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ITC NY - UST EOD Commentary: Treasuries aggressively bear steepened on Friday as 5y, 10y and 30y yields rose by 7bps, 14bps and 16bps, respectively. After some much better selling in London, the theme was the same as NY walked in with seller reported from RM, LM and CB, macro sellers were most prevalent in TY (desks note seems the macro community is pretty short) while heard CTA sellers in bunds and systems in USZ. There was some short lived respite as we heard FM short covering in 5s and 7s - lending some support as CBs unwound steepeners. The risk-led move continued as treasuries slowly broke down, led by the long-end. Risk assets pushed higher, with the SPX weekly 1450, 1455 and 1460 calls (totaling about 60k contracts) lent some support as we approached those strikes. We heard some very large selling of mortgages through the morning, with flow driven by profit taking with Mon Mgrs and RM. Treasuries stabilized from the aggressive sell off in late morning, remaining range-bound for the rest of the day.
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 2.3x (vs. 2.57x, 3.1x, 2.5x and 2.6x previously) the lowest level since August 2nd. Purchases were well distributed all across the bucket, with the most bought on the 4.375% 05/41 and3.75% 08/41for a size of $0.2bn and $ 0.275bn, respectively. Analysts saw the latter as the cheapest on the curve despite the tight valuations in the sector. Following this low cover, the long-end ticked higher and gave the 10s30s curve a small flattening bias by ~0.5bps.
ITC NY – Swap EOD Commentary: Spreads closed tighter across the curve led by the 10y sector. 3m $ libor fixed lower by 0.35bps a touch higher than calls (vs. calls for -0.5/6bp at 0.383%). The lower fix knocked front EDs a touch lower, though little reaction in spreads. NY walked in with belly spreads, as dealers suggest some overhang from dealer longs from yday's post-FOMC flow weighed on spreads. We actually heard some PAYing in the belly from Asian regionals, though we heard some much better UK RECeiving in 5y vs. Europe (tighter by 1bp). We heard one US HF getting long 10s on the 5s10s30s swap fly after some significant cheapening overnight – closing ~2.0bps richer from 6am NY. The US session was dominated with much better RECeiving with a focus on the 10y sector and over half of this thought to be mortgage related. We heard the aggressive mortgage selling, left end users to unwind their swap hedge prompting some much better receiving. 5y and 10y spreads benefitted from some decent widener stops out from bank portfolios and FM. While PAYing flows through the session were non-existent.
*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.