US TSYS: FED BEIGE BOOK/GROWTH FLATLINED TWO DISTRICTS

US TSY SUMMARY: Rates trading weaker across the board, paring back moderate long

end rally in lead up to UK PM May confidence vote. Rates drifted back lower

after May won confidence vote by narrow margin (325 vs. 306), US$/GBP see-sawed

higher.

- 30Y bond bounced off lows around midmorning, drifted around top end of range

for much of session, move corresponded w/drop in US$/Yen and US$/GBP. Volumes

very light however -- TYH less than 1M by the close.

- On tap for Thursday: Weekly jobless claims (218k); Jan Philadelphia Fed

Manufacturing Index (9.0); Fed Brd of Govs' VC Quarles participates in insurance

industry forum.

- Two-way front to intermediate trade w/better selling partially related to

ongoing/decent corp and supra-sovereign issuance, prop selling long end late.

Rather decent two-way swap flow in 2s-5s, dearth of flow to explain 2.3bp bounce

off inverted low in long end.

- Tsy cash/ylds: 2Y 99-29 (2.547%), 5Y 100-11.25 (2.547%), 10Y 103-12 (2.729%),

30Y 105-24 (3.078%).

US TSY FUTURES CLOSE: Trading slightly lower in the middle of the range;

moderate volume (TYH 1.02M); Curves mixed; update:

* 2s10s +0.742, 17.983 (16.912L/19.345H);

* 2s30s -0.727, 52.810 (51.315L/55.733H);

* 5s30s -1.371, 52.919 (51.280L/55.211H);

Current futures levels:

* Mar Ultra bonds down 08/32 at 159-01 (158-09L/159-18H)

* Mar 30-yr Bond futures down 08/32 at 145-05 (144-24L/145-17H)

* Mar 10-yr futures down 07/32 at 121-22.5 (121-19.5L/121-30H)

* Mar 5-yr futures down 3.5/32 at 114-13.5 (114-11.25L/114-17H)

* Mar 2-yr futures down 1.125/32 at 106-0.375 (105-31.125L/106-1.5H)

EURODOLLAR FUTURES CLOSE: Weaker/off lows on mild volume. Current White

pack(Mar'19-Dec'19):

* Mar'19 -0.005 at 97.315

* Jun'19 -0.005 at 97.290

* Sep'19 -0.010 at 97.300

* Dec'19 -0.015 at 97.295

* Red pack (Mar'19-Dec'20) -0.025-0.020

* Green pack (Mar'20-Dec'21) -0.025-0.020

* Blue pack (Mar'21-Dec'21) -0.025-0.020

* Gold pack (Mar'22-Dec'22) -0.025-0.020

US SWAPS: Spds mostly wider by the bell, scaling back midday wides in long end

just as 30Y bonds move off midday support following UK PM May confidence vote

win. Flow remained largely two-way in short end, receivers in 5s and 10s,

2s5s10s receiver flys, deal-tied paying in 2s-10s. Interesting to see long end

lead current move but desks not seeing supporting flow for 2.38 move. Latest spd

levels:

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

Wed 3:00    +0.00/16.59   +0.25/9.31     +0.38/3.25    +1.00/-20.00

12:15       +0.16/16.75   +0.50/9.56     +0.75/3.62    +1.81/-19.19

Wed Open    +0.19/16.81   +0.25/9.31     -0.12/2.75    -0.56/-21.56

Wed 7:30    -0.12/16.50   +0.25/9.31     +0.19/3.06    -0.12/-21.12

US DOLLAR LIBOR: Latest settles,

* O/N -0.0019 to 2.3848% (-0.0045/wk)

* 1 Month +0.0057 to 2.5132% (+0.0043/wk)

* 3 Month +0.0069 to 2.7803% (-0.0070/wk)

* 6 Month +0.0158 to 2.8616% (-0.0030/wk)

* 1 Year +0.0217 to 3.0301% (+0.0114/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.46% vs. 2.40% prior, $991B

* Broad General Collateral Rate (BGCR): 2.41% vs. 2.38% prior, $470B

* Tri-Party General Collateral Rate (TGCR): 2.41% vs. 2.38% prior, $442B

US SWAPS: Spds mostly wider by the bell, scaling back midday wides in long end

just as 30Y bonds move off midday support following UK PM May confidence vote

win. Flow remained largely two-way in short end, receivers in 5s and 10s,

2s5s10s receiver flys, deal-tied paying in 2s-10s. Interesting to see long end

lead current move but desks not seeing supporting flow for 2.38 move. Latest spd

levels:

