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US TSYS

Repo Reference Rates, SOFR Holds At 0.03%

US EURODLR FUTURES

BLOCK, Red Pack

PIPELINE

AerCap 9-Tranche Jumbo Spans 2Y-20Y

US TSY FUTURES

Volume Pick-Up As Bonds Sell-Off

EMERGING MARKETS

USDTRY Rallies And Resumes It Uptrend

     
US TSY SUMMARY: Mildly higher with the exception of weaker 2s, Tsys well off
higher levels from most of the session, light volume (TYH<970k). US$ index
climbed back to Jan 25 levels (DXY +.317, 96.384) when US Gov re-opened when
index fell from 96.528 to 95.738. Equities steady/near mid-range (SPX 2730.0).
- FI bid evaporated after 10Y auction -- US Tsy $27B 10Y note auction
(9128286B1) awarded 2.689% rate (2.728% in January; 3.109% avg) vs. 2.690% WI.
- Session flow included large short end selling Fed fund futures (-50k FFG, -35k
FFJ both at 97.60); Block buying appr 20k FFH (114-17 to 114-19), light two-way
curve flow, decent late selling front end Eurodollar futures. Light deal-tied
selling in 5s-10s.
- On tap for Thu: Weekly claims (221k est); consumer credit for December
($16.5B); $19B 30Y bond auction (912810SF6). Dal Fed Pres Kaplan, Fed Brd Gov VC
Clarida and StL Fed Pres Bullard speak at separate events.
- Tsy cash/ylds: 2Y 99-30.75 (2.518%), 5Y 100-07 (2.588%), 10Y 103-21.5
(2.693%), 30Y 106-23.5 (3.029%).
US TSY FUTURES CLOSE: Mildly higher for the most part -- but well off higher
levels from most of the session, light volume (TYH<970k). Bid evaporated after
10Y auction, curves rebound, update:
* 2s10s +0.216, 17.420 (16.036L/17.814H);
* 2s30s +0.327, 50.840 (49.640L/51.788H);
* 5s30s +0.593, 52.565 (51.599L/53.381H);
Current futures levels:
* Mar Ultra bonds up 1/32 at 160-09 (160-00L/161-01H)
* Mar 30-yr Bond futures up 2/32 at 145-24 (145-17L/146-09H)
* Mar 10-yr futures up 1.5/32 at 121-29.5 (121-26L/122-03.5H)
* Mar 5-yr futures up 1/32 at 114-17 (114-15L/114-20.5H)
* Mar 2-yr futures down .38/32 at 106-00.75 (106-00.5L/106-02.25H)
US EURODLR FUTURES CLOSE: Weaker in Whites by the close, mildly higher out the
strip, near middle of narrow range. Current White pack (Mar'19-Dec'19):
* Mar'19 -0.010 at 97.325
* Jun'19 -0.010 at 97.335
* Sep'19 -0.010 at 97.325
* Dec'19 -0.005 at 97.310
* Red pack (Mar'19-Dec'20) +0.005-0.010
* Green pack (Mar'20-Dec'21) +0.010-0.015
* Blue pack (Mar'21-Dec'21) +0.015
* Gold pack (Mar'22-Dec'22) +0.015-0.010
US DOLLAR LIBOR: Latest settles,
* O/N +0.0008 to 2.3832% (+0.0092/wk)
* 1 Month +0.0004 to 2.5126% (-0.0014/wk)
* 3 Month -0.0009 to 2.7376% (+0.0050/wk)
* 6 Month -0.0013 to 2.7762% (-0.0138/wk)
* 1 Year -0.0237 to 2.9620% (+0.0004/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume) 
* Secured Overnight Financing Rate (SOFR): 2.40%, $932B
* Broad General Collateral Rate (BGCR): 2.37%, $464B
* Tri-Party General Collateral Rate (TGCR): 2.37%, $438B
OUTLOOK: *** Data/speaker calendar (prior, estimate):
07-Feb 0830 02-Feb jobless claims (253k, 221k)
07-Feb 0915 Dal Fed Pres Kaplan, UofT, Austin McCombs School of Biz Outlook
Series, Q&A
07-Feb 0930 Fed Brd Gov VC Clarida, presents research paper, Prague, Q&A
07-Feb 1030 01-Feb natural gas stocks w/w
07-Feb 1300 US TSY $19B 30Y bond auction (912810SF6)
07-Feb 1500 Dec consumer credit ($22.1B, $16.5B)
07-Feb 1630 06-Feb Fed weekly securities holdings
07-Feb 1930 StL Fed Pres Bullard, MON-POL/ECO OUTLOOK, St. Cloud St Univ, Mn,
Q&A
PIPELINE: $2B BP Cap Mkts launched
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
02/06 $2B #BP Capital Markets America $1B 7Y +82, $1B 10Y tap +92
02/06 $Benchmark Bank of Nova Scotia 5Y bail-in +92
02/06 $Benchmark CAF 3Y +75a, roll over from Tue
Eurodollar/Treasury Option Summary 
Eurodollar options, Pit/screen:
Block, 1449:46ET,
* 15,000 long Red Mar'20 66 puts, 1.0 vs. 97.415/0.05%
* 20,000 Green Feb 75 calls, 0.5
* +20,000 Red Jun'20 82/85 call spds, 2.0
* 10,000 Red Jun'20 80/82 call spds
* +20,000 short Sep 68/71/72/73 broken put condors, 1.5 vs. 97.47
* +5,000 Dec 68/70/71 put flys, 1.5
* +10,000 Red Mar'20 73 puts, 19.0 vs. 97.37/0.50% a few minutes ago
Additional trade from earlier includes
* +10,000 short Sep 70/72 put spds, 5.5
* +5,000 short Dec 66/67/70 put trees,7.5 vs. 97.495/0.25%
* +5,000 Red Jun'20 90 calls, 2.0
* +20,000 short Jul 67/70 put spds, 1.5 vs. 97.485/
* 10,000 short Sep 68/71 put spds, screen
* 5,000 Red Mar 76/78/80 call flys 0.5 over the Dec 70 puts
* 5,000 Red Mar 76/78/80 call flys 2.0 over the Dec 68 puts
* +7,500 Green Apr 76 calls, 8.5
* -3,000 Red Mar 66/70/73 put trees, 29.0
* +10,000 Green Jun/Green Sep 70 put spds, Sep over at 2.0 vs. 97.505/0.10%
* +2,500 long Green Sep 90/100 1x2 call spds, 5.5
* +2,500 Sep 67/70/72 put flys, 4.25
* +10,000 short Jun/Green Jun 75 put spds, 2.0
* -2,000 Green Sep'21 62/75/87 iron flys 49.0 (strangles x2)
Tsy options, Pit/screen:
* 2,000 FVH 114/FVJ 113.5 put spds, 1/64
* 500 USK 145 straddles, 3-28/64 vs.
* 1,000 TYK 122.5 straddles, 1-38/64
* Update, over 11,000 TYH 122.25/122.5 call spds, 5/64 vs. 122-01/0.09%
* +30,900 FVJ 114.75/115.7 call spds on screen, 16/64
* +6,000 TYH 122.5/123 call spds, 6/64 on screen
* +1,000 wk2 TY 122/122.25/122.5 call flys, 4/64 vs. 122-04/0.10%
* 2,500 FVJ 114 puts, 6.5/64
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com