Today’s Market Update:

“USTs Gain After $500m/01 Ultra-10Y Block; 5-Year Calls in Demand

By Edward Bolingbroke

(Bloomberg) —

Treasuries neared session highs after block trade in ultra-10Y note futures pushed 10-year yields back under 2.93%; in UST options, block buying activity seen across 5-year calls.

  • 4,612 UXYM8 blocked at 128-00, 10:26am ET; 10-year yields richer by up to 5bp on the day, continued to be underpinned by wider gains across core EGBs
  • In Treasury options, two block buys in 5-year calls: 7.5k FVN8 113 calls bought at 33 ticks 9:38am ET and 10:03am ET, Chicago trader says
    • Same calls were bought on May 15 via block in 25k at 12.5 ticks covered vs 9k FVU8 at 112-2275; open interest in the strike currently 61.9k
  • Some information comes from rates traders familiar with the transactions who asked not to be identified because they are not authorized to speak publicly”

Two-year Notes are down 3.2 basis points at 2.476%, five-year Notes are down 5.2 basis points at 2.762%, and the benchmark 10-Year Bond is down 4.7 basis points at 2.930%.

Treasury Yields

Term  Current  Last Month
3 Month1.884%1.844%
6 Month2.064%2.017%
2 Year2.476%2.488%
5 Year2.762%2.837%
10 Year2.931%3.026%
30 Year3.091%3.207%
Yields updated each morning.
Source: Bloomberg

Benchmarks

PRIME4.75%
DJIA24,811.76
Crude Oil$67.68
YEN109.3515
Gold$1,304.27
1 Year CMT2.28%
1 Month LIBOR1.96827%
Fed Funds Effective1.70%
Next FOMC MeetingJune 13, 2018
Source: Bloomberg

Economic Indicator Calendar

DateEventPeriodSurveyActualPrior
5/29/2018S&P CoreLogic CS 20-City MoM SAMar0.70%0.83%
S&P CoreLogic CS 20-City YoY NSAMar6.40%6.80%
S&P CoreLogic CS US HPI YoY NSAMarN/A6.34%
Conf. Board Consumer ConfidenceMay128128.7
Dallas Fed Manf. ActivityMay2321.8
5/30/2018MBA Mortgage Applications25-MayN/A-2.60%
ADP Employment ChangeMay190k204k
Wholesale Inventories MoMApr P0.50%0.30%
GDP Annualized QoQ1Q S2.30%2.30%
Personal Consumption1Q S1.20%1.10%
GDP Price Index1Q S2.00%2.00%
Core PCE QoQ1Q S2.50%2.50%
Advance Goods Trade BalanceApr-$71.0b-$68.3b
Retail Inventories MoMAprN/A-0.50%
5/31/2018Challenger Job Cuts YoYMayN/A-1.40%
PCE Core YoYApr1.80%1.90%
Personal IncomeApr0.30%0.30%
Personal SpendingApr0.40%0.40%
Real Personal SpendingApr0.20%0.40%
PCE Deflator MoMApr0.20%0.00%
PCE Deflator YoYApr2.00%2.00%
PCE Core MoMApr0.10%0.20%
Initial Jobless Claims26-May229k234k
Continuing Claims19-May1720k1741k
Chicago Purchasing ManagerMay5857.6
Bloomberg Consumer Comfort27-MayN/A55.2
Pending Home Sales MoMApr0.50%0.40%
Pending Home Sales NSA YoYAprN/A-4.40%
6/1/2018Change in Nonfarm PayrollsMay190k164k
Two-Month Payroll Net RevisionMayN/A30k
Change in Private PayrollsMay190k168k
Change in Manufact. PayrollsMay20k24k
Unemployment RateMay3.90%3.90%
Underemployment RateMayN/A7.80%
Average Hourly Earnings MoMMay0.20%0.10%
Average Hourly Earnings YoYMay2.60%2.60%
Average Weekly Hours All EmployeesMay34.534.5
Labor Force Participation RateMayN/A62.80%
Markit US Manufacturing PMIMay F56.756.6
Construction Spending MoMApr0.80%-1.70%
ISM ManufacturingMay58.157.3
ISM EmploymentMayN/A54.2
ISM Prices PaidMay77.979.3
ISM New OrdersMayN/A61.2
Source: Bloomberg