Treasuries Ply Narrow Ranges on Low Volume; Dollar Vol Offered
(Bloomberg) — Treasuries finished little changed Monday, during which the 10-year yield’s daily range was less than 2.3bp and narrowed further after the European close and futures volumes were well below average; upside was capped as stocks managed small gains and Conagra dominated the corporate new issue calendar with a 7-part, $7b offering.
Yields ended slightly cheaper vs Friday’s closing levels, with 10-year around 3.16%; curve was marginally steeper with 5s30s wider by 0.3bp ahead of Conagra deal pricing
IG credit issuance slate was relatively active and also included $1.25b FedEx offering with 10- and 30-year tranches; Bloomberg survey found $25b-$30b is expected this week
Muted session saw dollar rates volatility well offered as implied vol was heavily sold; 1m10y was sold down from 117 to 115.5, over 1 annual vol from Friday’s close, New York trader said
Futures volumes sagged, with 10-year contract reaching 65% of 10-day average shortly after 3pm ET
Gilts traded heavy into London close after U.K. PM May said real progress has been made on Brexit, weighing on Treasuries heading into U.S. afternoon
In Treasury options, demand continued to emerge for downside hedges on long bond contract; flows included structures targeting 30-year yields to reach 3.75%
-R.W.N II, yours in 322.
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