US TSYS: CALM AHEAD FRIDAY'S HEADLINE JANUARY EMPLOY DATA

     US TSY SUMMARY: Generally quiet, two-way trade in session ahead Jan NFP,

volumes decent (TYH>1.7M) but off heavier pace in lead-up to current session.

Jan NFP estimates gained slightly after Wed's ADP private employ number came out

much better than expected (+291k), Fri's employ ests' climbed to +163k from

+160k. 

- Equities held minor gains (emini +10.0 at 3345.0) late, Gold climbed over

1566.0 after plummeting last two sessions.

- Little to no react to data (weekly claims below exp 202k; prelim nonfarm prod

+1.4%; ULCs +1.4%) and Fed speak (Dallas Fed Kaplan, former Mn Fed Pres

Kocherlakota) as well as rather limited number of coronavirus headlines took the

wind out of implied vol and algo-trading desk's sails.

- Inside range for much of the session, the long end extended session highs

late. March/June futures rolling ahead gradually picked up. 

- Conditional bear curve flatteners via Eurodollar options and Tsy 10Y over

bonds (-TYK 132 calls vs. +USK 164 calls) was consistent theme for day.

- The 2-Yr yield is up 0bps at 1.4432%, 5-Yr is down 0.8bps at 1.4549%, 10-Yr is

down 1.4bps at 1.637%, and 30-Yr is down 3.3bps at 2.1055%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) Likely To Remains Heavy

*RES 4: 132-02+ High Oct 3 and Oct 7 and key resistance

*RES 3: 131-29 Feb 3 high

*RES 2: 131-20+ High Feb 4

*RES 1: 131-04+ High Feb 5

*PRICE: 130-16 @ 16:28 GMT, Feb 6

*SUP 1: 130-07   Low Jan 29 and key near-term support

*SUP 2: 129-22+ 50-day EMA

*SUP 3: 129-17+ Low Jan 23

*SUP 4: 129-12   Low Jan 22 

10yr futures remain vulnerable despite today's recovery. This week futures

cleared support at 130-30, the Jan 31 low and 130-13+, Jan 29 low. This signals

scope for a deeper pullback towards 129-22+, an area of support highlighted by

the 50-day EMA. The technical condition had recently entered an overbought zone

and the pullback marks an unwinding of the overbought condition. Initial

resistance is at the Wednesday low of 131-04+.

JGB TECHS: (H0): 50-dma Key Support

*RES 3: 153.55 - High Nov 28 and key resistance

*RES 2: 153.28 - 100-dma

*RES 1: 153.13 - High Jan 31

*PRICE: 152.48 @ 16:26 GMT, Feb 6

*SUP 1: 152.39 - 50-dma

*SUP 2: 151.62 - Contract lows, Dec 20

*SUP 3: 151.11 - 76.4% retracement of August 2018 - September 2019 Rally

JGBs still trade lower, but the 50-dma has held as support on a closing basis so

far this week. To re-ignite bullish momentum, a break and close above the 100-

and 200-dmas layered just above would shift the outlook nicely positive, but the

risk of a pullback still looms large at present levels. For bears to recapture

any momentum, a close below the 50-dma would be needed, opening 151.62 and the

151.11 mark beyond.

TSY FUTURES CLOSE: Mixed after the bell, long end extending top end of range

late, otherwise quiet trade ahead Fri's headline employment data for January.

Update: 

* 3M10Y  -1.379, 6.526 (L: 6.526 / H: 11.012)

* 2Y10Y  -1.596, 18.975 (L: 18.975 / H: 21.459)

* 2Y30Y  -3.374, 65.961 (L: 65.961 / H: 69.93)

* 5Y30Y  -2.514, 64.863 (L: 64.837 / H: 67.712); Current futures levels:

* Mar 2-Yr futures down 0.375/32  at 107-30 (L: 107-28.375 / H: 107-30.875)

* Mar 5-Yr futures down 0.25/32  at 119-21 (L: 119-15 / H: 119-22.75)

* Mar 10-Yr futures up 2/32  at 130-19.5 (L: 130-07 / H: 130-21)

* Mar 30-Yr futures up 11/32  at 161-15 (L: 160-15 / H: 161-16)

* Mar Ultra futures up 1/32  at 190-22 (L: 188-23 / H: 190-22)