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

Wed 3:00    +0.00/16.59   +0.25/9.31     +0.38/3.25    +1.00/-20.00

12:15       +0.16/16.75   +0.50/9.56     +0.75/3.62    +1.81/-19.19

Wed Open    +0.19/16.81   +0.25/9.31     -0.12/2.75    -0.56/-21.56

Wed 7:30    -0.12/16.50   +0.25/9.31     +0.19/3.06    -0.12/-21.12

PIPELINE: *** $5.5B Wells Fargo 2-part and $2B Mexico 10Y launched

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

1/16 $5.5B #Wells Fargo, $3B 5Y +125, $2.5B 10Y +145

1/16 $2B #Mexico 10Y +185

1/16 $300M #Mitsui Fudosan 10Y +125

1/16 $1.25B *State Bnk of India, $400M 3Y +157.5, $850M 5Y +185

1/16 $500M JP Morgan $25Par perp/6.125%a

1/16 $Benchmark Government of Canada 3Y +12a

1/16 $Benchmark Dexia Credit Local 3Y MS +25a

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

17-Jan 0830 12-Jan jobless claims (216k, 218k)

17-Jan 0830 Jan Philadelphia Fed Mfg Index (9.1, 9.0)

17-Jan 1030 11-Jan natural gas stocks w/w

17-Jan 1045 Fed Brd of Govs' VC Quarles, insurance industry forum, NY

17-Jan 1300 US Tsys $13B 10Y TIPS auction (9128285W6)

17-Jan 1630 16-Jan Fed weekly securities holdings

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* -20,000 Jun 72/73 call spds, 5.0

* +10,000 Sep 71 puts, 6.0

* -10,000 Red Mar 73 puts, 24.0 

* -10,000 Red Jun 67/70 put spds, 5.5

* -5,000 Dec 72/73 strangles 28.0 over Red Mar 66 puts

* -6,000 long Green Mar 80 calls, 22.5

* +3,000 long Blue Sep 60 puts, 15.0

* +2,500 Blue Feb 72/73 put spds, 3.5

* +2,000 EDH0/EDM0 73 straddle strip, 101.5

* -20,000 Red Jun 67/70 put sprd at 5.5

block, 10:25:48ET-10:27:19ET,

* 37,500 Short Mar 71 puts at 2.5

* 27,045 Short Mar 68 puts at 1

block, 10:25:12ET,

* 12,000 Short Mar 73 puts at 11.5

block, 10:24:31ET,

* +10,500 Short Mar 72 calls at 16 vs 9736/0.59%

block, 10:24:15ET,

* +13,315 Short Mar 68 calls at 49 vs 9736/0.90%

block, 09:46:25ET-09:51:00ET,

* Total -40,000 Jun 73/75 call sprd at 1.75

* +10,000 Short May 71/75 call over risk reversal at 6.5 vs 9739.5/0.60%

* -10,000 Apr 72/73 call spds 4.75 vs. 97.285/0.32%

* -10,000 Red Mar 66 puts 28.0 over Dec 72/73 strangles

* +2,000 Jun 73/75 1x2 call spds, cab/cr

* +5,000 short Feb 72 puts, 1.75 over Mar 73 calls

block, 08:31:42ET,

* 20,000 Short Jun 80/85 call sprd at 2.5

Block, 0749:53ET

* +18,000 short Feb 76 calls, 1.5 vs. 97.38/0.10%

Block: 

* -15,000 short Mar 71 calls 24.0

Tsy options, Pit/screen:

* +6,500 USH 126 calls, 2/64

* -3,500 USJ 139/144 put spds 36/64 over the USJ 148 calls vs. 144-20/0.52%

* +3,300 USH 141 calls, 4-28/64 vs. 145-10/0.91%

* 1,200 TYG 122/122.5 1x2 call spds, 2/64

* 2,500 TYJ 123/125/127 call flys, 14/64 vs. 121-22.5

* 1,000 USJ 140/143 put spds 23/64 over the Apr 149 calls

Earlier flow includes

* +1,000 FVG 114.5/114.75/115 call trees, 2.5/64

* +2,500 TYG 125/125.25 calls, cab-7

* 1,000 TYH 122 calls, 28/64 vs. 121-24

* Total -10,000 TYG 123 calls at 2

Recap of Tue's large screen flow and changes to open interest

* +42,000 FVH9 112.75 puts at 1,

* over -60,000 FVG 114.5/115.5 call spds most at 13/64 (13.5-11 range)

* -46,000 FVG 114/115 call spds 31.5 to 31/64

* -65,000 TYG 122/123 call spds, mostly 15/64

* over -28,000 TYG 121.5/123.5 call spds, 30- 31/64

* -25,000 TYG 122/123.5 call spds, 19/64

Total volume, change in OI:

TYG 122c   122,118, OI  -2,462

TYG 123c    86,233, OI -32,847

TYG 123.5c 108,594, OI -63,364

FVG 114c    50,858, OI +46,189

FVG 114.5c  69,713, OI -26,749

FVG 115c    57,435, OI +38,740

FVG 115.5c  63,194, OI -52,280

FVH 112.75p 44,427, OI +32,346

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

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