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US TSYS: STL FED BULLAR: RATE CUT "WARRANTED" SOON?

US TSY SUMMARY: Carry-over risk-off to start new week, rates trading firmer
after StL Fed Pres Bullard rate cut "may soon be warranted" comment. Equities
react -- knee jerk/algo-driven bid up to 2753.0, only to reverse just as quickly
to tap session lows (currently 2737.75, -14.75). Yld curves holding mostly
steeper, 3M10Y extends to new 12 year inverted lows. 
- Heavy volume (TYU>2.3M); 10Y yld -.0449 at 2.0797, Sep 2017 lows. FI implied
vols firmer/off highs; VIX gained rebounded, near top end of range late (+0.5 at
19.56 vs. 19.61H).
- Heavy risk-off/safe haven buying across curve, two-way flow into midday
included ongoing support in intermediates from real$ and bank portfolios, Block
sales TUU, EDH1. Heavy Option flow, Eurodollar screen trade >2.6M late session.
- On tap for Tuesday: Redbook retail sales; May ISM-NY current conditions; Apr
factory new orders.
- The 2-Yr yield is down 8.2bps at 1.8397%, 5-Yr is down 6.7bps at 1.8436%,
10-Yr is down 4.7bps at 2.0779%, and 30-Yr is down 2.5bps at 2.544%.
US TSY FUTURES CLOSE: Sharply higher, ongoing risk-off tone on heavy volume
(TYU>2.38M), session highs by the bell -- but shy of early London levels, curves
mostly steeper save 3M10Y that extended to new 12 year inverted lows. Update:
* 3M10Y  -4.314, -26.181 (L: -27.806 / H: -20.321)
* 2Y10Y  +4.092, 24.111 (L: 20.447 / H: 24.977)
* 2Y30Y  +6.71, 70.951 (L: 64.809 / H: 71.408)
* 5Y30Y  +4.987, 70.414 (L: 65.623 / H: 70.599)
Current futures levels:
* Sep 2-Yr futures up 7.125/32  at 107-17.875 (L: 107-10.5 / H: 107-18.25)
* Sep 5-Yr futures up 14.5/32  at 117-26.25 (L: 117-10.75 / H: 117-27)
* Sep 10-Yr futures up 19/32  at 127-11 (L: 126-23 / H: 127-12)
* Sep 30-Yr futures up 31/32  at 154-22 (L: 153-23 / H: 155-01)
* Sep Ultra futures up 1-10/32  at 177-03 (L: 175-31 / H: 177-28)
US EURODLR FUTURES CLOSE: Just off top end broad session range, lead quarterly
strong w/as much as 3 rate-cut chatter before year end gains momentum. Current
White pack (Jun 19-Mar 20):
* Jun 19 +0.030 at 97.560
* Sep 19 +0.140 at 97.890
* Dec 19 +0.160 at 98.065
* Mar 20 +0.150 at 98.265
* Red Pack (Jun 20-Mar 21) +0.120 to +0.130
* Green Pack (Jun 21-Mar 22) +0.105 to +0.120
* Blue Pack (Jun 22-Mar 23) +0.065 to +0.095
* Gold Pack (Sep 22-Jun 23) +0.035 to +0.060
US DOLLAR LIBOR: Latest settles resume 
* O/N +0.0062 at 2.3607% (-0.0020 last wk)
* 1 Month -0.0007 to 2.4298% (+0.0024 last wk)
* 3 Month -0.0240 to 2.4785% (-0.0224 last wk)
* 6 Month -0.0611 to 2.4555% (-0.0320 last wk)
* 1 Year -0.0969 at 2.4133% (-0.1088 last wk)
US SWAPS: Spds narrowed across the curve in second half fromearlier mixed levels
and steeper spd curve. Payer flys persist after two-way in 2s-10s earlier:
2s3s5s ongoing, 3s5s7s and 3s7s10s, 2s5s10s join the list, two-way in 2s and 5s
on net. Current spd levels:
Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid
Mon 1500    -0.56/5.00     -0.38/+0.00    -0.12/-4.25   -0.50/-27.81
1345        -0.56/5.00     -0.50/-0.12    -0.06/-4.19   -0.25/-27.56
1230        -0.31/5.25     +0.25/+0.62    +0.62/-3.50   +0.75/-26.56
1115        -0.44/5.12     +0.12/+0.50    +0.44/-3.69   +0.69/-26.62
9:00        -0.44/5.12     -0.06/+0.31    +0.31/-3.81   +0.38/-26.94
Mon Open    -0.62/4.94     -0.12/+0.25    +0.44/-3.69   +0.62/-26.69
Mon 7:45    -0.56/5.00     -0.38/+0.00    +0.19/-3.94   +0.44/-26.88
Fri 1500    +0.38/5.00     -0.06/+0.19    -0.56/-4.44   -1.00/-27.69
STIR: Federal Reserve Bank of New York EFFR for prior session:
* Daily Effective Fed Funds Rate: 2.40%, volume: $65B
* Daily Overnight Bank Funding Rate: 2.38%, volume: $156B
US TSYS: REPO REFERENCE RATES: (rate, volume) 
* Secured Overnight Financing Rate (SOFR): 2.49%, $1.136T
* Broad General Collateral Rate (BGCR): 2.48%, $499B
* Tri-Party General Collateral Rate (TGCR): 2.48%, $449B
OUTLOOK: *** Data/speaker calendar (prior, estimate):
