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Free AccessUS TSYS: TSYS -- QUIET DESCENT AHEAD MIDWEEK FOMC
US TSY SUMMARY: Not much change from midday -- Tsys trading mostly weaker across
the board (WNM -- Jun Ultra-bonds outperforming). Yld curves pared early
steepening (5s30s made new 13M highs), amid very light futures volume
(TYM<850k). US$ index well off early session lows (DXY -.078, 96.517); equities
firmer/off midmorning highs (SPX +6.25, 2836.0).
- Generally quiet start -- central bank watch in the week ahead with the FOMC
policy announcement on Wednesday, BoE, Norges and SNB on Thursday.
- Earlier mkt moves on UK Speaker Bercow comments re: would block third Brexit
round of voting: equities sold off, US$ rebounded and Tsys drew moderate buying
from program and fast$ accts. Decent deal-tied hedging in 3s-10s and 30s. EDH
Eurodollar futures expired 97.367 w/3M LIBOR set +0.0074 to 2.6326%, Jun'19
futures new lead quarterly under pressure after midday.
- On tap for Tuesday: Redbook retail sales; Jan factory new orders; FOMC meeting
day one of two.
- Tsy cash/ylds: 2Y 100-02.62 (2.454%), 5Y 99-26.25 (2.412%), 10Y 100-06.5
(2.600%), 30Y 99-23 (3.013%).
US TSY FUTURES CLOSE: Mildly weaker for the most part (WNM bucks move), near
middle of relative narrow range on very light volume (TYM<850k). Curves flatter.
Update:
* 2s10s -0.206, 14.523 (14.011L/15.994H);
* 2s30s -1.402, 55.800 (55.195L/58.456H);
* 5s30s -1.447, 60.065 (59.498L/62.353H);
Current futures levels:
* Jun Ultra bonds up 4/32 at 162-04 (161-17L/162-10H)
* Jun 30-yr Bond futures down 3/32 at 146-03 (145-27L/146-09H)
* Jun 10-yr futures down 4/32 at 122-27 (122-26L/123-01)
* Jun 5-yr futures down 2/32 at 115-00 (114-31.25L/115-03.5H)
* Jun 2-yr futures down .75/32 at 106-06.88 (106-06.38L/106-08.25H)
US EURODLR FUTURES CLOSE: Mildly weaker across the strip -- near middle of
narrow range. Current White pack (Jun'19-Mar'20):
* Jun'19 -0.015 at 97.385
* Sep'19 -0.010 at 97.410
* Dec'19 -0.015 at 97.395
* Mar'20 -0.015 at 97.480
* Red pack (Jun'20-Mar'21) -0.010-0.015
* Green pack (Jun'21-Mar'22) -0.010-0.005
* Blue pack (Jun'22-Mar'23) -0.010-0.005
* Gold pack (Jun'23-Mar'24) -0.010-0.005
US DOLLAR LIBOR: Latest settles
* O/N -0.0007 to 2.3896% (+0.0035 last wk)
* 1 Month +0.0060 to 2.4877% (-0.0098 last wk)
* 3 Month +0.0074 to 2.6326% (+0.0286 last wk)
* 6 Month -0.0011 to 2.6706% (-0.0073 last wk)
* 1 Year -0.0229 to 2.8176% (-0.0231 last wk)
US TSYS: REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 2.46%, $940B
* Broad General Collateral Rate (BGCR): 2.43%, $456B
* Tri-Party General Collateral Rate (TGCR): 2.43%, $434B
US SWAPS: Well off early wides by the closing bell, swappable incoming supply
has weighed on spds, decent issuance in 3s-10s and 30s after dearth of supply
late last week. Latest spd levels:
Time (ET) 2Y Swap/Mid 5Y Swap/Mid 10Y Swap/Mid 30Y Swap/Mid
Mon 3:00 -0.94/11.12 -0.31/6.56 -0.31/1.44 +0.25/-22.25
1:30 -0.69/11.38 -0.31/6.56 -0.25/1.50 +0.38/-22.12
12:00 -0.31/11.75 +0.06/6.94 +0.06/1.81 +0.31/-22.19
9:30 +0.25/12.31 +0.19/7.06 +0.06/1.81 +0.12/-22.38
Mon Open +0.31/12.38 +0.25/7.12 +0.12/1.88 +0.12/-22.38
Mon 7:30 +0.56/12.62 +0.06/6.94 +0.00/1.75 +0.12/-22.38
OUTLOOK: *** Data/speaker calendar (prior, estimate):
19-Mar 0855 16-Mar Redbook retail sales m/m
19-Mar 1000 Jan factory new orders (0.1%, 0.2%)
19-Mar 1000 Jan factory orders ex transport (-0.6%, --)
19-Mar FOMC policy meeting, in Washington
PIPELINE: $1B Target 10Y priced
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
03/18 $1B *Target 10Y +78
03/18 $3.5B #GlaxoSmithKline Capital $1.5B 3Y fix +50, $1B 5Y +70, $1B 10Y +90
03/18 $1.5B #BNP Paribas PerpNC5 6.625%
03/18 $750M #SEB (Skandinaviska Enskilda Banken) 3Y +68
03/18 $700M #Louisville Gas/Kentucky Utilities WNG 26Y, 30Y
03/18 $400M #Kansas City Power $ Light WNG 30Y +115
03/18 $2.75B ADT 5NCL, 7NCL, 8NCL
Eurodollar/Tsy options:
Eurodollar options, Pit/screen:
Block, 1410:45ET
* total 20,000 Apr 73 calls, 2.5
* +7,500 Jul 71 puts, 0.5
* -4,000 Reed Jun 68 puts, 2.5
* +4,000 Red Jun 78/80 call spds, 2.5
* +40,000 short Jul 67/70 put spds on screen, 0.5
* 7,000 short Jun 71/73 2x1 put spds 1.0 over short Jun 80 calls
* 3,250 Sep 72/73/75 call flys, 5.0
* 3,000 Green Apr 73/75 put strips, 2.5 vs. 97.66/0.10%
Additional first-half trades
* +10,000 Sep 70/71 2x1 put spds, 0.0
* +5,000 Red Jun 77/82 call spds, 8.5
* >19,000 Jul 76/78 call spds, 1.0
* +2,500 Dec/Mar'20/Red Jun'20 68 put strips 4.25-4.50
* Update, total +20,000 short Sep 77/81 call spds, 6.5 w/Green Sep 77/81 call
spds, 8.5, adds to recent Block
* +10,000 short Sep 77/81 call spds, 6.5 w/Green Sep 77/81 call spds, 8.5, adds
to recent Block
* Update, total 8,500 short May 73 puts, 2.5 vs. 97.545
Latest Blocks, flurry of call spd crosses
* 10,000 short Sep 77/81 call spds, 7.0 vs.
* 10,000 Green Sep 77/81 call spds, 9.0 at 0928:10ET
* 10,000 Red Sep'20 77/80 2x1 call spds, 2.0 net/2-leg over at 0909:20ET
* -3,000 Jul/Aug/Sep 73 call strip, 22.0
* -5,000 short May 73 puts, 2.5 vs. 97.545
* +5,000 Jul 71 puts, 0.5
Block, 0747:32ET
* +5,000 short Apr 73 puts, 1.5 vs. 97.535/0.15%
Tsy options, Pit/screen:
* +8,000 TYK 122.5 puts, 23/64
* 17,800 TYM 125.5 calls, 9/64
on screen -- 40k total
* another 10,000 TYK 122.5/123.5 call spds, 29/6
* 2,000 TYJ/TYK 122 put spds, 11/64
* 1,000 TYJ 123.25/123.75/124.25 call flys, 4/64 vs. 122-30
* +5,000 USJ 143/149 put over risk reversals, 0.0 vs. 146-06/0.04% earlier
on screen
* 30,000 TYK 122.5/123.5 call spds, 29/64
on screen
* +25,000 TYJ 123.25 calls, 6/64, pushes total call volume to 38,500
* 3,000 TYJ 122.75 calls, 18/64
* -2,000 TUK 106.25 straddles, 15.5
* 5,000 TYJ 123/123.5 call spds, 6/64 earlier
* 5,000 FVM 115.5 calls, 17- to 16.5/64
* -2,750 FVM 114 puts, 7.5/64 vs. 115-00.2
* -1,500 TYM 123 straddles, 1-28/64
Overnight trade recap
* >31,000 TYM 122 puts, 1/64 last
* >12,000 TYM 123 calls, 13/64 last (10k Blocked late Sunday at 11-12)
* >18,000 FVM 114.75 puts, 2/64 last (30k Blocked late Sunday at 2.5)
* >24,000 FVM 115.25 calls, 4.5/64 last
--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.