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Free AccessMNI BRIEF: Ontario To Cut U.S. Energy Flows When Tariffs Hit
MNI BRIEF: Aussie Labour Market Tightens, Unemployment At 3.9%
MNI FOMC Hawk-Dove Spectrum
US TSYS: WEEK HIGHS FOR TSYS, US GOV SHUTDOWN 2.0 FEB 15 NEARS
US TSY SUMMARY: Tsys see-sawed near session/week highs into Fri's close, curves
steeper for most part (large 2s30s steepener block earlier) on modest volume
(TYH<950k). US$ index continued to add to wk's gains (+.122, 96.629 vs.
96.693H). Equities weaker/off lows (SPX -5.00, 2699.0).
- Very quiet data day: NY Fed GDP Nowcast, grain stocks data. Fed speak: SF Fed
pres Daly at an economic forecast conf in SF: financial conditions now tighter
than start of 2018; economy is self-reining; repeated comments made by Fed chair
Powell last week that shutdown drag will be made up Q2; a second shut-down "much
worse for confidence" as clock ticks down to Feb 15 gov shutdown threat of
border-wall financing.
- Heavy Tsy and Eurodollar option flow for otherwise quiet end to week: better
ATM vol sales in former vs. buying upside calls/call spds, latter seeing large
hedging of Q3 rate cut risk. No deal-tied flow to speak of, fast$ selling 3s-5s,
bank and real$ buying 10s and 30s.
- Tsy cash/ylds: 2Y 100-02.25 (2.461%), 5Y 100-08.75 (2.439%), 10Y 99-30
(2.630%), 30Y 100-15 (2.975%).
US TSY FUTURES CLOSE: Drifting near session/week highs by the bell, renewed
buying late even as equities pare losses. Curves scaling back from
earlier/steeper levels, update:
* 2s10s -0.808, 16.559 (16.278L/17.455H);
* 2s30s -0.106, 51.013 (50.232L/53.186H);
* 5s30s +0.195, 53.197 (52.394L/55.050H);
Current futures levels:
* Mar Ultra bonds up 24/32 at 162-06 (161-10L/162-07H)
* Mar 30-yr Bond futures up 13/32 at 146-29 (146-11L/146-31H)
* Mar 10-yr futures up 3/32 at 122-12 (122-06L/122-15H)
* Mar 5-yr futures up 2/32 at 114-26 (114-22L/114-28.25H)
* Mar 2-yr futures up .75/32 at 106-04.25 (106-02.88L/106-05.25H)
US EURODLR FUTURES CLOSE: Higher across the strip, upper half of narrow range,
Whites lag Reds-Golds. Current White pack (Mar'19-Dec'19):
* Mar'19 +0.005 at 97.365
* Jun'19 +0.015 at 97.380
* Sep'19 +0.020 at 97.380
* Dec'19 +0.015 at 97.370
* Red pack (Mar'19-Dec'20) +0.020-0.025
* Green pack (Mar'20-Dec'21) +0.025-0.020
* Blue pack (Mar'21-Dec'21) +0.020
* Gold pack (Mar'22-Dec'22) +0.020-0.025
US DOLLAR LIBOR:
* O/N +0.0026 to 2.3857% (+0.0117/wk)
* 1 Month -0.0128 to 2.5041% (-0.0099/wk)
* 3 Month +0.0007 to 2.6977% (-0.0349/wk)
* 6 Month -0.0232 to 2.7418% (-0.0482/wk)
* 1 Year -0.0125 to 2.9357% (-0.0259/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 2.38%, $918B
* Broad General Collateral Rate (BGCR): 2.36%, $464B
* Tri-Party General Collateral Rate (TGCR): 2.36%, $440B
OUTLOOK: *** Data/speaker calendar (prior, estimate):
11-Feb 1100 Feb NY Fed expectations survey
PIPELINE: $8.85B/week priced on week
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
