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Free AccessUS TSYS: QIET LEAD-UP TO WED'S CPI, MARCH FOMC MINUTES
US TSY SUMMARY: Trades higher after the bell, quiet for much of the session
after Tsys extend late overnight lows heading into the NY open. Initial gap
lower tracked Bunds after 5-yr N/Ireland backstop limit headline--rebound soon
after as Germany denied. Rates reversed losses (Block buys in FVM and TYM
early), made new session highs after the bell amid new quarter/asset allocation
chatter out of equities into Tsys. Equities near lows (SPX -18.0, 2880.25); US$
index off lows (DXY -.062, 96.988).
- Session flow includes bank and real$ buying 10s and 30s early, decent
deal-tied selling on inaugural $12B Saudi Aramco 5-part issuance (3Y-30Y span).
Decent two-way option flow, some put spread unwinds in Dec Eurodlr options
- Latest $38B 3Y note auction (9128286M7) awarded 2.301% (2.448% previous) vs.
3.300% WI going into auction, bid/cover 2.49 vs. 2.56 previous (3.07 avg).
- On tap for Wednesday: CPI; Atlanta Fed inflation; Mar Kansas City Fed LMCI;
Mar Treasury budget balance; March FOMC minutes.
- The 2-Yr yield is down 1.6bps at 2.3456%, 5-Yr is down 2.3bps at 2.3038%,
10-Yr is down 2.2bps at 2.5006%, and 30-Yr is down 1.3bps at 2.9141%.
US TSY FUTURES CLOSE: Moderately higher across the board, curves mixed on a
quiet session ahead better midweek data (CPI) and March FOMC minutes release
Wednesday. Curve update:
* 3M10Y -1.718, 8.565 (L: 6.444 / H: 10.636)
* 2Y10Y -0.532, 15.3 (L: 14.764 / H: 16.453)
* 2Y30Y +0.371, 56.643 (L: 55.554 / H: 57.339)
* 5Y30Y +0.849, 60.69 (L: 59.05 / H: 60.78)
Current futures levels:
* Jun Ultra futures (WN) up 10/32 at 165-4 (L: 164-19 / H: 165-23)
* Jun 30-Yr futures (US) up 9/32 at 147-29 (L: 147-16 / H: 148-09)
* Jun 10-Yr futures (TY) up 4.5/32 at 123-19 (L: 123-13 / H: 123-24)
* Jun 5-Yr futures (FV) up 2.5/32 at 115-16 (L: 115-12.25 / H: 115-19)
* Jun 2-Yr futures (TU) up 0.75/32 at 106-12.5 (L: 106-11.25 / H: 106-13.625)
US EURODLR FUTURES CLOSE: Mildly higher after the bell, short end lagging.
Current White pack (Jun'19-Mar'20):
* Jun 19 +0.005 at 97.445
* Sep 19 +0.010 at 97.490
* Dec 19 +0.015 at 97.510
* Mar 20 +0.020 at 97.620
* Red Pack (Jun 20-Mar 21) +0.025 to +0.030
* Green Pack (Jun 21-Mar 22) +0.030 to +0.030
* Blue Pack (Jun 22-Mar 23) +0.030 to +0.030
* Gold Pack (Jun 23-Mar 24) +0.025 to +0.030
US DOLLAR LIBOR: Latest settles
* O/N at 2.3930% (-0.0007/wk)
* 1 Month +0.0027 to 2.4840% (+0.0124/wk)
* 3 Month -0.0028 to 2.5812% (-0.0109/wk)
* 6 Month -0.0031 to 2.6285% (-0.0161/wk)
* 1 Year 2.7541% (+0.0030/wk)
US TSYS: REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 2.46%, $949B
* Broad General Collateral Rate (BGCR): 2.43%, $455B
* Tri-Party General Collateral Rate (TGCR): 2.43%, $431B
US SWAPS: Spds mildly tighter across the curve--off early wides, snapped tighter
after size of Saudi Aramco 5-part deal announced ($12B). In-line flow , rather
