US TSY SUMMARY: Tsys ground lower early Tue, partially weighed by unexpectedly high corp issuance hedging ($10B AB/INBEV 5-tranche) amid thin market conditions (TYM<935k) w/accts sidelined ahead Wed FOMC, as well as bounce in US$. - US$ index higher (DXY +.613, 90.378); equities near steady (emini 0.0 at 2722.75 while Facebook remains pressured on data sharing scandal); gold weaker (XAU -6.55, 1310.30); West Texas crude higher (WTI +1.34, 63.40). - Heavier Eurodollar put buying, covering mid-2019 sector as underlying continues to adjust for higher rates. - Late ylds: 2Y 2.334%, 3Y 2.481%, 5Y 2.686%, 7Y 2.817%, 10Y 2.885%, 30Y 3.118%
US TSY FUTURES: Lower across the curve, at/near session lows on light volume (TYM<935k) with many sidelined ahead Wed's FOMC annc, focus more on SEP dot plot than what is widely expected to be a .25bp hike. Curve update: * 2s10s +0.032, 54.420 (55.802H/53.916L); * 2s30s +0.279, 77.710 (79.120H/76.896L); * 5s30s +0.204, 43.092 (44.119H/42.532L); Current futures levels: * Jun Ultra bonds down 1-4/32 at 156-10 (156-07L/157-10H) * Jun 30-yr Bond futures down 27/32 at 143-22 (143-21L/144-14H) * Jun 10-yr futures down 11.5/32 at 120-01 (120-01L/120-11H) * Jun 5-yr futures down 6.5/32 at 113-26.5 (113-26L/113-31.75H) * Jun 2-yr futures down 2.5/32 at 106-05 (106-05L/106-07.25H)
US EURODOLLAR FUTURES CLOSE: Lower across the strip, near late session lows on heavier volume/sellers in short end as 3M LIBOR continues to notch higher. Current White pack (Jun'18-Mar'19): * Jun'18 -0.035 at 97.660 * Sep'18 -0.045 at 97.565 * Dec'18 -0.040 at 97.430 * Jun'19 -0.045 at 97.320 * Re0d pack (Jun'19-Mar'20) -0.040-0.050 * Green pack (Jun'20-Mar'21) -0.050-0.045 * Blue pack (Jun'21-Mar'21) -0.050-0.045 * Gold pack (Jun'22-Mar'22) -0.050
US DOLLAR LIBOR: Latest settles, * O/N +0.0000 to 1.4475 (+0.0013/wk) * 1 Month +0.0131 to 1.8538% (+0.0317/wk) * 3 Month +0.0256 to 2.2481% (+0.0464/wk) * 6 Month +0.0194 to 2.4099% (+0.0463/wk) * 1 Year +0.0182 to 2.6514% (+0.0369/wk)
PIPELINE: Still waiting for AB/INBEV to price Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #: 03/20 $10B Annheuser-Busch INBEV, details: $1.5B 5Y fix +90, $500M 5Y FRN L+74, $2.5B 10Y +125, $1.5B 20Y +135, $2.5B 30Y +150 and $1.5B 40Y +165 03/20 $750M upsized Entergy Louisiana LLC 15Y IPT +115 03/20 $700M *Virginia Electric & Power Co 10Y IPT +95 03/20 $500M *MetLife PerpNC10 Pref IPT 5.875% 03/20 $1B *Kommunalbanken (KBN) 2Y; IPT MS -1 03/20 $400M Ohio Power Co 30Y IPT +115a 03/20 $500M Nordic Investment Bank Min. 2Y IPT MS -6a
OUTLOOK: Data/speaker calendar (prior, estimate): - Mar 21 FOMC policy meeting day 2 - Mar 21 16-Mar MBA Mortgage Applications (0.9%, --) 0700ET - Mar 21 Q4 current account balance (-$100.6B, -$125.0B) 0830ET - Mar 21 Feb existing home sales (5.38M , 5.4M) 1000ET - Mar 21 16-Mar crude oil stocks ex. SPR w/w (5.02M bbl, --) 1030ET - Mar 21 FOMC policy announcement, 1400ET - Mar 21 Fed Chair Powell press conf, 1430
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen: * +10,000 Blue Dec 66/73 put spds, 37.5 * -5,000 Dec 73 puts, 11.0 * -10,000 short Sep 68/71 put spds, 9.5 * -8,000 short Jun 72 straddles, 24.0 * -5,000 Green Jun 68/70/72 * +5,000 Blue Apr 72/73 call spds, 1.0 * +10,000 short Jun 68/70/71 put flys, 1.75 on legs * 12,200 Green Jun 67/70 put spds, 8.5 * 18,300 Green Sep 62/67/70 1x3x2 put flys, 10.5 * 7,500 Mar'19 68/70 3x2 put spds, 1.5 * +8,000 short Dec 67/70 put spds 4.75 over the Dec 70/72 put spds * +4,000 Dec/short Dec 71 put spd, 22.0, EOZ over Block, 0920:17ET (bought on spd vs. 75 put earlier) * 10,000 Jun 76 puts, 5.5 vs. 97.67/0.25%, mid-market * +50,000 short Jun 70 puts, 4.0 (+20k Blocked at 0901ET) * +5,000 Jun 73 puts, 0.5 * +5,000 short Dec 85 calls, 1.0 Screen and Block posts coming into session: * +43,650 Apr 77/78 1x2 call spds, 1.25 to .75 * +20,000 May 78/80 1x2 call spds, cab * -9,000 Blue Jun 68/70/72 put trees, 6.0 * total 10,500 Jun 75/76 put spds blocked overnight at 3.0 vs. 97.695/0.20
Tsy options, Pit/screen: * 10,000 TYK 118/119.5 put spds, 17/64 vs. 120-03/0.25% * 1,000 TYJ 119/119.25 put strip, 6/64 * total +20,000 FVK 116 calls, 1.5/64 * +20,000 FVK 116 calls, 1.5/64 looking for more * -5,000 TUM 106.7/107.25 call spds, 1.5/64
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]