HYBRIDS: Hybrids Movers:
Jan-29 12:42
With XO -9bps tighter from Monday's gap open, the market is generally firm. SES outperforming. Curve...
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STIR: Large Jun'25 SOFR Midcurve Option Package
Dec-30 12:31
- Just over 33,000 0QM5 96.37/97.00 call spds vs. 95.37/95.62 put spds ref 96.02 - checking direction.
STIR: SONIA FIX - 30/12/24
Dec-30 11:58
| SONIA FIX - Source: BBG/ICE | ||
| 1M | 4.71060 | 0.0011 |
| 3M | 4.62970 | -0.0044 |
| 6M | 4.57510 | -0.0018 |
| 12M | 4.48610 | -0.0011 |
US TSYS: Tsys Unwinding Friday's Sale, PMI, Pending Home Sales Ahead Year End
Dec-30 11:47
- Treasuries are looking modestly firmer, near early early London session highs as rates recover from Friday's sell-off. The Mar'25 10Y contract trades 108-19 last (+5) vs. 108-21 high on decent volumes heading into year end: just over 175k at the moment.
- Average to small year-end duration extensions: US +0.07Y, EU: +0.04Y, UK -.02Y (Bbg)
- Tsy 10Y yield at 4.5951% (-.0303), curves mixed with 2s10s -.342 at 28.950 despite overnight Block steepener: +4,276 TUH5 at 102-22.75 vs. -2,592 TYH5 108-17.5 (0256:12ET); 5s30s +1.752 at 37.159.
- Projected rate cuts into early 2025 look steady to slightly higher vs. late Friday levels (*) as follows: Jan'25 steady at -2.8bp, Mar'25 -13.6bp (-13.3bp), May'25 -19.5bp (-18.5bp), Jun'25 -28.8bp (-26.5bp).
- Data on tap (prior, estimate): MNI Chicago PMI (40.2, 43.0) at 0945ET, followed by Pending Home Sales at 1000ET MoM (2.0%, 0.8%), YoY (6.6%, 7.9%). Dallas Fed Mfg Activity at 1030ET (-2.7, -3.0). Dearth of scheduled Fed speak until Richmond Fed's Barkin gives keynote remarks at a Maryland Bankers assn event on January 3 at 1100ET (text & Q&A).
- Treasury auctions $84B 13W, $72B 26W bills at 1130ET followed by 75B 42D CMBs at 1300ET.
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