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US TSY SUMMARY: Tsys trades lower/off late morning lows by the bell, albeit on
light volume (TYU<700k), ongoing quiet summer trade, sidelined accts into the
Fed chair semi-annual MonPol testimony Tue (1000ET). Little react to data:
retail sales (+0.5%), Jul Empire Manufacturing Index (22.6) and May business
inventories (+0.4%).
- US$ index softer: DXY -0.178 to 94.499; US$/Yen lower -.12 to 112.26
(112.56H/112.11L); equities weaker (emini -7.25, 2796.0); gold weaker (XAU
-1.41, 1240.04); West Texas crude under heavy pressure (WTI -2.70, 68.31), sell
off after Shell annc ends force majeure on exports, then again on Russia's Trump
comment "not interested in driving prices up (energy) as it drains other areas
(economical)."
- Rates extended session lows into late morning trade, coincided w/positive
research report from BoA heralding "strong earnings growth and low defaults" are
"around the corner". Light deal-tied flow, large FVU/WNU steepener Block:
(+18,328 FVU, 113-16.5 vs. -3,455 WNU, 159-28). Tsy cash/ylds: 2Y 99-25.75
(2.599%), 5Y 99-13.25 (2.750%), 10Y 100-04.5 (2.856%), 30Y 103-05 (2.963%)
US TSY FUTURES CLOSE: Treasury Futures trading lower despite paring morning
loses, in the middle of the range on light volume, Curves steepening, updates:
* 2s10s +0.852, 25.356 (24.121L/26.594H);
* 2s30s +1.173, 36.113 (34.126L/37.490H);
* 5s30s +0.689, 21.178 (19.536L/21.678H);
Current futures levels:
* Sep Ultra bonds down 28/32 at 160-02 (159-16L/161-00H)
* Sep 30-yr Bond futures down 18/32 at 145-04 (144-23L/145-24H)
* Sep 10-yr futures down 06/32 at 120-5.5 (120-00L/120-12.5H)
* Sep 5-yr futures down 04/32 at 113-16.25 (113-13.25L/113-20.5H)
* Sep 2-yr futures down 1.5/32 at 105-25.25 (105-24.5L/105-26.75H)
US EURODOLLAR FUTURES CLOSE: Eurodollar Futures trading mildly lower with the
strip in the bottom half of a tight range. Current White pack (Sep'18-Jun'19):
* Sep'18 -0.005 at 97.540
* Dec'18 -0.010 at 97.335
* Jun'19 -0.015 at 97.205
* Jun'19 -0.015 at 97.110
* Red pack (Sep'19-Jun'20) -0.035-0.025
* Green pack (Sep'20-Jun'21) -0.035-0.030
* Blue pack (Sep'21-Jun'21) -0.030-0.025
* Gold pack (Sep'22-Jun'22) -0.025-0.020
US DOLLAR LIBOR: Latest settles,
* O/N -0.0050 to 1.9126% (-0.0080 last wk)
* 1 Month +0.0053 to 2.0785% (-0.0130 last wk)
* 3 Month -0.0034 to 2.3326% (+0.0047 last wk)
* 6 Month -0.0023 to 2.5185% (+0.0127 last wk)
* 1 Year +0.0009 to 2.7877% (+0.0081 last wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): steady at 1.90%, $735B
* Broad General Collateral Rate (BGCR): steady at 1.87%, $372B
* Tri-Party General Collateral Rate (TGCR): steady at 1.87%, $358B
     US SWAPS: Spds tighter by the bell/off session narrows in 2s-10s, w/long
end extending lows late. Deal-tied flow in the mix, as well as 2-way 2s5s curve
flow on modest size, 2s10s steepeners. Earlier flow included, receiver in 2s
(2.8816-2.8812%) receiver in 5s (2.8805%-2.8748%), 5s9s steepener; earlier flow
includes payer in 5s (2.8714%). Latest spd levels:
* 2Y  -0.50/22.31
* 5Y  -0.25/13.75
* 10Y -0.38/6.25
* 30Y -1.12/-4.75
PIPELINE: $2.5B Citibank 3Y fix/FRN, $2.5B Citigroup 30Y launch, waiting on JPM,
Wells, BFCM
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
07/16 $2.5B #Citibank, $1.75B 3Y fix, $750M 3Y FRN
07/16 $2.5B #Citigroup 30Y +170
07/16 $Benchmark Banque Federative du Credit Mutuel (BFCM) 5Y fix +120a, FRN
Libor eq
07/16 $Benchmark JPMorgan 6NC5 fix-FRN, 6NC5 FRN, 11NC10
07/16 $Benchmark Wells Fargo 3NC2 fix/FRN, 3NC2 FRN
OUTLOOK: Data/speaker calendar (prior, estimate): 
- Jul 17 Jul NY Fed Business Leaders Index (21.4, --) 0830ET
- Jul 17 14-Jul Redbook retail sales m/m (-0.2%, --) 0855ET
- Jul 17 Jun industrial production (-0.1%, 0.5%) 0915ET
- Jul 17 Jun capacity utilization (77.9%, 78.2%) 0915ET
- Jul 17 Jul NAHB home builder index (68, --) 1000ET
- Jul 17 Fed Chair Powell semi-annual testimony to Congress 1000ET
- Jul 17 May net TICS flows 1600ET
- Jul 17 May long term TICS flows 1600ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/Screen:
* 10,000 Blue Sep 65/67 put spds, 1.5 vs. 97.04/0.10%
* -2,000 short Aug 70/71 straddle strip, 25.5
* +2,000 Blue Aug 70/71 straddle strip, 29.0
* 4,000 Short Mar 62 puts at 1.5 vs 9700.5/0.10%
UPDATE: Total 18,000 Jun 77/78 call sprd at 1 vs 9712/0.10%
* 5,000 Green Dec 62 puts at 1 vs 9702.5/0.10%
UPDATE: Total 35,000 Short Sep 72/75 call sprd at 2.5 vs 9707/0.15%
* 5,000 Green Dec 66/68 put strip at 15 vs 9704/0.52%
* 4,250 Short Sep 72 calls at 3 vs 9704.5/0.20%
* 3,500 Short Dec 70 Straddle at 32 vs 9702/0.14%
* 2,500 Jun 77/78 call sprd at 1 vs 9712.5/0.10%
* 10,000 Short Sep 72/75 call sprd at 2.5 vs 9707/0.15%, adds to 10k earlier
* 4,000 Dec 75/76 1x2 call sprd at 0
* +25,000 Mar 80 call at 1, on screen
* 10,000 Short Sep 72/75 call sprd at 2.5 vs 9706.5/0.15%
Tsy options, Pit/Screen:
* -9,000 FVQ 114 calls, 2/64 on screen
* 3,000 TYQ 119.5 puts, 5/64
* 2,000 TYQ 119.5/TYU 118.5 put spds
* +1,700 FVU 112.25/113/113.75 put flys, 14.5/64
* 1,550 TYU 121.5/122.5 call spds, 6/64
* over -2,000 USU 147 calls, 43- to 41/64
* Update, over -7,000 FVU 113.25 puts, 13- to 12/64
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com