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Free AccessUS TSYS: TSY CURVES EXTEND BEAR STEEPENING 3M10Y 3W HIGHS
US TSY SUMMARY: Rates drifting at late session lows after the bell amid strong
risk-on tone all day. Move kicked off after better than expected China financial
data (exports surged 14.2% in March) spurred bid for global equities, Bunds lead
EGBs lower (10Y Bund yld highest since Mar 21). Equities off session highs (SPX
+17.25 at 2909.0); US$ index off lows to near middle session range (DXY -.191,
96.986).
- Better fast- and real$ selling front end, 5s-10s earlier, dearth of corporate,
swap-tied flows; option acct buying 10s earlier on heavy screen trade,
steepeners/front-end flattener unwinds as 3M10Y steepens to best level in three
weeks.
- On tap for Monday: April Empire Manufacturing Index; February net TICS flows;
13- and 26W bill auctions. Otherwise quiet ahead next week's shortened
pre-Easter holiday weekend; Fed Blackout kicks off April 20 through May 2.
- The 2-Yr yield is up 3.9bps at 2.3934%, 5-Yr is up 6.4bps at 2.3751%, 10-Yr is
up 6.1bps at 2.5579%, and 30-Yr is up 4.6bps at 2.9721%.
US TSY FUTURES CLOSE: Near late session lows by the bell, risk-on tone all day
w/large portion of days volume occurred overnight/early in NY trade. Tsy yld
curves mostly steeper (3M10Y surge), update:
* 3M10Y +5.63, 12.58 (L: 6.08 / H: 13.245)
* 2Y10Y +2.356, 16.45 (L: 13.535 / H: 16.45)
* 2Y30Y +0.66, 57.708 (L: 56.336 / H: 58.024)
* 5Y30Y -1.873, 59.541 (L: 58.977 / H: 61.492)
Current futures levels:
* Jun Ultra futures (WN) down 32/32 at 163-16 (L: 163-13 / H: 165-01)
* Jun 30-Yr futures (US) down 26/32 at 146-29 (L: 146-26 / H: 148-02)
* Jun 10-Yr futures (TY) down 15.5/32 at 123-2.5 (L: 123-02.5 / H: 123-21.5)
* Jun 5-Yr futures (FV) down 9.25/32 at 115-5.5 (L: 115-05.25 / H: 115-16.25)
* Jun 2-Yr futures (TU) down 2.625/32 at 106-9 (L: 106-08.625 / H: 106-12)
US EURODLR FUTURES CLOSE: Most expirys at moderate session lows after the bell,
short end outperforming, Reds-Greens lead sell-off. Current White pack
(Jun'19-Mar'20):
* Jun 19 -0.015 at 97.425
* Sep 19 -0.025 at 97.455
* Dec 19 -0.045 at 97.450
* Mar 20 -0.060 at 97.550
* Red Pack (Jun 20-Mar 21) -0.085 to -0.07
* Green Pack (Jun 21-Mar 22) -0.08 to -0.075
* Blue Pack (Jun 22-Mar 23) -0.07 to -0.065
* Gold Pack (Jun 23-Mar 24) -0.06 to -0.055
US DOLLAR LIBOR: Latest settles
* O/N +0.0037 at 2.3922% (-0.0015/wk)
* 1 Month +0.0047 to 2.4773% (+0.0057/wk)
* 3 Month +0.0043 to 2.6010% (+0.0089/wk)
* 6 Month +0.0065 to 2.6377% (-0.0069/wk)
* 1 Year +0.0142 at 2.7483% (-0.0028/wk)
US TSYS: REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 2.44%, $974B
* Broad General Collateral Rate (BGCR): 2.40%, $467B
* Tri-Party General Collateral Rate (TGCR): 2.40%, $438B
US SWAPS: Spds running wider, short end leading move amid rather disappointing
late week action. No deal-tied hedging (incoming supply expected to remain muted
next week, partially due to shortened Easter holiday week, but more due to issue
blackout into latest earnings cycle). Light two-way flow, modest fly interest
