US TSYS: Hawkish Fed Vs The World Sees Treasuries Twist Steepen
Dec-19 20:30
The Treasury curve twist steepened Thursday, as the implications of the Fed's apparent hawkish shift continued to be digested.
- Short-end Treasuries were an early focus, following dovish decisions overnight by the BOJ and BOE. At one point 2Y yields were 8bp below Wednesday's post-FOMC highs (they had risen 15bp on the decision), and they would held on to most of the steady declines made through Thursday's session.
- Data had little significant impact on market pricing: continuing and initial jobless claims, final GDP growth and Q3 core PCE prices were all on the stronger side of expectations, offset somewhat by a weak Philly Fed manufacturing index.
- Political developments arguably helped the curve steepen, with president elect Trump and his proxies discussing a government shutdown (growth negative) as well as a removal of the statutory debt limit (arguably putting focus on longer-end liabilities).
- Unusually, nominal Treasuries weakened after a 5Y TIPS auction - but this was one of the worst such sales in years, tailing by 7bp and resulting in the belly of the nominal coupon curve briefly underperforming.
- A large TYH5 block at 1349ET, 14.25k at 108-19+ (unconfirmed buyer) helped Treasury futures come off the lows, but that nascent rebound faded into the close.
- Curves finished steeper, with various segments at multi-year highs.
- Friday's schedule includes the November PCE report and the final December UMichigan survey, while we also get the first post-FOMC meeting commentary with SF's Daly and NY's Williams appearing in the morning.
- Latest levels: Mar 10-Yr futures (TY) down 13.5/32 at 108-19 (L: 108-16.5 / H: 109-0.5). The 2-Yr yield is down 3.6bps at 4.3186%, 5-Yr is up 2.7bps at 4.4301%, 10-Yr is up 5.8bps at 4.5722%, and 30-Yr is up 6.7bps at 4.7426%.
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PIPELINE: $2.65B Alibaba 3Pt Debt Launched
Nov-19 20:12
- Date $MM Issuer (Priced *, Launch #)
- 11/19 $3B #Lloyds $1.25B 4NC3 +85, $750M 4NC3 SOFR+106, $1B 11NC10 +120
- 11/19 $2.65B #Alibaba $1B 5.5Y +65, $1.15B 10.5Y +90, $500M 30Y +105
- 11/19 $2.5B #Republic of Turkiye +5Y Sukuk 6.55%
- 11/19 $1.75B #National Australian Bank (NAB) $1B -3Y +38, $750M -3Y SOFR+60
- 11/19 $1.25B #Vistra Operations $500M 2Y +80, $750M 10Y +133
- 11/19 $600N #Corebridge Financial 40NC5 6.375%
- 11/19 $500M *Emirates NBD WNG 5Y Reg S +90
US TSYS: Late SOFR/Treasury Option Roundup: Rate Cut Pricing Cools
Nov-19 20:07
SOFR and Treasury option flow remained mixed Tuesday, myriad trades leaning towards upside calls as underlying futures held moderate gains on narrow range since midmorning. As curves bull flattened, projected rate cuts into early 2025 receded vs. early morning levels (*) : Dec'24 cumulative -14.8bp (-15.4bp), Jan'25 -21.7bp (-24.0bp), Mar'25 -36.0bp (-39.5bp), May'25 -43.9bp (-48.2bp).
- SOFR Options
- Block, 20,000 SFRM5 95.50/96.00 2x1 put spds, 12.5 ref 95.975
- +3,900 0QH5 96.06/96.18/96.31 call flys ref 96.215
- +2,000 SFRH5 95.75/95.87/96.00 call fly w/ 96.00/96.25/96.37 call fly strip, 5.0 db ref 95.79
- -5,000 SFRU5 95.00/95.50 put spds 7.5 vs. 96.12/0.12%
- +4,000 SFRZ4 95.56/95.62/95.75 1x3x2 call flys, 0.75 ref 95.55
- +4,000 SFRZ4 95.62/95.68/95.75 call flys 1.0 ref 95.55
- +2,000 SFRH5 95.75/95.87/96.00 call fly w/ 96.00/96.25/96.37 call fly strip, 5.0 db ref 95.79
- -5,000 SFRU5 95.00/95.50 put spds 7.5 vs. 96.12/0.12%
- +4,000 SFRZ4 95.56/95.62/95.75 1x3x2 call flys, 0.75 ref 95.55
- +4,000 SFRZ4 95.62/95.68/95.75 call flys 1.0 ref 95.55
- 6,000 SFRG5 95.12/95.37/95.62 put flys ref 95.81
- 5,000 0QZ4 95.50/95.75/96.00 put flys ref 96.16
- 2,000 0QZ4 96.37/96.62/96.75 broken call flys
- 4,000 SFRU5 96.25 calls ref 96.13
- over 7,000 0QZ4 95.75 puts ref 96.18
- 4,350 0QZ4 95.81/95.93/96.06 put flys ref 96.215
- 6,300 SFRM5 96.50/97.00 call spds ref 96.04 to -.045
- 5,000 0QZ4 95.87/96.00 put spds
- over 13,300 0QH5 97.37 calls, 3 ref 96.20
- 9,000 SFRZ4 95.75/96.00 call spds ref 95.55
- 1,700 SFRM5 95.93 straddles ref 96.025
- Treasury Options: Reminder, Dec options expire Friday
- 5,000 TYH5 112.5 calls, 36 ref 109-31.5
- 10,000 TYZ4 115.25 calls ref 109-28.5
- 6,400 Wednesday wkly 30Y 118 calls, 8 ref 116-31 (expire tomorrow)
- over 10,700 TYG5 111.5 calls, 41 last ref 110-02.5
- over 12,300 USZ4 115 puts, 4
- 5,000 TYZ4 117.5 calls ref 109-31 to -31.5
- 2,600 TYF5 111.5/112.5 call spds, 12 ref 110-05.5
- over 6,200 TYF5 109.5 puts, 42 last ref 110-05.5
- over 10,500 TYF5 113.5 calls, 9 ref 110-05
- 5,200 TYZ4 111 calls, 4 ref 110-01
- 2,000 TYZ4 109.5/110.5 strangles, 14 ref 110-00
- 20,000 TYG5 114 calls, 12
- over 31,600 TYZ4 108.5 puts, 1 ref 109-21.5 to -22
- 3,200 TYZ4 110.5 calls, 6 ref 109-31
- over 19,000 TYZ4 110 calls 15-18 ref 109-30 to -30.5
EURJPY TECHS: Corrective Cycle Remains In Play
Nov-19 20:00
- RES 4: 169.20 High Jul 24
- RES 3: 168.01 High Jul 26
- RES 2: 167.40 61.8% retracement of the Nov 11 - Aug 5 bear leg
- RES 1: 165.04/166.69 High Nov 15 / High Oct 31 and the bull trigger
- PRICE: 163.00 @ 15:47 GMT Nov 19
- SUP 1: 161.50 Low Nov 19
- SUP 2: 161.01 Low Oct 4
- SUP 3: 158.11 Low Sep 30
- SUP 4: 157.05/155.15 Low Sep 18 / 16
EURJPY is trading lower and a short-term bear cycle remains in play. The cross has breached both the 20- and 50-day EMAs. This exposes the next firm support at 161.01, the Oct 4 low. Trend signals remain bullish and attention is on the bull trigger at 166.69, the Oct 31 high. Clearance of this level would confirm a resumption of the uptrend. Initial resistance is at 165.04, the Nov 15 high.
