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ITC NY - UST EOD Commentary: The treasury curve steepened on Tuesday and 3y, 5y, 10y and 30y yields rose by 0.3bps, 2.2bps, 3.5bps and 3.5bps, respectively. Early in the session we heard some RM acct legging into steepeners via futures (-FV vs. +US), some light FM selling in the long-end and more steepener interest from RM (with a focus on 5s10s, 7s10s and 5s30s in particular). The curve was fairly well supported ahead of the buyback (see below for details), though leaked lower right after, before finding some support on dip buying from RM and bank portfolios. Very quiet session heading into the 3y auction, which was met with good demand and prompted a rush of short covering from FM and dealers in FV and TY (full analysis on pg3 – attached) we also heard some better RECeiving in the 10y sector seemed to support. The issuance pipeline came into to focus with some ~$8bn to price, which weighed on the curve a touch with none of the longer maturity deals expected to swap. Most notable is the Astra Zeneca offering $1bn of both 7y and 30y bonds.
ITC NY – Fed Ops: The Fed bought $1.8bn in the 24-30y sector, covering 02/36-08/42 maturity bucket. The sub/cover came in lower at 2.57x (vs. 3.1x, 2.5x and 2.6x previously). Purchases were well spread all across the bucket, with the most bought on the 3.125% 11/41 and the 3.75% 08/41 (same as the last operation) for a size of $0.55bn and $ 0.47bn, respectively. Given the relative in-line results there was little reaction on the Fed activity, we did hear of FM accts waiting until after the buyback to set new shorts which seemed to hit the market shortly after the pass.
ITC NY – Swap EOD Commentary: Spreads were mixed on the day, pivoting around the 5y point with sub 5y closing 0.1-0.5bp tighter and 5y+ sector closing modestly wider. 3m $ libor fixed lower by 0.55bps at 0.39875% - a touch lower than expectations, showing an acceleration in the pace of the decline in libor. The fix sent Sep Eurodollars higher and 2y spreads just jumped ~0.7bps tighter. The move seemed to prompt RM RECeiving in 2y, while HFs and FM took profit on tighteners through the remainder of the session pushing spreads back to almost unch on the session. Spreads were a touch tighter as NY walked in after some REC'ing in the belly out of Asia. We heard Insurance and PFs REC'ing outright across 10y and out through the NY morning and HFs profit-taking on steepeners which pushed 10s30s a touch flatter. We heard RM putting on spread tighteners in 10y and 30y, while FM actually put on FV spread wideners (similar flow from HFs seen over the yday's session).
*Disclaimer: The information in the Market Commentaries was obtained from sources believed to be reliable, but we do not guarantee its accuracy. Neither the information nor any opinion expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts.