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Free AccessMNI UST Issuance Deep Dive: Dec 2024
MNI US Employment Insight: Soft Enough To Keep Fed Cutting
MNI ASIA MARKETS ANALYSIS: Jobs Data Green Lights Rate Cuts
US TSYS: TSYS WEAKER, FED CHAIR PREVIEW AHEAD MON/POL REPORT
US TSY SUMMARY: US TSY SUMMARY: Tsys mildly weaker by the bell, near mid-range
on light summer volume (TYU<875k). Rates pared losses late on rather boilerplate
comments by Fed Chair Powell on Marketplace news, the day ahead of semi-annual
Mon/Pol report release Friday (testimony July 17), inflation "symmetrically"
around 2%, economy in good place while "sustained" high tariffs are negative for
economy. Trump/NATO summit headlines not market moving, Trump affirms commitment
to NATO while casting verbal barbs at Germany, Brussels.
- US$ index mildly higher/off highs DXY +0.066 to 94.785; US$/Yen higher +.49
112.50 (112.63H/111.92L); equities strong (emini +24.0, 2798.0); gold firmer
(XAU +4.40 1246.27); West Texas crude mi;d;y weaker (WTI -.17, 70.20).
- Little react to data: CPI (0.1% vs. 0.2% est), weekly claims (226k expected);
Fed speakers Harker (1215ET) and Kashkari (2000ET), elicited little react as
well. Final leg Tsy supply w/$14B 30Y bond auction awarded 2.958% rate (3.100%
previous) tails vs. 2.953% WI.
- Tsy cash/ylds: 2Y 99-26.2 (2.590%), 5Y 99-12.75 (2.754%), 10Y 100-06 (2.851%),
30Y 103-13.5 (2.951%).
US TSY FUTURES CLOSE: Trading slightly lower near the middle of the range,
volume remains very light (TYU 870k). Curves remain flatter:
* 2s10s -1.242, 25.497 (25.314L/27.234H);
* 2s30s -1.707, 35.360 (35.128L/37.353H);
* 5s30s -0.641, 19.407 (18.620L/20.366H);
Current futures levels:
* Sep Ultra bonds down 03/32 at 160-15 (160-00L/160-19H)
* Sep 30-yr Bond futures down 06/32 at 145-09 (145-00L/145-14H)
* Sep 10-yr futures down 03/32 at 120-05 (120-00.5L/120-08H)
* Sep 5-yr futures down 2.25/32 at 113-15.5 (113-12.5L/113-17.75H)
* Sep 2-yr futures down 01/32 at 105-25.5 (105-25L/105-26.75H)
US EURODOLLAR FUTURES CLOSE: Trading steady to slightly lower with a parallel
shift across the strip, light volume, tight range. Current White pack
(Sep'18-Jun'19):
* Sep'18 0.000 at 97.540
* Dec'18 -0.005 at 97.335
* Jun'19 -0.010 at 97.205
* Jun'19 -0.015 at 97.105
* Red pack (Sep'19-Jun'20) -0.015-0.005
* Green pack (Sep'20-Jun'21) -0.010-0.005
* Blue pack (Sep'21-Jun'21) -0.010-0.005
* Gold pack (Sep'22-Jun'22) -0.015-0.005
US DOLLAR LIBOR: Latest settles,
* O/N -0.0006 to 1.9176% (-0.0080/wk)
* 1 Month -0.0026 to 2.0716% (-0.0146/wk)
* 3 Month +0.0022 to 2.3392% (+0.0079/wk)
* 6 Month +0.0073 to 2.5196% (+0.0115/wk)
* 1 Year +0.0069 to 2.7853% (+0.0066/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): steady at 1.89%, $766B
* Broad General Collateral Rate (BGCR): 1.89% vs. 1.87% prior, $377B
* Tri-Party General Collateral Rate (TGCR): 1.89% vs. 1.87% prior, $363B
US SWAPS: Spds hold narrow range on day while short end flips to tighter/long
end wider late. Deal-tied flow in the mix, supply ramping up late. Earlier flow
remains relatively light w/2-way in 2s around 2.8235-2.830%, 2s3s and 3s4s
steepeners and some deal-tied paying in 5s. Decent fly activity 2s4s5s and
