-
Policy
Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM POLICY: -
EM Policy
EM Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM EM POLICY: -
G10 Markets
G10 Markets
Real-time insight on key fixed income and fx markets.
Launch MNI PodcastsFixed IncomeFI Markets AnalysisCentral Bank PreviewsFI PiFixed Income Technical AnalysisUS$ Credit Supply PipelineGilt Week AheadGlobal IssuanceEurozoneUKUSDeep DiveGlobal Issuance CalendarsEZ/UK Bond Auction CalendarEZ/UK T-bill Auction CalendarUS Treasury Auction CalendarPolitical RiskMNI Political Risk AnalysisMNI Political Risk - US Daily BriefMNI Political Risk - The week AheadElection Previews -
Emerging Markets
Emerging Markets
Real-time insight of emerging markets in CEMEA, Asia and LatAm region
-
Commodities
Commodities
Real-time insight of oil & gas markets
-
Credit
Credit
Real time insight of credit markets
-
Data
-
Global Macro
Global Macro
Actionable insight on monetary policy, balance sheet and inflation with focus on global issuance. Analysis on key political risk impacting the global markets.
Global MacroDM Central Bank PreviewsDM Central Bank ReviewsEM Central Bank PreviewsEM Central Bank ReviewsBalance Sheet AnalysisData AnalysisEurozone DataUK DataUS DataAPAC DataInflation InsightEmployment InsightGlobal IssuanceEurozoneUKUSDeep DiveGlobal Issuance Calendars EZ/UK Bond Auction Calendar EZ/UK T-bill Auction Calendar US Treasury Auction Calendar Chart Packs -
About Us
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.
Real-time Actionable Insight
Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.
Free AccessUS TSYS: RECESSION SIGNAL FLASHING RED, 3M10Y YLD CRV INVERTS
MNI US Closing FI Analysis: Recession Signal Flashing Red, 3M10Y Inverts
US TSY SUMMARY: Tsys broadly higher but off midday highs, best futures volume in
weeks (TYM>2.4k), yld curves mixed (3M10Y inverted first time since mid-2007) 2s
and 5s vs. 30Y mildly steeper.
- Kicking things off, huge German PMI miss sent Bunds sharply higher, Tsys
followed in turn, extending session highs to around midday. Rates pared gains
early in second half as equities pared losses slightly.
- Sources noted rush of algo-lead selling in equities as the 3M10Y yld curve
inverted by midmorning, falling to new 12-year inverted low of -3.663 from 6.389
high overnight.
- Carry-over bank and real$ buying long end vs. mild prop selling, two-way
option-tied flow across the curve as the rally passed through several expiring
April option strikes. Swap-tied receiving in 5s-10s. Real$ interest in 5s30s
steepeners.
- Tsy cash/ylds: 2Y 100-10.25 (2.327%), 5Y 100-17.75 (2.254%), 10Y 101-15.5
(2.453%), 30Y 102-06.5 (2.888%).
US TSY FUTURES CLOSE: Broadly higher/off midday highs by the bell, best volume
in weeks (TYM>2.2M). Yld curves mixed -- front end off newly extended inverted
levels (12Y lows), long end rebounds/inches steeper. Update:
* 3M10Y -7.220, -0.124 (-3.663L/6.389H)
* 2Y10Y -0.204, 12.445 (9.661L/13.176H);
* 2Y30Y +0.466, 56.008 (53.380L/56.521H);
* 5Y30Y +0.955, 63.257 (62.017L/63.903H);
Current futures levels:
* Jun Ultra bonds up 2-13/32 at 166-01 (163-17L/166-27H)
* Jun 30-yr Bond futures up 1-14/32 at 148-18 (147-02L/149-04H)
* Jun 10-yr futures up 21.5/32 at 124-01 (123-10.5L/124-08.5H)
* Jun 5-yr futures up 14/32 at 115-24.5 (115-10.5L/115-28.5H)
* Jun 2-yr futures up 5.88/32 at 106-15.62 (106-9.88/106-17.25H)
US EURODLR FUTURES CLOSE: Sharply higher by the bell, just off midday highs on
heavy volume, tail end of Whites through Reds outperforming. Current White pack
(Jun'19-Mar'20):
* Jun'19 +0.025 at 97.430
* Sep'19 +0.060 at 97.500
* Dec'19 +0.100 at 97.550
* Mar'20 +0.125 at 97.680
* Red pack (Jun'20-Mar'21) +0.140-0.125
* Green pack (Jun'21-Mar'22) +0.115-0.100
* Blue pack (Jun'22-Mar'23) +0.095-0.090
* Gold pack (Jun'23-Mar'24) +0.090-0.085
US DOLLAR LIBOR: Latest settles
