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Free AccessUS TSYS: TSY CURVE FLATTER/STUBBORN BID FOR BOND
US TSYS SUMMARY: *** Tsys trade mostly weaker into Monday's close, well off
early session lows, Mar 30Y futures inexplicably outperforming despite a strong
rebound in equities (emini +50.0, 2669.0 in late trade, DJIA +545). VIX/vol
index receded to 25.50 late trade vs. 29.70 high.
- Moves a result of curve steepener unwinds/renewed flatteners amid limited
market depth ahead Wed CPI/Thu PPI headline data for week. Overall volume well
off last week's pace w/Japan mkts closed for holiday.
- Bonds lead weakness in early trade, following Gilt weakness on back of hawkish
comments from BoE MPC member Gertjan Vlieghe. Tsys trading weaker, mid-/low-end
O/N range, volume off last wk's pace w/Japan out on holiday (TYH>320k); risk-on
start to wk w/global equity rally. Data event focus, budget balance, CPI Wed
(0.4% est), PPI Thu (0.3% est), Fed speak w/Q&A limited to Cleveland Fed Mester
on Tuesday.
- Pick-up in high-grade corp issuance, better front end selling on net; ongoing
heavy option volume dominated by low delta puts.
- Late ylds: 2Y 2.077%, 3Y 2.304%, 5Y 2.557%, 7Y 2.763%, 10Y 2.857%, 30Y 3.136%
US TSY FUTURES CLOSE: Mostly lower, Mar 30Y bond bucking move/firmer despite
surge in equities (emini +50.0, DJIA, +545). Sources suggest bid related to
hedge vs. underperformance of higher grade equities. Latest curve update:
* 2s10s +0.717, 78.111 (78.842H/74.845L);
* 2s30s -2.153, 106.078 (108.244H/101.988L);
* 5s30s -3.506, 57.946 (61.395H/55.287L);
Current futures levels:
* Mar Ultra bonds down 3/32 at 156-14 (155-00L/157-20H)
* Mar 30-yr Bond futures up 5/32 at 144-10 (143-04L/145-06H)
* Mar 10-yr futures down 10.5/32 at 120-27 (120-20L/121-01.5H)
* Mar 5-yr futures down 7/32 at 114-19.25 (114-15.5L/114-22H)
* Mar 2-yr futures down 2.75/32 at 106-21.75 (106-20.5/106-23H)
US EURODOLLAR FUTURES CLOSE: Lower across the strip, Reds-Golds flat. Current
White pack (Mar'18-Dec'18):
* Mar'18 -0.015 at 98.025
* Jun'18 -0.005 at 97.855
* Sep'18 -0.020 at 97.745
* Dec'18 -0.025 at 97.625
* Red pack (Mar'19-Dec'19) -0.035-0.040
* Green pack (Mar'20-Dec'20) -0.045
* Blue pack (Mar'21-Dec'21) -0.045
* Gold pack (Mar'22-Dec'22) -0.045-0.040
US SWAPS: Quiet start to week for swaps, spd curve steeper -- moderate unwind
after Fri's sharp flattening. Modest two-way flow, positioning ahead mid-week
data. Some front end deal-tied hedging adding to spd curve move. Light overnight
flow includes 2s3s10s fly, paying belly after rate paying in 2s and 3s. OTC
swaption vol running steady/mixed, spd curve mildly flatter. Latest spread
levels:
* 2Y +0.06/27.75
* 5Y -0.31/9.38
* 10Y +0.06/0.88
* 30Y +1.75/-17.12
PIPELINE: $1.6B Honda 3-part and $800M CommEd launched
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
02/12 $1.6B #American Honda Finance 3Y Fix +40, 3Y FRN +21, 10Y +68
02/12 $800M #Commonwealth Edison 30Y +85
02/12 $1B KFW 21M Global MS -5a
02/12 $Benchmark, General Dynamics CSRA deal
Potential upcoming issuance in the near term:
Chatter, 3M (MMM) A1/AA-
Chatter, Bank of New Zealand (BZLNZ) A1/AA-
Chatter, KeyBank
Chatter, Fifth Third Bank (FITB) A3/A
Chatter, State Street Corp (STT) A1/A
OUTLOOK: Data/speaker calendar (prior, estimate):
- Feb 13 Jan NFIB Small Business Index (104.9, --) 0600ET
- Feb 13 Clev Fed Pres Mester, Dayton Area Chamber of Commerce Government
Affairs Breakfast Series, Dayton, Ohio, Q&A 0800ET
- Feb 13 10-Feb Redbook retail sales m/m (0.0%, --) 0855ET
- Feb 13 US Tsy 4W Bill auction 1100ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* 10,000 Green Mar 72/73 call spds, 4.5 vs.
* 30,000 Green Mar 68 puts, 0.5
* -15,000 Blue Jun 70 puts, 15.0 vs. 97.10
* 10,000 short Jun 76 calls, 7.5 vs. 97.465/0.30%
* 10,000 Green Jun 75 calls, 8.0 vs. 97.235/0.28%
* 20,000 Apr 78 puts, 7.0 vs. 97.84/0.45%
Blocks, 1104:03ET,
* -10,000 Jun 76/77/78 put flys, 4.0
* 10,000 Mar 81/82 3x2 put spds, 10.5
* -5,000 Green Mar 73 calls vs. Gold Mar 71 calls, 1.5 net, adds to earlier
Block
* 5,000 Jun 75 puts, 0.5
* 4,000 Mar 81/82 3x2 put spds, 10.5
Block, 0928:29ET,
* +10,000 Green Mar 73 calls, 8.5 vs.
* -10,000 Gold Mar 71 calls, 10.0
* +10,000 Green Mar 68/70/75/76 call condors, 10/64 vs. 97.295/0.10%
* total -22,000 (12k Blocked) Mar 80/81 2x1 put spds, 5.5
* -10,000 Apr 81 puts, 11.5 vs. 98.01/100%
* -10,000 Mar 80 puts, 3.25
* -5,000 Dec 80/82 put spds 22.5 over the Dec 85/87 call spds
Block, 0832:00ET,
* 5,000 Mar 81/82 3x2 put spds, 10.5 net
* +40,000 Sep 75 puts, 2.0
* 5,000 Green Feb 75/76 put spds, 0.5
* +5,000 short Jun 75 vs. -Blue Jun 72 call spds, 1.5
* -12,000 Apr 78 straddles, 12.0
Tsy options, Pit/screen:
* 2,000 TYH 121.5/122 call spds 6/64 vs.
* 2,000 wk3 TY 122.2/122.7 call spds, 1/64
* -3,500 TYJ 120.5 calls, 48/64 over the TYH 123 calls
* +1,500 TYJ 117.5/118/119 broken put flys, 8/64
* 5,000 FVH 114 puts, 6/64 vs. 114-18/0.21% earlier
* 1,100 FVJ 113/115.75 strangles, 12/64
* 1,200 TYJ 120 straddles, 1-41/64
* 3,000 TYJ 120/120.5 strangles, 1-25/64 vs. 120-26
* 5,000 TYJ 118.5 puts, 16/64 vs.
* 4,000 TYJ 119 puts, 32/64 vs.
* 4,000 TYH 121.5 calls, 12
--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
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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.