US TSYS:

     US TSY SUMMARY: Not sure how long this Oval Office meet with Pres Trump and

Tsy Sec Mnuchin going to last, but anything positive comes of it -- keep eye on

TV for them walking to podium. US markets maintaining the risk on profile, Tsys

near lows (yld curves flatter...) SPX near highs +38.0 at moment. Expect those

levels to extend if China trade/tariff headway made (<20% IMO).

- Decent total volume w/TYH already over 1.15M, but near half that occurred by

the opening bell. Two-way positioning, risk squaring across the curve ahead

extended holiday weekend. Deal-tied selling in 5s-10s, receivers in 2s-5s, spd

curve steepeners vs. flatteners in Tsys. Prop and fast$ accts buying

intermediates to long end over last hour.

- Fed enters media blackout tonight through Jan 31, day after first FOMC of year

(Jan 29-30), no move expected. Chances of hike through Jun at 10% or lower (MNI

PINCH/spline model). Tail event that could change all that: US/China trade deal,

stay tuned.

- Tsy cash/ylds: 2Y 99-25.25 (2.610%), 5Y 100-00 (2.623%), 10Y 102-27.5

(2.788%), 30Y 105-10.5 (3.099%).

US TSY FUTURES CLOSE: Tsy trading mildly lower in the middle of the range;

strong volume (TYH 1.31M); Curves flatter; update:

* 2s10s -1.407, 17.057 (16.669L/18.890H);

* 2s30s -2.880, 47.960 (47.960L/51.237H);

* 5s30s -2.795, 47.377 (47.235L/50.334H);

Current futures levels:

* Mar Ultra bonds down 17/32 at 158-18 (158-05L/159-10H)

* Mar 30-yr Bond futures down 15/32 at 144-18 (144-09L/145-07H)

* Mar 10-yr futures down 11.5/32 at 121-05 (121-02L/121-17.5H)

* Mar 5-yr futures down 08/32 at 114-1.5 (113-31.5L/114-10.5H)

* Mar 2-yr futures down 03/32 at 105-28.25 (105-27.625L/105-31.5H)

US EURODLR FUTURES CLOSE: Trading moderately lower near the bottom of the range;

mild volume. Current White pack(Mar'19-Dec'19):

* Mar'19 -0.005 at 97.305

* Jun'19 -0.030 at 97.255

* Sep'19 -0.045 at 97.245

* Dec'19 -0.050 at 97.220

* Red pack (Mar'19-Dec'20) -0.070-0.065

* Green pack (Mar'20-Dec'21) -0.065-0.055

* Blue pack (Mar'21-Dec'21) -0.055-0.050

* Gold pack (Mar'22-Dec'22) -0.050-0.035

US SWAPS: Mixed, spd curve steeper vs. continued flattening in Tsy yld curves.

Light deal-tied unwinds, spd curve steepeners in play, quiet ahead extended

holiday weekend. Latest spd levels:

Time (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

2:30        -0.69/15.69   -0.44/8.94     +0.06/3.38    +0.19/-18.44

12:00       -0.75/15.62   -0.44/8.94     +0.19/3.50    +0.50/-18.12

Fri Open    +0.12/16.50   +0.19/9.56     +0.06/3.38    +0.25/-18.38

Thu 3:00    +0.12/16.25   -0.12/9.12     -0.06/3.19    +0.75/-19.00

Thursday recap: Spds running mildly wider in the wings vs. marginal compression

in the intermediates. Light second half flow largely deal driven unwinds after

swath of better paying in 2s, 4s, 5s and 10s, mild 2-way in 6s. Ongoing

deal-tied flow as well.

