US TSYS: EQUITYS STRONG ON CHOPPY END TO WEEK FOR GLOBAL MKTS

US TSY SUMMARY: Tsys trade mixed by the bell, long end weak but off overnight

lows, curves steepening out. Rather light session volume, much occurring during

London and cross-over to NY hours. 

- Equities firmer but paring gains (SPX currently +11.0, 2506.0). US$ index

mildly lower (DXY -.114 at 96.367). US$/Yen lower, -.67 at 110.34.

- Tsys gradually chopped higher all session, pared gains ahead midday when

equities looked to resume rout before recovering later in session. Two-way

positioning, modest month end extension trade, option-tied hedging helping keep

levels in range.

-  Swap spds mildly wider for the most part by the bell, long end on session

narrows. Decent volume on earlier moves with better paying in short end (1Y at

2.76378%, large $1B payer in 2s around 2.686%-2.6945%, near $750M payer in 5s

from 2.6550%-2.63728%, light receiving in 6s-7s, 2s3s5s payer fly.

- Decent option volume, mostly buyers of low delta puts in near end

- Tsy cash/ylds: 2Y 99-30.25 (2.526%), 5Y 100-09.25 (2.561%), 10Y 103-13.5

(2.725%), 30Y 106-18 (3.038%)

US TSY FUTURES CLOSE: Trading mixed by the bell, curves steepening w/long end

under pressure all session. Yld curves off flats, update:

* 2s10s +0.321, 20.530 (18.528L/20.609H);

* 2s30s +2.543, 51.399 (45.796L/51.475H);

* 5s30s +3.503, 47.274 (41.368L/47.586H);

Current futures levels:

* Mar Ultra bonds down 17/32 at 159-28 (159-12L/160-17H)

* Mar 30-yr Bond futures down 3/32 at 145-14 (144-26L/145-24H)

* Mar 10-yr futures up 2.5/32 at 121-19.5 (121-09L/121-23.5H)

* Mar 5-yr futures up 2.25/32 at 114-14 (114-06L/114-15.75H)

* Mar 2-yr futures up .5/32 at 106-02.75 (106-00L/106-03.25H)

US EURODLR FUTURES CLOSE: Trading steady/mildly bid in short end, Reds-Golds

narrowly ahead; EDH9/EDH0 extends inversion (-0.135). Current White pack

(Dec'18-Sep'19):

* Mar'19 +0.000 at 97.300

* Jun'19 +0.005 at 97.320

* Sep'19 +0.005 at 97.320

* Dec'19 +0.000 at 97.320

* Red pack (Mar'19-Dec'20) +0.010-0.015

* Green pack (Mar'20-Dec'21) +0.015-0.030

* Blue pack (Mar'21-Dec'21) +0.030-0.035

* Gold pack (Mar'22-Dec'22) +0.025

US DOLLAR LIBOR: Latest settles,

* O/N +0.0014 to 2.3924% (+0.0008/wk)

* 1 Month -0.0024 to 2.5199% (+0.0136/wk)

* 3 Month -0.0060 to 2.7970% (-0.0246/wk)

* 6 Month -0.0099 to 2.8731% (-0.0348/wk)

* 1 Year -0.0193 to 3.0131% (-0.0600/wk)

US SWAPS: Spds mildly wider for the most part by the bell, long end on session

narrows. Decent volume on earlier moves with better paying in short end (1Y at

2.76378%, large $1B payer in 2s around 2.686%-2.6945%, near $750M payer in 5s

from 2.6550%-2.63728%, light receiving in 6s-7s, 2s3s5s payer fly. Latest spd

levels:

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

Fri 3:00    +0.38/14.12   +0.50/5.25     +0.06/2.19    -0.69/-17.38

12:45       +0.88/14.62   +0.75/5.50     +0.38/2.50    +0.19/-16.50

10:15       -0.50/13.25   +0.44/5.19     -0.19/1.94    +0.06/-16.62

Fri Open    -0.88/12.88   +0.25/5.00     -0.12/2.00    +0.88/-15.81

Fri 7:15    +0.25/14.00   +0.50/5.25     -0.12/2.00    +0.69/-16.00

Thu 3:00    +0.06/13.25   +0.19/4.62     +0.50/2.00    -0.56/-16.06

Thu Open    +0.56/13.75   +0.31/4.75     +0.19/1.69    +0.00/-15.50

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

* Secured Overnight Financing Rate (SOFR): 2.44%, $943B

* Broad General Collateral Rate (BGCR): 2.43%, $390B

* Tri-Party General Collateral Rate (TGCR): 2.43%, $383B

PIPELINE: No new supply on day/week

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

31-Dec 1000 US TSY $39B 13W bill auction (912796RD3)

31-Dec 1000 US TSY $36B 26W bill auction (912796RW1)

31-Dec 1030 **  Dec Dallas Fed manufacturing index (17.6, --)

31-Dec 1130 US TSY $26B 52W bill auction (912796RT8)

31-Dec 1300 Markets close early (1315ET Globex close)

- 

01-Jan Markets closed for New Years

-

02-Jan 0855 **  29-Dec Redbook retail sales m/m

02-Jan 0945 *** Dec    Markit Mfg Index (final) (53.9, --)

02-Jan 1030 **  Jan    Dallas Fed services index (11.4, --)

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* +25,000 Red Sep'20 99/100 1x2 call spds, 3.0 net db

* 5,500 Blue Mar 66/Blue Jun 67 put spds, 1.5

* 5,500 Apr 77 calls, 1.25

Block, 1248:45ET -- adds to buyer at 1.0 yesterday

* +10,000 Green Mar 71/72/73 put trees, 1.5 net

----

* +40,000 Mar 70/71 put spds, 1.5 on day -- adds to some 40k bought Thu on

package w/Jan 70/71 put spds (3.75 total db)

* +20,000 Mar 71/72 put spds, 1.5

* 5,000 Dec 71/75 call spds, 16.5-17.0

* +10,000 Sep 73/75/76 call flys, 1.5

* -2,500 Blue Mar 68/71 put spds, 3.5

* Update, -10,000 short Mar 71/72 put spds, 3.5

* +5,000 short Feb/Blue Feb 76/78 call spds, 0.5/Feb over

* -5,000 short Mar 71/72 put spds, 3.5

* +3,500 Red Mar/Red Jun 68 put spds, 2.5, Jun'20 over

* 3,000 short Mar 70/71/72 put flys, 2.0

* +2,500 Mar 73/75 1x2 call spds, 0.5

* 2,500 Dec 68/71 2x1 put spds, 7.0

* Update, +10,000 short Feb 71/72 put spds, 3.0 vs. 97.41

* +10,000 short Feb 71/72 put spds, 3.0 vs. 97.41

Tsy options, Pit/screen:

* Update, +35,000 FVG 114.25/115.25 call spds, 22/64, just over 50k total on day

(20.5L)

* +2,500 wk1 TY 120.75/120/121.25 put  flys, 2/64

* 1,000 wk2 TY 121.25/TYG 121.5 straddle spds, 17/64

* +2,000 USH 151 calls, 23/64 on screen

* over +13,000 TYG 121/123 call spds, 40/64 vs. 121-17, still bid

* Note, Thu's +90,000 wk4 TY 115 puts at cab-3 opened new line

Earlier screen trade (pit still pretty quiet)

* scale seller over 40,000 TYG 122 calls from 21- to 19/64 (OI 73,467 coming

into session)

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

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