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US TSYS: TSYS LATE MONTH/HALF-YEAR END...SALES?

US TSY SUMMARY: NOT what you typically see going into month/half yr-end: Tsy
futures flip to lower on the closer after holding gains all session (appr -100k
TYU in miutes before close) Late buying see lvls recover to near steady. Little
to no react to flurry of late wk data: core PCE +.2% and pers inc +.4% both
in-line, PMI 64.1 better than exp 60.1. Underlying risk-off tone kicked things
off after headlines Pres Trump seeks WTO exit (needs congressional approval).
- US$ index broadly weaker (DXY -0.763 to 94.549; US$/Yen higher/off highs
110.79 vs. 110.88H); equities higher (emini +18.5, 2738.0); gold firmer (XAU
+6.85, 1255.10); West Texas crude adding to wk of strong gains (WTI +.80, 74.25,
74.43H -- new year high/revisits 2014 high).
- Better futures volume coming into the session (TYU>450k, only 835k after
midday), two-way position squaring ahead weekend and next wks July 4th holiday,
fast$, props in shorts to intermediates, light bamk and real$ buying in long
end, spd curve flatteners as 5s30s slips below 23.0 -- lowest level since late
2007. Tsy cash/ylds: 2Y 99-30.25 (2.524%), 5Y 99-16 (2.731%), 10Y 100-05.5
(2.853%), 30Y 102-25 (2.982%).
US TSY FUTURES CLOSE: Lower by the bell after holding gains nearly all session
-- late dip due to month end flows which made new session lows, US$/YEN at
session highs (+.40, 110.89), equities higher on the day, Curves now steepening
late, 5s30s briefly dipped below 23.00 for the first time since 2007 but has
since pared loses, update:
* 2s10s +0.041, 33.277 (30.271L/33.470H);
* 2s30s +0.294, 45.453 (42.579L/46.389H);
* 5s30s +0.189, 25.171 (22.852L/25.769H);
Current futures levels:
* Sep Ultra bonds down 05/32 at 159-15 (159-06L/160-10H)
* Sep 30-yr Bond futures down 02/32 at 144-29 (144-24L/145-16H)
* Sep 10-yr futures down 01/32 at 120-05 (120-02.5L/120-09.5H)
* Sep 5-yr futures down 1.25/32 at 113-19.25 (113-17.75L/113-22.5H)
* Sep 2-yr futures down 0.25/32 at 105-29.5 (105-28.75L/105-30.5H)
MONTH-END EXTENSIONS: Updated Bloomberg-Barclays US month-end index exten's
compared to avg increase for past yr and same time in 2017. US TIPS (Series-L)
empirical extension at 0.06 years and real extension at 0.08 years. US
Government Inflation-Linked (Series-B) Index extension at 0.07 years
*.....................Projected...1Y Avg Incr..Last Jul
*US Tsys.................0.06........0.06........0.04
*Agencies................0.10........0.08........0.06
*Credit..................0.09........0.04........0.04
*Govt/Credit.............0.08........0.06........0.04
*MBS.....................0.07........0.05........0.15
*Aggregate...............0.07........0.05........0.07
*Long Govt/Credit........0.04........0.00.......-0.04
*Interm Credit...........0.07........0.04........0.03
*Interm Govt.............0.07........0.03........0.03
*Interm Govt/Cred........0.06........0.03........0.03
*High Yield..............0.04........0.01........0.00
US EURODOLLAR FUTURES CLOSE: Trading steady to mixed, short end steady to
slightly higher, reds through golds trading slightly lower, most of the strip in
the bottom of the range, moderate volume. Current White pack (Sep'18-Jun'19):
* Sep'18 0.000 at 97.545
* Dec'18 +0.005 at 97.365
* Jun'19 0.000 at 97.240
* Jun'19 0.000 at 97.145
* Red pack (Sep'19-Jun'20) -0.015-0.010
* Green pack (Sep'20-Jun'21) -0.015-0.010
* Blue pack (Sep'21-Jun'21) -0.010-0.005
* Gold pack (Sep'22-Jun'22) -0.005
US DOLLAR LIBOR: Latest settles,
* O/N +0.0021 to 1.9353% (+0.0073/wk)
* 1 Month -0.0019 to 2.0902% (-0.0075/wk)
* 3 Month -0.0016 to 2.3357% (-0.0031/wk)
* 6 Month +0.0000 to 2.5012% (-0.0063/wk)
* 1 Year +0.0009 to 2.7640% (-0.0128/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 1.93% vs. 1.90% prior, $768B
* Broad General Collateral Rate (BGCR): 1.90% vs. 1.88% prior, $364B
* Tri-Party General Collateral Rate (TGCR): 1.90% vs. 1.88% prior, $341B
US SWAPS: Spds have gradually receded off first half wides, hold narrow range
w/long end compressing late. Midday flow includes better rate paying in 10s
around 2.92287-2.92375%, receivers in 3s (2.85625%) and payer in 4s (2.87875%).
Flurry of flatteners in 4s5s and 4s and 5s vs. 10s. Earlier flow was generally
two-way on rate and spd: 2s5s steepeners/flatteners, 3s5s steepener, 5s9s
flattener, payer in 4s at 2.875% and receiver in 5s at 2.8825%. Latest spd
levels:
* 2Y  +0.25/26.00
* 5Y  +0.31/15.19
* 10Y +0.31/7.50
* 30Y -0.06/-5.94
PIPELINE: Slow week w/total $3.68B placed
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
No new issuance Friday
-
$1.03B priced Thursday
06/28 $1.027B *Community Health systems 5.5NC2.5, 8.75%
OUTLOOK: Data/speaker calendar (prior, estimate): 
- Jul 02 Jun Markit Mfg Index (final) (54.6, --) 0945ET
- Jul 02 Jun ISM Manufacturing Index (58.7, 58.2) 1000ET
- Jul 02 May construction spending (1.8%, 0.4%) 1000ET
- Jul 02 Jul help-wanted online ratio (1.16, --) 1000ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* -3,000 Short Dec 70/71/73 call tree at 2 vs 9705/0.25%
* -700 Green Dec 66/77 put over risk reversal at 1 vs 9706/0.30%
* 4,000 Short Jul 71/72 call sprd at 2.5 vs 9709.5/0.25%
* +2,500 Green Dec 66/68 put strip at 16.5 vs 9705/0.16%, note roughly 40k
bought yesterday
* +4,000 Red Mar 52/65 5x2 put sprd at 1.5
* 5,000 Short Dec 71/73 put sprd vs Short Dec 77 calls for net 15
Tsy options, Pit/screen:
* 5,750 TYU 120/120.5 1x2 call spds, 21/64
* 1,000 TYQ 120.5 calls, 22/64 vs. 120-07/0.41% after 1,000 TYQ 120.5/122 call
spds, 16/64
* +2,000 FVU 114.5 calls, 11/64 vs. 113-21.7/0.25%
* +1,500 USQ 143 puts, 17/64
* -9,900 USQ 144 puts, from 37- to 35/64 on screen
Block, 0728:45ET -- not showing up on Bloomberg
* 7,200 USQ 140 puts, 4/64
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]

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