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Free AccessMNI: PBOC Sets Yuan Parity Higher At 7.1055 Tues; -6.03% Y/Y
MNI China Press Digest Jan 30: PBOC, He Lifeng, Evergrande
US TSYS: PIPELINE SUPPLY PUSHES TSY DOWN
US TSY SUMMARY: Tsys just off session lows into the bell, light volume (TYU
750k), curves mixed; headline earlier, "Treasuries Edge Lower as IG Issuance
Slate Builds for Second Day -BFW", highlights yesterdays IG pipeline which is
expected to reach $20-$25bn throughout the week;
-West Texas Crude pared nearly all of todays gains after headlines out of
Venezuela, "*VENEZUELA OIL PRODUCTION AVG. STANDS AT 1.5M BPD: MIN"-BN,
"*VENEZUELA WILL CONTINUE TO FULFILL ITS OPEP QUOTA: QUEVEDO"-BN, (WTI +0.05,
69.06, 69.83H/68.81L). Later headlines slowed the downtick, "*EIA CUTS 2018 U.S.
CRUDE-OUTPUT EST. TO 10.68M B/D VS 10.79M"-BFW, "*EIA CUTS 2019 U.S.
CRUDE-OUTPUT EST. TO 11.7M B/D VS 11.8M"-BFW; VIX dropped below 11 this morning
hitting its lowest level since January, currently (-0.31, 10.96, 11.24H/10.52L);
-US$ pared losses this afternoon but remains weaker, DXY -.142 to 95.216,
US$/Yen bounced off session lows (JPY +0.01, 111.41, 111.48H/110.99L);
-Equities higher (emini +10.00, 2,860.00); gold stronger but has fallen off
highs (XAU +2.63, 1210.14); Tsy cash/ylds: 2Y 99-29 (2.670%), 5Y 99-18.75
(2.838%), 10Y 99-05 (2.973%), 30Y 100-02 (3.121%).
US TSY FUTURES CLOSE: Trading moderately lower at the bottom of the range, low
volume (TYU 730k), Curves mixed; update:
* 2s10s +0.918, 29.938 (28.019L/30.214H);
* 2s30s +0.816, 44.825 (42.753L/45.199H);
* 5s30s -0.502, 27.860 (26.818L/28.183H);
Current futures levels:
* Sep Ultra bonds futures down 31/32 at 155-30 (155-24L/156-28H)
* Sep 30-yr Bond futures down 21/32 at 142-19 (142-15L/143-09H)
* Sep 10-yr futures down 08.5/32 at 119-15 (119-14L/119-24H)
* Sep 5-yr futures down 05/32 at 113-05.75 (113-4.75L/113-11H)
* Sep 2-yr futures down 01/32 at 105-22.5 (105-22.25L/105-23.75H)
US EURODOLLAR FUTURES CLOSE: Trading steady to slightly lower at the bottom of
the range, low volume. Current White pack (Sep'18-Jun'19):
* Sep'18 0.000 at 97.585
* Dec'18 -0.005 at 97.330
* Jun'19 -0.010 at 97.175
* Jun'19 -0.010 at 97.065
* Red pack (Sep'19-Jun'20) -0.030-0.020
* Green pack (Sep'20-Jun'21) -0.040-0.035
* Blue pack (Sep'21-Jun'21) -0.035-0.030
* Gold pack (Sep'22-Jun'22) -0.030
TECHNICALS:
US DOLLAR LIBOR: Latest settles,
* O/N -0.0066 to 1.9134% (-0.0016/wk)
* 1 Month -0.0115 to 2.0711% (-0.0082/wk)
* 3 Month -0.0019 to 2.3414% (-0.0016/wk)
* 6 Month +0.0008 to 2.5224% (-0.0024/wk)
* 1 Year -0.0025 to 2.8243% (-0.0030/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 1.86% vs. 1.86% prior, $763B
* Broad General Collateral Rate (BGCR): 1.84% vs. 1.83% prior, $399B
* Tri-Party General Collateral Rate (TGCR): 1.84% vs. 1.83% prior, $384B
US SWAPS: Latest spd levels:
* 2Y -0.50/20.78
* 5Y -0.80/13.65
* 10Y -0.76/6.25
* 30Y -0.93/-6.00
OUTLOOK: Data/speaker calendar (prior, estimate):
- Aug 08 03-Aug MBA Mortgage Applications (-2.6%, --) 0700ET
- Aug 08 03-Aug crude oil stocks ex. SPR w/w (2.468m bbl, --) 1030ET
- Aug 08 Jul Kansas City Fed LMCI (0.77, --) 1100ET
- Aug 08 US Tsy $26B 10Y Note auction, 1300ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* +5,000 Jun 66/68 2x1 put sprd at 4 vs 9704.5/0.10%
* 5,000 Short Dec 66/67/68/70 Put Condor at 3.5
* 5,000 Short Dec 63/66/68 put fly at 5 vs 9692.5/0.10%
* +4,000 Mar 68/70/71 put fly at 2.5
* +10,000 Red Dec 63/65 put sprd vs Red Dec 81 calls at EVEN, BLOCK
* +2,000 Long Green Sep 56/60 5x2 put sprd at EVEN
* 7,500 Long Green Dec 57/62 3x1 put sprd at 0.5 vs 9691/0.10%
* 8,000 Green Dec 66/68/70 broken put tree at 1
* -4,300 Long Green Jun 70 Straddle at 86
US TSY OPTIONS: Latest trade,
* -2,000 TYU 118.5/120.75 Strangle at 6
* +5,000 TYV 123.5/125 call sprd at 1
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$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.