Free Trial

US TSYS: Risk-Off Unwinds After Close, Early Asset Allocation?

US TSY SUMMARY: Risk-appetite reemerged around the FI market close, Tsys
mixed/extending lows after the bell as equities regained footing (DJI +300.0,
SPX +21.0, NDX +108.0). Apparently not headline driven -- possible reversal tied
to month-end and/or re-allocation flow ahead shortened pre-holiday trade next
week.
- Markets had traded higher all day, if on an inside range after initial rally:
Tsy futures marked new session highs post data then just as quickly reverse to
pre-open lows, fast chop/two-way trade with levels rebounding back near highs
again, continuing claims going in right direction, weekly not so much. Virus
headlines (AZ cases +3056 vs. 1795; TX halts new re-open phases) remained
supportive of rates.
- Three for three -- US Tsy $41B 7Y Note auction (912828ZV5) stops 5bp through 
w/ 0.511% awarded rate (0.553% last month) vs. 0.516% WI; 2.49 bid/cover vs.
2.55 prior.
- The 2-Yr yield is down 0.6bps at 0.1818%, 5-Yr is up 0.9bps at 0.3241%, 10-Yr
is down 0.7bps at 0.6724%, and 30-Yr is down 1.3bps at 1.4165%.
TECHNICALS:
US 10YR FUTURE TECHS: (U0) Firmer But Still In A Range   
*RES 4: 139-25   Contract high, Mar 25
*RES 3: 139-13+ 16  High May 15 / High Apr 21 and key resistance
*RES 2: 139-07+ High Jun 1
*RES 1: 139-02 / 03   High Jun 25 / 11
*PRICE: 138-30 @ 16:02 BST, Jun 25
*SUP 1: 138-07   Low Jun 16
*SUP 2: 137-22   Low Jun 10
*SUP 3: 136-22   Low Jun 5 and the bear trigger
*SUP 4: 136-20   Low Mar 25 
10yr futures hold close to the upper end of the recent range. The outlook
remains bullish though. Attention is on 139-07+, Jun 1 high where a break would
erase a recent bearish theme and open 139-13+ and 139-16, the May 22 and Apr 21
highs respectively ahead of major resistance at 139-25. This is the contract
high from Mar 25. For bears to regain control, prices need to clear support at
136-22, May 6 low.
TSY FUTURES CLOSE: Bid on an inside range day, futures off early morning highs
by the bell, yld curves mildly flatter on moderate volumes. Update: 
* 3M10Y  -0.073, 53.373 (L: 48.182 / H: 53.373)
* 2Y10Y  +0.261, 49.2 (L: 47.233 / H: 49.2)
* 2Y30Y  -0.335, 123.611 (L: 121.705 / H: 124.076)
* 5Y30Y  -1.937, 109.259 (L: 108.193 / H: 111.29); Current futures levels:
* Sep 2-Yr futures up 0.375/32 at 110-11.375 (L: 110-10.75 / H: 110-11.62)
* Sep 5-Yr futures up 0.25/32 at 125-17.25 (L: 125-15.75 / H: 125-19.25)
* Sep 10-Yr futures up 0.5/32 at 138-28.5 (L: 138-27.5 / H: 139-02)
* Sep 30-Yr futures up 9/32 at 178-5 (L: 178-01 / H: 178-20)
* Sep Ultra futures up 30/32 at 217-29 (L: 217-17 / H: 218-28)
MONTH-END EXTENSIONS: PRELIM Bloomberg-Barclays US month-end index extension;
forecast summary compared to the avg increase for prior year and the same time
in 2019. TIPS 0.01Y; Govt inflation-linked, -0.04.
*........................EST.....1Y Avg Incr..Last Year
*US Tsys.................0.08........0.09........0.06
*Agencies................0.07........0.03........0.08
*Credit..................0.09........0.11........0.09
*Govt/Credit.............0.08........0.10........0.07
*MBS.....................0.06........0.06........0.05