* O/N +0.0018 to 2.3890% (-0.0013/wk)
* 1 Month +0.0133 to 2.4988% (+0.0171/wk)
* 3 Month +0.0083 to 2.6098% (-0.0154/wk)
* 6 Month -0.0013 to 2.6760% (+0.0043/wk)
* 1 Year -0.0071 to 2.7870% (-0.0535/wk)
US TSYS: REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 2.44%, $921B
* Broad General Collateral Rate (BGCR): 2.43%, $435B
* Tri-Party General Collateral Rate (TGCR): 2.42%, $419B
OUTLOOK: *** Data/speaker calendar (prior, estimate):
25-Mar 0200 Chi Fed Pres Evans, Credit Suisse Asian Inv Conf, HK, Q&A
25-Mar 0630 Phi Fed Pres Harker, economic outlook, OMFIF, London, Q&A
25-Mar 1030 Mar Dallas Fed manufacturing index (13.1, --)
25-Mar 1130 US TSY $48B 13W bill auction (912796RV3)
25-Mar 1130 US TSY $39B 26W bill auction (912796SK6)
PIPELINE: Quiet end to to decent issuance for week: $19.15B
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
03/22 $1.5B ADT $750M 5NCL 5.25%, $750M 7NCL 5.75%, 8NCL3 dropped
-
$6.25B priced Thursday
03/21 $2.25B *Bank of Montreal $1.75B 3Y +65, $500M 3Y FRN L+57
03/21 $1B *Valero Energy 10Y +155
03/21 $1.5B *SocGen 5Y Sr +155
03/21 $1.5B *Brazil 10Y 4.7%
Eurodollar/Tsy options:
Eurodollar options, Pit/screen:
Block, 1321:20ET
* 19,800 Jun/Jul 73 put spds, 0.0
* -30,000 Dec 72 puts at 2.5 vs. 97.57/0.16%
* +5,000 Dec 73/75 strangles, 23.0
Block, 1220:10ET
* 10,000 Sep 76/77 call spds vs. Sep 73 puts, even net
Block, 1154:34ET
* 15,000 Green Jun 75 puts, 2.0 vs. 97.85
Block, 1144:32ET
* 10,000 Mar 73 puts, 6.5
* 10,000 Mar 77 calls, 17.5
* total +40,000 Dec 71/72/73/75 put condors, 5.0 vs. 97.49/0.10% (+35k, 5.25
THu)
* 20,000 Dec 71/72/73/75 put condors, 5.0 vs. 97.49/0.10%
* 6,000 Sep 73/76 call over risk reversals, 2.25 vs. 97.50/0.44%
* +10,000 Jun 75/76 put spds, 1.25
* +5,000 Sep 77/78 call spds, 0.75 earlier
* -5,000 Dec 73/75/76/77 call condors, 2.0 net/wings over
* 2,000 short Jun 77 straddles, 25.0
* 35,000 short Jul 76/78 call spds on screen
* total 40,700 Sep 76/77 call spds on screen
* total 33,700 Sep 76/77 call spds on screen last few minutes
* -5,000 Dec 72/73 put spd Block at 3.0 earlier
Blocks,
* total 10,000 Green Dec 78/81 call spds 0.5 over the Green Dec 75 puts, 0629ET
* total 15,000 Green Sep 78/81 call spds 3.0 over the Green Sep 75 puts,
0615-0616ET
Tsy options, Pit/screen:
Block, 1243:14ET
* 7,500 USK 148 puts, 54/64 vs. 148-25/0.40%
* -5,000 FVK 115/116.25 strangles, 17/64, adds to appr -15k earlier from 15-16.5
* 3,200 TYM 122/124 1x2 call spds, 44/64
* +3,00 TYM 122 puts, 9/64
* +4,500 USM 153 calls, 23/64
* -12,000 FVK 115/116.25 strangles, 15/64
* over +11,000 TYK 124.5/125.5 call spds, 11/64
* 5,000 TYM 124 straddles, 1-28/64
* 3,200 TUK 106.7/106.8 call strip, 4/64
* +2,000 FVK 115/115.25/115.5 put trees, 0.5/64
* +1,400 FVM 115.25/116 1x3 call spds, 15/64
* +2,300 wk5TY 151.5/153 2x3 call spds, 0.0
* 1,300 TYK 123.5/124 call pspds, 16/64
* TYJ 123.5 combo two-way trade at 0.0 ahead today's expiry
* 6,500 FVJ 115.5 puts trade on screen at 1/64
Reminder, Apr serial ops expire Friday. Not much pin-risk as futures blew
through a few strikes this morning -- need to reevaluate if underlying comes
off. Ops 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) auto-exercised. According to
CME Group data:
* Calls Puts Total Nearest-the-Money Strike Totals
* Apr 30yr 173,318 173,312 346,630 147.50 w/ 12,226 (10,997c, 1,229P)
* 148.00 w/ 14,447 (11,866c, 581P)
* 148.50 w/ 2,403 (2,393c, 10P)
* Apr 10yr 648,025 781,229 1,429,254 123.75 w/ 29,061 (28,064c, 997p)
* 124.00 w/ 61,655 (61,402c, 253p)
* 124.25 w/ 11,605 (11,591c, 14P)
* Apr 5yr 206,044 348,644 374,688 115.25 w/ 53,353 (46,852c, 6,501p)
* 115.50 w/ 31,312 (28,065c, 3,247p)
* 115.75 w/ 15,461 (15,377c, 84p)
* Apr 2yr 21,617 30,941 52,558 106.12 w/ 11,999 (4,358c, 7,641p)
* 106.25 w/ 5,815 (4,261c, 1,554p
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.