No new issuance Thursday or Friday
-
$4.5B priced Wednesday, $8.85B/week
02/06 $2B *BP Capital Markets America $1B 7Y +82, $1B 10Y tap +92
02/06 $1.25B *Bank of Nova Scotia 5Y bail-in +92
02/06 $1.25B *CAF (Corp Andina de Fomento) 3Y +72
-
$1B priced Tuesday, $4.35B/wk
02/05 $1B *Verizon WNG 10Y +120
-
$3.35B priced Monday
02/04 $3B *Bank of America 11NC10 +125
02/04 $350M *Essex Portfolio LP 10Y +137.5
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
Block, 1353:42ET
* 5,000 Green Dec 75/81 2x3 call spds, vs. 3x Green Dec 71 puts, 7.5 net/calls
over
Wrong-way ratio call spd
* +10,000 Mar 73/75 2x1 call spds, 3.75 vs. 97.365/0.80%
* -10,000 Apr/Jun 75/76 call strip spd, 5.5 net cr
opinions vary on rates for Sep rates --
* 10,000 Sep 76/77/78/80 call condors, 1.0
* 6,250 Sep 71/72/73/75 call condors, 5.5
* 3,000 Sep 77/Green Sep 80 2x1 call spds,
* 17,500 short Jul 67/70 put spds, 1.0
* 9,000 Jun 72/75 call over risk reversals, 1.0
* +4,000 Jun 75/76 1x2 call spds, 0.0
* +20,000 Jul 76/78 call spds vs. -10,000 Jun 75 calls, 1.5 net db
* +5,000 Dec 68/70 2x1 put spds, 0.0
Friday theme centers on hedging upside risk in the event of a rate cut in Q3
* Update, appr +60,000 Sep 77/78 call spds bought at 1.0 between pit/block
screen vs. 97.38 to .39/0.05%
* +22,500 Sep 77/78 call spds, 1.0 vs. 97.39/0.05 adds to +10k Block
* +15,000 Jul 76/78 call spds, 1.75
* 10,000 Dec 67/68/70 put trees, 0.5
* +9,000 Sep 71/73 strangles, 11.5-12.0
* -5,000 Green Mar 77/Blue Mar 76 call spds, 1.5 net/Blue over
Blocks,
* +10,000 Sep 77/78 call spds, 1.0 vs. 97.38/0.05 at 0850:51ET
* +22,500 Sep 72/75 strangles, 11.0 at 0842:24ET
Block, 0821:29ET,
* +12,000 short Jun 72/76 strangles, 14.0
* +25,000 Dec 73/75/76/78 broken call condors, 1.0 adds to 10k Block
Block, 0805:55ET,
* +10,000 Dec 73/75/76/78 broken call condors, 1.0
Overnight trade includes
* 10,000 Sep 72/75 call spds, 10.5
* 4,600 Sep 75/76/77 call trees, 0.0
* 10,200 Feb 73 calls, .75
* 13,800 Mar 73 calls, 1.75
Tsy options, Pit/screen:
* Update, just over 35,000 FVJ 114.75/115.75 call spds, 30/64, likely an unwind
of buy at 16/64 from Wednesday
* -3,500 TYJ 122.5 straddles, 1-11/64 and still bid, but not for long. Paper
eager to sell ATM vol in favor of buying upside calls and call spds going into
the weekend
* -50,000 TYJ 123.5/124.5 call spds, 12/64
* Update, total -52,000 TYJ 122.5/123.5 call spds, 24/64
* -52,000 TYJ 122.5/123.5 call spds, 24/64 (open interest in the 122.5 calls is
77,276; OI in the 123.5 calls 27,484 coming into the session).
* +4,000 FVH/FVJ 114.5 put spds, 7.5/64 vs. 114-23/0.05%
* +4,000 TYJ 121.5 puts, 4/64 vs. 122-10 remains well offered
* -2,500 TYJ 122.5 straddles, 1-12/64
* +1,000 USH 143.5/145.5 2x1 put spds, 9
Overnight trade
* over 35,000 wk3 TY 121.25 puts, 1/64
* 3,800 wk3 TY 122 puts, 7/64
* 6,200 wk2 TY 122 puts
--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
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.