*Aggregate...............0.08........0.09........0.06
*Long Govt/Credit........0.12........0.09........0.04
*Interm Credit...........0.09........0.09........0.08
*Interm Govt.............0.06........0.08........0.06
*Interm Govt/Cred........0.08........0.08........0.07
*High Yield..............0.08........0.11........0.06
US TSYS/SUPPLY: US Tsy bill/note auctions for week. Note bill sizes continue to
recede: 105- and 154D bills at $30- and 35B resp vs. $35- and $40B; 4- and 8W
bills at $50B each vs. $60- and $55B resp prior.
DATE     TIME   AMOUNT   SECURITY    (CUSIP)/ANNC  AWARDED
----------------------------------------------------------
22 Jun  1130ET   $57B    13W Bill     (9127962H1)   0.155%
22 Jun  1130ET   $54B    26W Bill     (9127963L1)   0.175%
23 Jun  1130ET   $40B    42D Bill     (912796WZ8)   0.125%
23 Jun  1130ET   $40B   119D Bill     (9127962S7)   0.155%
23 Jun  1300ET   $20B   273D Bill     (9127962F5)   0.180%
23 Jun  1300ET   $46B    2Y Note      (912828ZX1)   0.193%
24 Jun  1130ET   $30B   105D Bill     (9127964H9)   0.150%
24 Jun  1130ET   $35B   154D Bill     (9127964U0)   0.165%
24 Jun  1300ET   $20B   2Y Note FRN   (912828ZK9)   0.080%
24 Jun  1300ET   $47B    5Y Note      (912828ZW3)   0.330%
25 Jun  1130ET   $50B    4W Bill      (9127963G2)   0.110%
25 Jun  1130ET   $50B    8W Bill      (9127963Q0)   0.140%
25 Jun  1300ET   $41B    7Y Note      (912828ZV5)
US EURODLR FUTURES CLOSE: Off better levels for much of the session, futures
holding largely steady in the wings to marginally higher in Reds-Greens by the
bell. Current White pack levels:
* Sep 20 steady at 99.715
* Dec 20 steady at 99.680
* Mar 21 +0.010 at 99.775
* Jun 21 +0.010 at 99.795
* Red Pack (Sep 21-Jun 22) +0.005 to +0.010
* Green Pack (Sep 22-Jun 23) steady to +0.005
* Blue Pack (Sep 23-Jun 24) steady
* Gold Pack (Sep 24-Jun 25) steady
US DOLLAR LIBOR: Latest settles
* O/N +0.0014 at 0.0756% (+0.0004/wk)
* 1 Month +0.0041 to 0.1836% (-0.0064/wk)
* 3 Month +0.0222 to 0.3060% (+0.0008/wk)
* 6 Month -0.0147 to 0.3646% (-0.0497/wk)
* 1 Year +0.0066 to 0.5704% (-0.0053/wk)
US SWAPS: Mostly wider after the bell, holding narrow range all session, again
on lighter flow after some real$ receiving in 10s early on. Current levels:
Time(ET)   2Y Swap/Mid   5Y Swap/Mid    10Y Swap/Mid   30Y Swap/Mid
Thu 1500  +0.75/+6.62    +0.38/+3.62    +0.19/-0.81    -0.50/-48.50
1145      +1.00/+6.88    +0.50/+3.75    -0.12/-1.12    -0.75/-48.75
1000      +0.88/+6.75    +0.56/+3.81    -0.12/-1.12    -0.25/-48.25
Thu Open  +1.00/+6.88    +0.38/+3.62    +0.12/-0.88    -0.06/-48.06
Thu 0745  +1.00/+6.88    +0.38/+3.62    +0.12/-0.88    -0.06/-48.06
Wed 1500  +0.25/+6.00    +0.38/+4.50    +0.25/-1.00    +0.50/-48.25
Wed Open  +0.00/+5.75    +0.12/+4.25    +0.50/-0.75    +0.62/-48.12
Wednesday recap: Spds running mildly wider after the bell, holding to narrow
range all session, light flow/hedging volumes and irrespective of Tsy yld curve
reversal to flatter profile.
STIR: Federal Reserve Bank of New York EFFR for prior session:
* Daily Effective Fed Funds Rate: 0.08% volume: $74B
* Daily Overnight Bank Funding Rate: 0.08%, volume: $178B
US TSYS: REPO REFERENCE RATES 