8s9s10s, receiving the belly. Latest spd levels:
* 2Y -0.38/23.12
* 5Y -0.25/14.00
* 10Y -0.38/6.94
* 30Y +0.06/-3.06
PIPELINE: $2B Each Sumitomo, TD Bank Launched
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
07/12 $2B #Sumitomo Mitsui Fncl Grp $750M 5Y fix +100, $500M 5Y FRN +86, $750M
10Y +110
07/12 $2B #TD Bank 5Y fix +78, 5Y FRN Libor +64
07/12 $400M #Northern Natural Gas 30Y +135
07/12 $1B *Nordic Investment Bank (NIB) WNG 5Y +3
07/12 $500M *Korea East/West Power 5Y
OUTLOOK: Data/speaker calendar (prior, estimate):
- Jul 13 Jun imports price index (0.6%, 0.3%) 0830ET
- Jul 13 Jun exports price index (0.6%, --) 0830ET
- Jul 13 Jul Michigan sentiment index (p) (98.2, 98.3) 1000ET
- Jul 13 Monetary Policy Report to Congress release (testimony Jul 17), 1100ET
- Jul 13 Q3 StL Fed Real GDP Nowcast 1100ET
- Jul 13 Q3 NY Fed GDP Nowcast 1115ET
- Jul 13 At Fed Pres Bostic, town hall Northern Chap Va Society of CPAs, Va,
Q&A. 1230ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* +/-5,000 short Sep 70/71 strangles, 13.0
* -2,000 Blue Aug 70 straddles, 14.5
* -2,000 Blue Sep 70 straddles, 21.5
* -4,000 Blue Dec 70 straddles, 36.5
* -8,000 long Green Jun 62/70 3x1 put spds, 3.0
* +1,000 Short Mar 65/66/68 put tree at 3.75
* 16,500 Blue Dec 71/75 call spds, screen
Block, 10:59:04ET-10:59:57ET,
* +10,000 Green Dec 67/70 put strip for net 27 vs 7800 future at 9700.5, note
trade adds to buy yesterday at same level and 10k on July 5th at 29
* 10,000 Green Mar 65/75 Strangle at 14.5, adds to 5k in the pit
* 6,000 Short Mar 70 Straddle at 43.5, note +5k earlier at 44
* 5,000 Green Mar 65/75 Strangle at 14.5
* 25,000 Short Sep 70 puts at 6.5 vs 9706/0.40%
* 5,000 Short Aug 71 calls at 4 vs 9706/0.32%
UPDATE: Total 6,000 Green Dec 67/70 put strip at 27 vs 9700.5/0.78%
* 5,000 Short Jun 70 Straddle at 53
* 3,000 Green Dec 67/70 put strip at 27 vs 9700.5/0.78%
* +5,000 Short March 70 Straddle at 44
* +6,000 Short Oct 67/70 put sprd at 9.5
* +2,000 Green Jul 70 Straddle at 4
* +4,000 Aug 75/76/77 call flys, 3.5
Additional screen trade by the open includes
* 15,500 Mar 80 calls, 1.0
* 10,000 short Jul 71 calls, cab
* 5,900 Aug 75 puts, 1.25
Pick-up in put buying on screen, lions share of volume after very quiet
overnight trade:
* -34,000 Dec 72 puts, 4.25, takes it bid
Tsy options, Pit/Screen:
* 2,000 FVU 112.2/114.2 call over risk reversals, 4.5/64 vs. 113-16.25
* 3,000 TYV 122 calls, 12/64
* 1,000 TYQ 120.25 straddles, 41/64
* 2,200 FVU 113/114 strangles, 21/64
* -1,400 USU 142/149 strangles, 37/64
* -2,000 USU 144 puts, 48/64
* +4,050 FVQ 113.25 puts, 7/64 vs. 113-14/0.34%
* -1,000 TYQ 120 straddles, 1-34/64, TYZ 120 straddle sold small at 2-13/64
* 1,500 wk3 119.7/120.5 put over risk reversals, 2/64
* -10,000 (pit/screen) FVQ 113.25 puts, 7/64
* +19,200 TYU 119 puts, 14/64 on screen just ahead data
* 8,250 TUU 105.62/106.12 put over risk reversals, 1.5- to 2/64
* -1,700 TYQ 120 straddles, 42/64
* -6,000 TYQ 119 puts, 3/64
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
To read the full story
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Why MNI
MNI is the leading provider
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.