US DOLLAR LIBOR: Latest settles,

* O/N -0.0008 to 2.3838% (-0.0055/wk)

* 1 Month +0.0030 to 2.5060% (-0.0029/wk)

* 3 Month -0.0147 to 2.7610% (-0.0263/wk)

* 6 Month -0.0006 to 2.8519% (-0.0127/wk)

* 1 Year +0.0182 to 3.0301% (+0.0114/wk)

US TSYS: *** /REPO REFERENCE RATES: (rate, volume) 

* Secured Overnight Financing Rate (SOFR): 2.41% vs. 2.43% prior, $969B

* Broad General Collateral Rate (BGCR): 2.37% vs. 2.37% prior, $461B

* Tri-Party General Collateral Rate (TGCR): 2.37% vs. 2.37% prior, $426B

PIPELINE: *** PRICED: $2.5b *Province of Ontario 5Y MS +36

Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:

1/18 $2.5b *Province of Ontario 5Y MS +36

-

$45.45b Priced This Week

OUTLOOK: *** Data/speaker calendar (prior, estimate): 

19-Jan Fed enters Blackout, runs through Jan 31

21-Jan Markets closed for Martin Luther King Jr Day

--

22-Jan 0830 Jan Philadelphia Fed Nonmfg Index (7.7, --)

22-Jan 1000 Dec existing home sales (5.32m , --)

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* 9,000 short Mar 72/73/75/76 call condors, 3.5

* 10,000 Jun 72/short Jun 71 put spds, 1.5

* 4,000 short Feb 73/752x1 put spds, 3.0

* +5,000 short Apr 72 puts, 1.0

UPDATE: Total 35,000 Sep 70 puts at 3 vs 9727/0.18%

UPDATE: Total 17,500 Jun 72 puts at 6.5 vs 9727/0.45%

block, 11:21:55ET,

* -5,000 Green Feb 72/75 put sprd at 10.5

UPDATE: Total -20,000 Short Mar 76 calls at 2 vs 9732/0.14%

UPDATE: Total +15,000 Green Mar 78 calls at 1.5 vs 9744/0.10%

Block, 1012:44ET

* 10,000 short Mar 76 calls, 2.0 vs. 97.325/0.14%

Block, adds to 5k block at 0738:58ET for 14.0

* +10,000 Red Mar20 67 puts, 4.0

* +10,000 short Feb 72 calls, 9.5, no futures this time

* 4,000 Short Apr/Blue Apr 72 put sprd at 1 vs 9733/0.05%

* -10,000 Red Jun 75/77 call sprd at 7

* -5,000 Short Mar 68/71 2x1 put sprd at 1.5

* -5,000 Short Feb 72/73/75 call tree at 4

* over +5,000 Dec 68/70/72 put trees 1.0 over the 77 calls, some on screen as

well

* +5,000 Red Mar 67 puts at 4 vs 9733/0.10%, adds to recent +5k block

* +5,000 Mar 72 puts at 1

Block details:

Post at 0741:54ET call over combo sale, 0.5 net cr

* +5,000 front Mar 72 puts, .75

* -5,000 front Mar 73 calls, 1.25

Post at 0738:58ET

* +5,000 Red Mar20 67 puts, 4.0

* +5,000 short Feb 72 calls, 10.0 vs. 97.32/0.50%

Blocks, Post at 0745:25ET

* 5,000 short Mar 67 puts, 4.0 vs. 97.33/0.10%

Screen flow

* +17,500 short Mar 68/70 put spds, 1.0 

* 20,000 Jun 68/70/71 put flys

Tsy options, Pit/screen:

* +1,500 TYK 119.5/123.5 call over risk reversals, 1/64 vs. 121-12.5

* 7,500 FVG 114.5/FVH 113.5put spds, 16- to 15.5/64

* 2,000 TYG 121.5/TYH 120 1x2 put spds, 3.0

* 2,000 TYG 122/TYH 120.5 1x2 put spds, 15/64

* 2,500 TYG 121.5 calls, 11/64 vs.121-12

* 1,600 FVG 114.25/115.25 1x2 call spds, 0.0

* -25,000 TYG 121.5/122 call sprd at 9

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]