decent receiving in 2s, 3s and 5s after payers in 2s and 10s, 2s5s10s receiver
fly. Latest spd levels:
Time (ET) 2Y Swap/Mid 5Y Swap/Mid 10Y Swap/Mid 30Y Swap/Mid
12:45 -0.31/9.25 -0.47/3.50 -0.25/-1.75 -0.19/-24.38
9:30 +0.88/10.44 +0.25/4.22 +0.38/-1.12 +0.19/-24.00
Tue Open +0.19/9.25 +0.00/3.97 +0.06/-1.44 +0.06/-24.12
OUTLOOK: *** Data/speaker calendar (prior, estimate):
10-Apr 0700 05-Apr MBA Mortgage Applications
10-Apr 0830 Mar CPI (0.2%, 0.4%)
10-Apr 0830 Mar CPI Ex Food and Energy (0.1%, 0.2%)
10-Apr 1000 Apr Atlanta Fed inflation
10-Apr 1030 05-Apr crude oil stocks ex. SPR w/w
10-Apr 1100 Mar Kansas City Fed LMCI
10-Apr 1150 US Fed VC Clarida, FSB Roundtable, major interest rate benchmark
reform, DC
10-Apr 1300 US TSY $24B 10Y note auction (9128286B1)
10-Apr 1400 March FOMC minutes release
10-Apr 1400 Mar Treasury budget balance (-$179.0B est)
PIPELINE: $2B Toyota Motor Cr 2-part launched
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
04/09 $2B #Toyota Motor Cr $1.25B 1.5Y FRN L+15, $750M 3Y +38
04/09 $12B Saudi Aramco $1B 3Y +55, $2B 5Y +75, $3B 10Y +105, $3B 20Y +140, $3B
30Y +155
04/09 $3B *Staples $2B 7NC3 7.5%, $1B 8NC3 10.75%
04/09 $1B *Province of Manitoba 5Y +26
04/09 $500M *Waste Connections Inc. 10Y +103
04/09 $Benchmark DBS Group 3Y +60a
Eurodollar/Tsy options:
Eurodollar options, Pit/screen:
* +5,000 Jun 75/76 2x1 call spds, 2.5
* +2,500 Green Jun 75/77/78 put flys, 1.0
* +25,000 Blue May 81/Blue Jun 82 call spds on screen, Jun bought over, 0.5 net
* 10,000 Red Jun 66 puts, 1.0 vs. 97.625/0.05%
Block, 1221:12ET
* 10,000 Green Sep 71 puts, 1.0 vs. 97.78/0.05%
* Update, over -15,000 Dec 73 straddles, 23.5
* 2,000 short Sep 80/85 1x3 call spds, 2.0 vs. 97.80
* +2,000 Dec 71/72 put spds, 1.25/legged
* -15,000 Dec 73/75/76 2x3x1 put flys, 5.0
* -8,000 short Jul 75/76 put spds 2.0 over the Gold Jul 72/73 put spds
* +5,000 Mar 73/76 put spds, 12.5 vs. 97.615/0.25%
* -40,000 Dec 72/73 put spds, 3.0 vs. 97.515/0.18%
* -33,000 (10k Blocked) Mar 75/77 call spds, 9.0 vs. 97.61/0.10%
* -35,000 Red Jun'20 75/77 call spds, 11.0 on screen
* +10,000 Red Dec'20 72/75 put spds, 8.0 vs. 97.76/0.10%
* +5,000 Dec 73/75 straddle spd, 2.0 net vs. 97.50/0.34%
* -5,000 Red Jun20 68/70 put spds, 0.5
* 4,000 short Jun 75/76 put spds, 4.5 vs. 97.675/0.10%
* 2,000 short Apr 76 puts, 1.0 vs. 97.685/0.10%
* 2,000 Green Apr 78 puts, 1.0 vs. 97.79/0.20%
Tsy options, Pit/screen:
* -2,000 TYM 122/124 2x1 put spds, 39/64
* -6,000 USM 146/150 strangles, 1-2 to 1-0/64
* -5,500 USM 147 puts, 49/64
* +4,500 FVM 116.25/117.75 call spds, 7.5/64
* +2,200 wk2 FV 115/115.5 put spds, 8/64
* +5,000 Jul 77 calls, 1.0
* +2,500 Green Jul 77 straddles, 24.5
* 1,500 short Sep 76/77 strangles, 25.5
Overnight screen trade
* 20,000 Dec 72/77 call spds
* 15,000 short Jul 75/77 put spds
* 10,000 Jul 75/76 call spds
* 10,000 Jul 73/75 put spds
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
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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.