* Secured Overnight Financing Rate (SOFR): 0.08%, $1.015T
* Broad General Collateral Rate (BGCR): 0.06%, $425B
* Tri-Party General Collateral Rate (TGCR): 0.06%, $400B
FED: NY Fed operational purchase
* Tsy 20Y-30Y, $1.731B accepted of $4.241B submitted
NY Fed operational purchases schedule for next couple weeks
* Fri 06/26 1100-1120ET: Tsy 2.25Y-4.5Y, appr $8.825B
* Mon 06/29 1010-1030ET: Tsy 20Y-30Y, appr $1.750B
* Tue 06/30 1010-1030ET: TIPS 1Y-7.5Y, appr $2.425B
* Wed 07/01 1100-1120ET: Tsy 7Y-20Y, appr $3.625B
* Mon 07/06 1100-1120ET: Tsy 0Y-2.25Y, appr $12.825B
* Tue 07/07 1010-1030ET: Tsy 20Y-30Y, appr $1.750B
* Wed 07/08 1010-1030ET: Tsy 4.5Y-7Y, appr $6.025B
* Thu 07/09 1010-1030ET: TIPS 7.5Y-30Y, appr $1.225B
* Mon 07/13 1010-1030ET: Tsy 20Y-30Y, appr $1.750B
OUTLOOK: *** US Data/speaker calendar (prior, estimate):
26-Jun 0830 May personal income (10.5%, -6.0%)
26-Jun 0830 May current dollar PCE (-13.6%, 9.0%)
26-Jun 0830 May total PCE price index (-0.5%, 0.0%
26-Jun 0830 May core PCE price index (-0.4%, 0.0%)
26-Jun 1000 Jun Michigan sentiment index (f) (78.9, 79.2)
26-Jun 1100 Q2 St. Louis Fed Real GDP Nowcast
26-Jun 1115 Q2 NY Fed GDP Nowcast
PIPELINE: Intuit 4pt the sole issuer on day
Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #
06/25 $2B #Intuit $500M each 3Y +45, 5Y +65, 7Y +85, 10Y +100
-
$5.1B Priced Wednesday
06/24 $1.6B *Total Capital Int $800M each 21Y +155, 40Y +195
06/24 $1B *Xylem Inc Green $500M each +7Y +150, 10Y +165
06/24 $1B *ING 6NC5 Green +110
06/24 $1B *CoStar 10Y +212.5
06/24 $500M *Kimberly Clark de Mexico 10Y +175
Eurodollar/Tsy options
EURODLR OPTIONS: 
* -5,800 Dec 80/81 put spds, 0.0
* +2,500 Blue Jul/Blue Aug 96/97 2x3 call spd strip, 7.0
* 2,000 short Dec 96/97 put spds vs. short Dec 97 calls
* Sep 83/85 ratio call spds drawing some interest as well earlier
Block, 1034:07ET,
* +10,000 Mar 95/100.38 strangles, 3.5 total vs. 99.75/0.10%
* appr 24,000 Green Sep 92 puts, 0.5
* Update, total +5,000 Blue Jul 96/97 2x3 call spds, 3.5
* Update, total 15,000 Green Jul 97 calls, 3.0
Pre-data trade
* +15,000 Green Jul 97 calls, 3.0
* 2,500 Sep 93/95 put spds
* 1,200 Blue Jul 96/97 2x3 call spds
* 4,500 Green Jul 97 calls, 3.0
Overnight trade
* over -16,000 Green Sep 92 puts, 0.5
* -5,000 short Sep 95 puts, 0.5 around 99.82
TSY OPTIONS:
* +5,800 TYU 136.5 puts, 13/64 vs. 138-23.5
* +5,000 FVU 124.25 puts, 4/64 vs. 125-17
* appr 5,000 TYN 139.25/139.5 call spds, 1/64
* +5,000 TYQ 140.5/141.5 call spds 5/64 earlier
* +1,000 TYQ 139 puts, 37/64
Moderate amount of two-way squaring ahead of Fri's July expiration, including
* over 4,000 TYN 138.5 combos
Overnight trade,
* -15,000 TYQ 140 calls 13/64
* +12,000 TYU 137/138 put spds, 15/64
* +6,500 TYQ 140/141 call spds 2/64 over TYN 139 calls
Note, Wed's large (>50k) TYN 139/139.5 call spd sale from 5- to 3/64 was
apparently a roll-down in strikes (139c OI +47k, 139.5c OI -35k). Odd to see a
roll-down for modest uptake in premium ahead of Friday's expiration instead of a
roll to longer expiration.
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]

To read the full story

Close

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.