US TSY FUTURES: Second half Mar/Jun futures roll update. Friday, February 28 is

first notice (June futures take lead quarterly position). March futures don't

expire until mid-late March (10s, 30s and Ultras on 3/20, 2s & 5s 3/31). Session

volume and % complete update:

* TUH/TUM appr 36,700 from -5.5 to -5.12, -5.25 last; 8% complete

* FVH/FVM appr 17,700 from -11.75 to -11.0, -11.75 last; 5% complete

* TYH/TYM appr 11,200 from 4.5 to 5.25, 4.75 last; 4% complete 

* UXYH/UXYM <1,000 from 10.5 last 

* USH/USM appr 20,400 from 30.0 to 30.5, 30.25 last; 5% complete

* WNH/WNM appr 17,500 from -24.0 to -22.75, -23.5 last; 4% complete

US EURODLR FUTURES CLOSE: Marginally weaker for the most part after the bell,

lead quarterly and tail end of Golds gaining slightly. Current White pack

(Mar'20-Dec'20):

* Mar 20 +0.005 at 98.320

* Jun 20 steady at 98.405

* Sep 20 -0.005 at 98.495

* Dec 20 -0.005 at 98.525

* Red Pack (Mar 21-Dec 21) -0.01 to -0.01

* Green Pack (Mar 22-Dec 22) -0.005 to -0.005

* Blue Pack (Mar 23-Dec 23) steady

* Gold Pack (Mar 24-Dec 24) steady to +0.005

US DOLLAR LIBOR: Latest settles

* O/N -0.0031 at 1.5720% (+0.0032/week)

* 1 Month +0.0012 to 1.6709% (+0.0089/wk)

* 3 Month -0.0075 to 1.7341% (-0.0170/wk)

* 6 Month -0.0092 to 1.7496% (+0.0044/wk)

* 1 Year +0.0115 to 1.8426% (+0.0360/wk)

US SWAPS: Spds back to mildly wider for the most part, long end resisting move.

Decent flow over the last couple hours centered on better rate paying in 10s,

receivers in 2s and 5s, 2s3s5s receiver nd 3s4s5s payer flys. Deal-tied hedging

in the mix. In the first half, long end leading spds rebound off early narrows,

directional with modest rise in Tsy ylds. Generally modest swap-tied flow in

first half, 3s7s10s payer fly after the open, switch in 5s, payer in 7s. Latest

spd levels:

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

1430       -0.47/+5.81    -0.06/+0.81   -0.19/-4.25    +0.25/-32.12

1300       -0.53/+5.75    -0.11/+0.75   -0.19/-4.25    +0.25/-32.12

1130       -0.59/+5.69    +0.02/+0.88   +0.06/-4.00    +0.50/-31.88

0915       -0.03/+6.25    +0.02/+0.88   +0.06/-4.00    +0.38/-32.00

Thu Open   -0.16/+6.12    -0.42/+0.44   -0.25/-4.31    +0.25/-32.12

Thu 0700   -0.16/+6.12    -0.42/+0.44   -0.25/-4.31    +0.25/-32.12

Wed 1500   -0.31/+6.31    +0.38/+0.88   +0.31/-4.19    +0.25/-32.25

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 1.59%, volume: $83B

* Daily Overnight Bank Funding Rate: 1.58%, volume: $199B

US TSYS: REPO REFERENCE RATES:

* Secured Overnight Financing Rate (SOFR): 1.59%, $1.168T

* Broad General Collateral Rate (BGCR): 1.57%, $428B

* Tri-Party General Collateral Rate (TGCR): 1.57%, $410B

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

07-Feb 0830 Jan nonfarm payrolls (145k, 163k) 

07-Feb 0830 Jan private payrolls (139k, 150k)

07-Feb 0830 Jan unemployment rate (3.5%, 3.5%)

07-Feb 0830 Jan average hourly earnings (0.1%, 0.3%)

07-Feb 0830 Jan average workweek, all workers (34.3 hrs, 34.3 hrs)

07-Feb 1000 Dec wholesale inventories (-0.1%, -0.1%)

07-Feb 1000 Dec wholesale sales (1.5%, 0.1%)

07-Feb 1100 Fed Mon-Pol Report to Congress release

07-Feb 1100 Q1 St. Louis Fed Real GDP Nowcast

07-Feb 1115 Q1 NY Fed GDP Nowcast (1.32%, --)