04-Jun Chi Fed conf: conducting/formulating/communicating mon-pol day one
04-Jun 0830 NY Fed Pres Williams, "Building Cultural Capital/Fncl Services Ind:
Emerging Practices, Risks and Opportunities", NY Fed
04-Jun 0855 01-Jun Redbook retail sales m/m
04-Jun 0945 May ISM-NY current conditions (77.3, --)
04-Jun 1000 Apr factory new orders (1.9%, -1.0%)
04-Jun 1000 Apr factory orders ex transport (0.7%, --)
PIPELINE: $15B estimated issuance for week
Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #:
06/03 $750M Public Service Enterprise Group (PSEG) WNG 5Y +115a
06/03 $425M Dayton Power & Light WNG 30Y +155a
06/03 $Benchmark Home Depot 10Y +95a, 30Y +120a
06/03 $Benchmark Caisse de Depot et Placement du Quebec (CADEPO) 2Y +19a
Eurodollar/Tsy options:
Eurodollar options, Pit/screen:
Block, 1348:23, 140,000 option package
* -20,000 Sep 80/82/85 1x3x3 call flys, 5.0 vs. 98.03/0.10%
* 12,000 Sep 81/82 call spds, 2.0 vs. 97.845
* +19,000 Dec 80/83 1x2 call spds, 3.0
* -20,000 Dec 80/82 strangles, 21.0
* 45,000 short Jun 87 calls, cab/screen
* -10,000 Mar 80/83/87 call flys, 6.25/legs
* +10,000 Oct 76/78/80 call trees, 17.5/legs
Adding to large package from earlier:
* -41,000 short Dec 81/85/88 call flys, 6.0
* -20,000 short Dec 80/82/85/87 call condors
* -30,500 short Dec 87/90 call spds
* +61,500 Sep 81/82 call spds, 2.5
BLOCK, 1145:37ET,
* -15,000 Green Mar 82 straddles, 50.0
Block, 1026:30ET
* 10,000 Green Dec 82/85 call spds, 9.0 vs.
* 15,000 Green Dec 76 puts, 2.0 vs. 98.265
Large multi-leg package, ongoing/volume update:
* -9,000 short Dec 80/82/85/87 call condors, 7.5
* -18,000 81/85/88 call flys, 7.0-6.5
* -13,500 short Dec 87/90 call spds, 5.0 vs. 98.355
* +27,000 Sep 81/82 call spds, 1.5
* 42,000 Jun 80/82 call spds, 13.0
* 12,000 short Jun 80 puts, 1.0 vs, 97.27/0.10%
* 14,000 Jul 76 puts, 1.5 vs.
* 49,000 Jul 77 puts, 5.5 vs.
* 21,000 Sep 76 calls, 23.5 vs. 13,300 EDU 97.81
* Update, total +40,000 Sep 75 calls, 33.0 vs. 97.815/0.90%
* 10,000 Sep 73 puts, 0.5
* 5,000 Aug 76/77 2x1 put spds on screen
* 2,000 short Dec 80/82/85/87 call condors, 7.5
* 4,000 81/85/88 call flys, 7.0
* 3,000 short Dec 87/90 call spds, 5.0 vs. 98.355
* 6,000 Sep 81/82 call spds, 1.5
* -25,000 Jul 76 calls, 21.0 vs. 97.82/0.85%
* 10,000 Aug 76/77 2x1 put spds, 1.5
* 20,000 short Sep 77/80 put spds
* +20,000 short Jul 77/80/82 put flys
* +15,000 short Sep 77/80/82 put flys, 5.0
* -15,000 Mar 77/80 call spds, 16.0 vs. 98.205
BLOCK, 0715:13ET
* 10,000 Dec 83 calls, 9.0 vs. 98.00/0.25%
Overnight trade recap, heavy volume >900k:
* >+48,000 short Jul 81 puts, 4.5-5.0
* >+45,000 Sep 73/75/76 put flys, 2.25
* >20,000 Jun 76 calls
* >20,000 Sep 78/80 call spds
* +10,000 Blue Sep 90 calls, 1.0
Blocks:
* +25,000 Mar 80/85 1x2 call spds, 5.0 vs. 37,500 Mar 75 puts, 2.0 (0431:17ET)
* +20,000 Aug 76/78 1x2 call spds 1.25 over Aug 76 puts (0355:04ET)
* +5,000 Jul 77 calls, 15.0 (0328:33ET)
* +16,875 Jul 76/77/78 call trees 0.5 over Jul 76 puts (0317:14ET)
* +10,000 Dec 78/82 2x3 call spds 8.5 over 30,000 Dec 75 puts vs. 97.975
(0304:02ET)
* +20,000 Dec 78/80 call spds 3.5 over Dec 75 puts vs. 97.98/0.23% (0253:17ET)
TSY options, Pit/screen:
* 4,000 TYQ 125.5/129 strangles, 44/64
* 1,700 TYU 128 calls, 45/64 vs. 2,500 TYU 130 calls, 20/64
* 1,000 TYN 125/126/126.5 put flys, 1/64
* 1,200 TYN 127.5/128.5 call spds, 14/64
* +2,351 TYN 125.5 calls 1-32/64 vs. -5,758 TYQ 128 calls, 34/64
* 1,600 TYU 127 straddles, 2-16/64
* -1,000 TYN 126.75/127 strangles, 1-4/64
* +5,000 wk1 TY 126.25/126.75 call spds, 20/64 vs. 126-27.5 earlier
* 10,000 TYQ 123/124.5/126 put flys, 17/64 after the bell
* 14,600 TYN 125.75/126/126.5 put trees
Overnight trade highlights
* +7,000 TYN 124/126 2x1 put spds, 12- to 13/64
* +3,200 TYQ 123/124.5/126 put flys, 17/64
Blocks:
* 4,000 TYN 126.5/127.5 call spds, 30/64 (0521:00ET)
* 17,000 FVQ 116/116.5 put spds, 6/64 (0508:51ET)
--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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