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Free AccessUS TSYS: RISK-OFF RATE RALLY, STEEL TARIFF INTENT HITS EQ'S
US TSY SUMMARY: Strong finish for rates, Tsy futures made new session highs as
equities made new lows following steel/aluminum tariff intentions by US Pres
Trump, Europe and Canada headlines planning countermeasures, spurring late
risk-off move.
- US$ index reversed gains on tariff items (DXY -.310, 90.303 vs. 90.932H);
equities lower but off lows (emini 2681.0 late vs. 2658.5L); gold weaker (XAU
-0.96, 1317.42); West Texas crude little weaker (WTI -0.24, 61.40).
- Choppy session with several round trips in rates from steady to broadly higher
in long end. Tsys actually pared early gains post data w/inflation at 1.5%,
equities pare losses/rates reverse post consumer confidence rally move after
ISM, construction spending data, focus back to Fed chair Powell as he made
second Mon/Pol testimony.
- Powell states can't be "too aggressive" in tightening policy w/inflation still
below target, Dudley adds four hikes WOULD be gradual. Heavy two-way flow prop
and real$ selling in 10s, 30s earlier, bank and real$ 2-way in belly-long end
- Late ylds: 2Y 2.214%, 3Y 2.360%, 5Y 2.581%, 7Y 2.738%, 10Y 2.810%, 30Y 3.089%
US TSY FUTURES: Strong finish for rates, Tsy futures made new session highs as
equities made new lows following steel/aluminum tariff intentions by US Pres
Trump, Europe and Canada headlines planning countermeasures if do spurred
risk-off move. Latest curve update:
* 2s10s -1.247, 59.408 (60.838H/58.004L);
* 2s30s +0.436, 87.458 (88.695H/84.653L);
* 5s30s +2.618, 50.694 (52.187H/47.050L);
Current futures levels:
* Jun Ultra bonds up 1-08/32 at 157-04 (155-13L/157-09H)
* Jun 30-yr Bond futures up 29/32 at 144-11 (143-06L/144-18H)
* Jun 10-yr futures up 16.5/32 at 120-18 (120-00.5L/120-23H)
* Jun 5-yr futures up 11/32 at 114-08.75 (113-28.5L/114-12H)
* Jun 2-yr futures up 3.25/32 at 106-10.75 (106-07L/106-11.5H)
US EURODOLLAR FUTURES CLOSE: Broadly higher on heavy volume, at/near session
highs by the bell. Short end progressively bid after 3M LIBOR rise slowed,
Green/Blues outpace late. Current White pack (Mar'18-Dec'18):
* Mar'18 +0.052 at 97.937
* Jun'18 +0.070 at 97.795
* Sep'18 +0.085 at 97.690
* Dec'18 +0.090 at 97.560
* Red pack (Mar'19-Dec'19) +0.095-0.100
* Green pack (Mar'20-Dec'20) +0.105-0.110
* Blue pack (Mar'21-Dec'21) +0.110-0.100
* Gold pack (Mar'22-Dec'22) +0.095-0.085
US DOLLAR LIBOR: Latest settles,
* O/N +0.0037 to 1.4462 (-0.0019/wk)
* 1 Month +0.0162 to 1.6862% (+0.0550/wk)
* 3 Month +0.0073 to 2.0245% (+0.0683/wk)
* 6 Month +0.0012 to 2.2249% (+0.0430/wk)
US SWAPS: Spds held tighter in late trade, off session lows. Aside from modest
deal-tied flow, late mixed flow included
* $65.3k DV01 2Y-5Y FLATTENER
* $250k DV01 5Y-10Y STEEPENER
* $191.4k 2Y-3Y-10Y Fly, paying the belly
* $187.6k 2Y-5Y-6Y Fly, receiving the belly. Latest spread levels:
* 2Y -2.50/25.88
* 5Y -0.88/10.19
* 10Y -0.81/0.75
* 30Y -1.50/-19.50
PIPELINE: $1.75B Nationwide Building Society launched earlier
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
03/01 $1.75B #Nationwide Bldng Soc ($1B 6NC5, $750M 11NC10)
-
Potential upcoming issuance in the near term:
Chatter, United Overseas Bank (UOB)
Chatter, Korea Resources (KORESC)
Chatter, Aegon NV (AEGON)
OUTLOOK: Data/speaker calendar (prior, estimate):
- Mar 02 Feb ISM-NY current conditions (72.5, --) 0945ET
- Mar 02 Mar Michigan sentiment index (f) (99.9, 99.3) 1000ET
- Mar 02 Q1 St. Louis Fed Real GDP Nowcast (+2.74%, --) 1100ET
- Mar 02 Q1 NY Fed GDP Nowcast (+3.1%, --) 1115ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* 20,000 short Jun 71/73 2x1 put spds, 6.0
* 10,000 Blue Jun 75/Blue Sep 76 call spds, 1.0
* 20,000 Aug 75 puts, 2.75 vs. 97.655/0.24%
* +5,000 Sep 73/75 2x1 put spds, 1.5
* +10,000 Red Jun 70/72/73 put trees, 2.0 vs. 97.315/0.15%
* -5,000 Green Mar 68/71/73 put trees, 17.0 vs. 97.16/0.38%
* -5,000 May 76/77 put spds 1.75 over the May 77 calls
* +5,000 May 76 puts, 1.0
* +5,000 Sep 71/72 put spds, cab
* +2,500 Jun 76/77/78 put trees, 7.25
* -3,000 Sep 76/77/78 call trees, 1.5
* -4,000 short Sep 72/Blue Sep 70 straddle spds, 8.5
* -2,000 short May 73 straddles, 22.0
* -5,000 Green Mar 71 puts, 5.0
* Update, total +15,000 short Dec 72/77 call spds, 13.5 vs.
* total -15,000 Blue Dec 71/75 call spds, 13.0
below includes 10k Block at 0953:10
* total +20,000 short Jun 70/72 put spds 0.5 over short Jun 75 calls
* +5,000 Jun 78/short Jun 76 call spds, 0.5 EON over
* -10,000 Mar 78 puts, 1.0 adding to earlier Block sales
* +5,000 short Sep/short Apr 1x2 call spds, 3.0
* +5,000 May 77/78 1x2 call spds, 1.75
* +2,000 Green Sep 63/66 put spds, 3.0
* +2,000 Green Sep 65/67 put spds, 4.0
* +5,000 Apr 75 puts and +10,000 May 75 puts both at 0.25 pre-data
Blocks, 0745:26-0746:19ET adds to -17k blocked earlier
* another 12,000 Mar 78 puts, 1.0
Blocks, 0716:34-0727:53ET
* total -17,000 Mar 78 puts from 1.25-1.0
Block, 0657:16ET
* +36,900 Sep 75 puts, 4.0
* +36,900 Dec 72 puts, 3.5
Tsy options, Pit/screen:
* 20,000 TYJ 118 puts, 2/64 on screen 40.5k total
* 1,000 FVJ 114/114.75 1x2 call spds, 9.5/64
* 1,000 TYM 120.5 straddles, 2-3/64
* 3,000 wk1 120/120.25 call over risk reversals, 2/64 vs. 120-05.5/0.68%
Block, 0827ET
* 8,000 TYJ 119/119.5 put spds, 6/64 vs. 120-13.5
* 1,800 TYJ 119 puts, 8/64 vs. 120-11/0.14%
* 2,500 TYK 118.5 puts, 12/64
* 1,000 FVJ 112.5/113 put spds, 1.5/64
--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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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.