07-Feb 1500 Dec consumer credit ($12.513B, $15.0B)

PIPELINE: Pace of issuance slowing ahead Fri's headline data

02/06 $1.5B #ANZ New Zealand Int 3Y +48, 10Y +93

02/06 $925M #EBRD (Environmental Sustainability Bond) 5Y +7

02/06 $700M #Indian Railway Finance 30Y +160

-

$9.4B priced Wednesday, $26.45B/wk

02/05 $2B *Hyundai Capital America $1B 3Y +95, $500M each: 5Y +122.5, 7Y +147.5

02/05 $2B *Goldman Sachs 10Y +95

02/05 $1.5B *OKB (Oesterreichische Kontrollbank AG) 5Y +12

02/05 $1B *IBRD (World Bank) 2024 Tap SOFR+28

02/05 $1B *Nationwide Building Society 3Y +27

02/05 $500M *First Republic 4NC3 fix-FRN +48

02/05 $500M *Exp/Imp Bk of Korea (KEXIM) 5Y +47.5

02/05 $400M *Synovus Bank 3NC2 fix-FRN 85

02/05 $500M *Southwest Air WNG 10Y +103

Eurodollar/Tsy options 

Eurodollar options:

* Block 20,000 Jun 82/83 put spds vs. short Jun 82/85 put spds, conditional bear

curve flattener on screen for 0.0. Ongoing theme after earlier screen pit flow

of 30,000 Jun 82/83 put spds vs. short Jun 83/85 put spds, conditional bear

curve flattener on screen for 2.0.

Large ratio put fly Block, 1116:57ET, 180k option package

* +30,000 Red Sep 80/82/85 2x3x1 put flys, 0.5 net cr/belly over

* +10,000 May 88 calls, 1.0

* another +10,000 Red Sep 80/82/85 2x3x1 put flys, 0.5 trade in pit/adds to 30k

Block

* -10,000 May 86 calls, 2.5

* -4,000 Jun 86/87 call spds, 1.25

* Update, total -40,000 Sep 81/82/83 put flys, 4.0

* total -20,000 Sep 81/82/83 put flys, 4.0

* total 20,000 Jun 82/83 put spds vs. short Jun 83/85 put spds, 2.0 net bear

curve flattener

* -15,000 Sep 81/82/83 put flys, 4.0

* 10,000 Sep 87/92 call spds, 5.5

* buyer short Feb/Mar/May 83/86/87 broken put fly strip

Salient overnight trade:

* +15,000 short Apr 83 puts, 1.5

* 10,000 Jun 82/83 put spds vs. short Jun 83/85 put spds, 2.0

* 7,000 Jun 85/87 2x3 call spds, 5.5

* 5,000 short Apr 92/97 call spds, 1.0

* 4,500 short Jun 86/87 call spds, 4.5

* 3,000 Sep 86/87/88/90 call condors, 1.5

Tsy options:

* Update, +10,000 FVH 118/120 call over risk reversals, 2/64

* Update, >-10,000 TYH 130.5 straddles, 1-56 to 1-53

* +5,000 TYH 130/131.25 call over risk reversals earlier at even

Note over bond (NOB) flattener

* -2,400 TYK 132 calls, 25/64 vs. 130-10/0.25% vs. +1,000 USK 164 calls vs.

160-04/0.25%

* 1,000 FVH 118/120.5 call over risk reversals, 2/64 vs. 119-19.25

Likely unwind downside leg of 121/121.5 call spd bought Mon

* -30,000 FVJ 121 calls, 8.5- to 8/64 (OI only 33,563 coming into session)

* -10,000 TYH 132 calls, 3/64 vs. 130-13 on screen

Block, 0920:56ET,

* 7,500 USM 157 puts, 1-7/64 vs. 161-11/0.30%

Salient overnight trade, Blocks

* Block, 10,000 TYH 130/131 2x3 call spds, 36/64

* over 13,000 TYH 132 calls, 6/64

* -10,000 TYH 130.25 puts, 20/64

* near 10,000 TYH 130/131 call spds on 1:1 ratio, 34

* over 6,500 TYH 130/131 put over risk reversals, 2.0

* 5,500 USH 153 puts, 1/6

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

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