
1404ET
10k EOX 81/82c spds, 8.5 vs.
10k EOX 82p, 8.0
Pit/screen:
+25k EDZ 85/86/87c flys, 1.25
9k EDQ/EDU 88c spds, cab
-8k EDZ 85 straddles, 13.0
+10k EOV/EOX 86c strip, 2.5 vs. 98.295/0.25%
+8k EOH 88c, 1.0
+5k EOU 82/85 R/R, 0.0+c
2k EOZ 77/80p spds, 2.0
-2k EOU 83 straddles, 11.0
-10k E2Z 75/77 3x1p spds, 0.5/3-leg ovr
+10k E2H 76/85 R/R, 0.0p ovr
+7.5k E2V 81p, 2.0-1.5
+5k E2Z 76/85 combo, 0.0
+4k E2Q 81p, 1.5
+2.5k E2H 75/77 2x1p spds, 0.5
6k E3Q 80c, 0.5 vs. 97.925/0.24%
-2.5k E3Q 78/80 1x2c spds, 7.0
2k E4Q 78c, cab
Tsy options
Pit/screen:
+12k TYZ 123+/129 R/R, 2-3c ovr
+3k TYZ 124+p, 31
+3k TYV 126+/127/127.25c trees, 8
-2.5k TYZ 124/128 R/R, 4c ovr
2.5k TYU 126+/127/127.25c trees
2.5k TYV 125/127 strangles, 43
1.1k TYV 122+/129+ R/R, c ovr
+1k TYU 127+c, 8
1k TYU 126p, 12
+10k wk2 TY 126p, 4
2k FVU/FVV 119 2x1c spds, 0.0
--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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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.