includes 2s3s10s payer and 5s6s7s receiver. Latest spd levels:
Time (ET) 2Y Swap/Mid 5Y Swap/Mid 10Y Swap/Mid 30Y Swap/Mid
Fri 3:00 +1.12/10.00 +0.19/3.12 +0.25/-1.38 +0.50/-24.75
1:30 +1.25/10.12 +0.19/3.12 +0.19/-1.44 +0.31/-24.94
12:00 +1.12/10.00 +0.00/2.94 +0.12/-1.50 +0.19/-25.06
10:30 +1.06/9.94 +0.06/3.00 +0.06/-1.56 +0.31/-24.94
Fri Open +1.12/10.00 +0.56/3.50 +0.62/-1.00 +0.62/-24.62
Thu 3:00 -0.12/9.25 +0.00/3.12 +0.50/-1.50 +0.50/-24.75
OUTLOOK: *** Data/speaker calendar (prior, estimate):
15-Apr 0830 Apr Empire Manufacturing Index (3.7, --)
15-Apr 1130 US TSY $42B 13W bill auction (912796QR3)
15-Apr 1130 US TSY $36B 26W bill auction (912796SN0)
15-Apr 1600 Feb net TICS flows
15-Apr 1600 Feb long term TICS flows
PIPELINE: Quiet second half of week for issuance; $25.65B priced on wk
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
No new issuance Friday
-
04/11 $750M DBS Grp (DBSH) 3Y +58a
Eurodollar/Tsy options:
Eurodollar options, Pit/screen: reminder April options expire today
* -11,000 Green Dec 75/81/83 call trees, 19.5
* +15,000 Sep 73 puts, 2.25
* +6,000 Jul 76 calls, 1.75
* +5,000 Sep/Dec 76/80 call spd strip, 7.5
* -5,000 short Jul 76 calls, 14.5
* -5,000 Jun 75/76 call spds vs. +10,000 Sep 73 puts, 4.0 db/puts over
* +5,000 Sep 73/75 5x2 put spds, 8.0 net
* -10,000 Sep 72/73 put spds, 1.75
* -5,000 Dec 71/72/73 put flys, 2.0 vs. 97.48
* +3,000 short May/short Jun 77/78/80 call tree strip, 1.0
* Update, total +25,000 Sep 73 puts at 2.25
* short May 70/71/72/73 put condors trading 1.0 vs. 97.64
* -2,500 Green Jul 75/77/80 iron flys, 16.5
* 6,000 Mar/Red Sep'20 70/72 put spd strip, 6.5
* 3,250 Green May 78/80 call spds, 1.5
* Update, over +15,000 Sep 73 puts, 2.25
* -10,000 short Apr 76 puts, 1.0
* +10,000 Green May 80 calls, 1.5 vs. 97.735
* +10,000 Sep 73 puts, 2.25
* -5,000 Jun 71/72/73 put flys, 0.5
* Dec 70/71/72/73 put condor trading 3.5
Tsy options, Pit/screen:
* 20,000 FVM 115.25/116.25 call spds, 16.0
* Update, over +40,000 TYM 122/124.5 call spds, 21/64
* +25,000 TYM 123/124.5 call spds, 31/64
* -3,500 USM 150 calls, 17/64
* 5,000 wk3 TY 122.2/122.7 2x1 put spds, 3/64 vs. 123-30
* +2,500 TYM 123 puts, 28/64 vs. 123-06.5/0.44%
* -2,000 FVM 114.5/115.75 strangles earlier at 15/64
* over -73,000 TYK 124 calls traded 6- down to 3/64 now, 40k at 3/64
* over 21,000 TYK 124 calls traded 6- down to 4/64, 10k at 4/64 since the 123
calls traded (delta of 50k options equivalent to 29,000 futures, TYM climbed
from 123-04 to -06 on flow).
* 4,000 TYK 124.75 calls trading on screen at 1/64
large screen buyer May 10Y calls
* +50,000 TYK 123 calls, 24/64, takes out 24 offer/now bid, vol gets boost for
moment
* 5,000 FVM 114.25/115 put spds, 11/64 3k vs. 115-07.2
* total > -15,000 FVK 115 puts on screen at 6/64, unwind after paper bought at
2/64 Thu
Block, 0810:55ET
* -8,173 TYK 122.5 puts, 4/64 vs. 123-09/0.10%
--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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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.