OPTIONS: Larger FX Option Pipeline
Jan-26 17:43
- EUR/USD: Jan31 $1.0850-55(E1.0bln), $1.0875-00(E1.6bln); Feb01 $1.0885-10(E2.5bln)
- USD/JPY: Jan30 Y131.40($1.3bln)
- AUD/USD: Feb01 $0.7185(A$1.0bln)
- USD/CAD: Jan31 C$1.3400($1.1bln)
- USD/CNY: Jan31 Cny6.8000($1.7bln)
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US TSYS/SUPPLY: Preview $42B 2Y Note Auction
Dec-27 17:10
Tsy futures holding weaker, yield curves steeper ahead the $42B 2Y note auction (91282CGD7) at the top of the hour (including $34B 52W bills). WI is currently running around 4.365%, 14bp rich to last month's stop.
- November auction recap: Tsy futures held gains, little react after $42B 2Y note auction (91282CFX4) stopped through: 4.505% high yield vs. 4.512% WI; 2.64x bid-to-cover vs. 2.59x prior.
- Indirect take-up climbed to 56.98% vs. 50.51% prio month, primary dealer take-up 22.39% vs. 25.28%, direct take-up 20.62% vs. 24.21%.
- Timing: The 2Y note results will available shortly after the competitive auctions closes at 1300ET.
LOOK AHEAD: Wednesday Data Calendar: Richmond Fed Mfg, Pending Home Sales
Dec-27 17:05
- US Data/Speaker Calendar (prior, estimate)
- Dec-28 1000 Richmond Fed Mfg Index (-9, -10)
- Dec-28 1000 Pending Home Sales MoM (-4.6%, -1.2%); YoY (-36.7%, --)
- Dec-28 1130 US Tsy $33B 17W bill auction
- Dec-28 1130 US Tsy $22B 2Y FRN Note auction re-open (91282CFS5)
- Dec-28 1300 US Tsy $43B 5Y Note auction (91282 CGC9)
US TSY FUTURES: BLOCK, Third 10Y Sale Cross
Dec-27 16:43
- -5,500 TYH3 112-15, sell through 112-15.5 pos-time bid at 1135:06ET, 112-15 last (-19.5)
