US TSYS: FI SURGE AFTER US$/YEN DROP, ISM MISS AHEAD FRI'S NFP

US TSY SUMMARY: Rates hold at/near top end broad range after blowing past early

overnight highs after ISM failed to meet exps by a large margin (54.1 vs. 57.8).

Heavy volume (TYH>2.27M) as ylds recede (10Y 2.559%), yld curves steeper but off

highs.

- Early kick-off, Tsys gapped higher in react to "flash-crash" in US$/Yen to

104.87 late Wed after trading above 109.0 most of day (107.88 at moment). Drop

in equities (esp AAPL) added to risk-off tone, SPX -55.0 at 2456.0 late.

- Tsys had pared gains this morning after ADP figure came out strong (+271K),

but Nov down revision to 157k vs. 179k. Drawdown in inflation expectations

spurred heavy buying in Eurodollar futures.

- Fast$, props faded the post ADP move, buying dip in 5s-10s prior to ISM move,

real$, bank portfolio and levered acct buying across curve following ISM miss,

decent swap-tied buying in shorts to intermediates vs. deal-tied hedging as corp

issuance returned. 

- Tsy cash/ylds: 2Y 100-06.5 (2.393%), 5Y 101-05.75 (2.371%), 10Y 104-28.5

(2.559%), 30Y 109-10.5 (2.905%)

US TSY FUTURES CLOSE: Tsys sharply higher/near top end wide range, strong

risk-off tone underscored as equities remain under heavy pressure. Tsy yld

curves rebound/bull steepen, update:

* 2s10s +1.506, 16.383 (12.925L/17.223H);

* 2s30s +3.609, 51.623 (44.804L/52.485H);

* 5s30s +4.504, 53.743 (47.214L/54.350H);

Current futures levels:

* Mar Ultra bonds up 2-13/32 at 164-02 (161-27L/164-06H)

* Mar 30-yr Bond futures up 1-30/32 at 148-22 (146-29L/148-25H)

* Mar 10-yr futures up 1-01/32 at 123-07 (122-07L/123-08H)

* Mar 5-yr futures up 21.25/32 at 115-11.25 (114-22.75L/115-12H)

* Mar 2-yr futures up 8.25/32 at 106-12.25 (106-03.75L/106-13H)

US EURODLR FUTURES CLOSE: Trades sharply higher across the strip by the bell,

late session highs, EDH9/EDH0 extends inversion (-0.180). Current White pack

(Mar'19-Dec'19):

* Mar'19 +0.045 at 97.330

* Jun'19 +0.100 at 97.400

* Sep'19 +0.150 at 97.470

* Dec'19 +0.175 at 97.505

* Red pack (Mar'19-Dec'20) +0.205-0.205

* Green pack (Mar'20-Dec'21) +0.200-0.180

* Blue pack (Mar'21-Dec'21) +0.175-0.160

* Gold pack (Mar'22-Dec'22) +0.155-0.145

US DOLLAR LIBOR: Latest settles,

* O/N +0.0052 to 2.3919% (-0.0005/wk)

* 1 Month +0.0056 to 2.5127% (-0.0072/wk)

* 3 Month +0.0011 to 2.7950% (-0.0020/wk)

* 6 Month -0.0150 to 2.8589% (-0.0142/wk)

* 1 Year +0.0030 to 3.0050% (-0.0081/wk)

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

* Secured Overnight Financing Rate (SOFR): 3.15% vs. 3.00% prior, $1092B

* Broad General Collateral Rate (BGCR): 3.10% vs. 2.95% prior, $452B

* Tri-Party General Collateral Rate (TGCR): 3.10% vs. 2.95% prior, $419B

US SWAPS: Spds tighter across the curve, short end leading move late. Decent

rate and spd receiving in 2s around 2.5739-2.5862%, two-way in 3s and 5s,

receiver in 10s at 2.5987%; mixed flys on decent volume 3s4s5s payer, 2s7s10s

receiver fly. Return of swappable supply for first time in 3 weeks contributes

to narrowing. Latest spd levels:

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

Thu 3:00    -2.25/15.12   -1.44/6.00     -1.31/1.75    -0.69/-17.75

1:45        -2.06/15.31   -1.44/6.00     -1.31/1.75    -0.81/-17.88

11:30       -2.00/15.38   -0.62/6.81     -0.56/2.50    -1.19/-18.25

10:30       -1.00/16.38   +0.06/7.50     +0.06/3.12    -0.12/-17.19

8:45        -0.31/17.06   +0.44/7.88     +0.62/3.69    +0.62/-16.44

Thu Open    -0.75/16.62   -0.06/7.38     -0.06/3.00    -0.19/-17.25

Wed 3:00    +0.50/17.00   +0.50/7.25     +0.25/3.00    +0.81/-16.94

PIPELINE: $6.65b LAUNCHED TODAY IN CORPORATE SUPPLY

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

1/03  $2.6b #BNP Paribas $1.7b 6NC5 FXD-FRN +235, $900m 11NC10 FXD-FRN +265

1/03  $2b #Toyota Motor $700m 2Y +70, $300m 2Y FRN at 3mL +54,

      $500m 5Y +100, $500m 10Y +115

1/03  $1.25b #Berkshire Hathaway Finance 30Y +140

1/03  $800m #Duke Energy Ohio $400m 10Y +110, $400m 30Y +140

1/03  $Benchmark Ford Motor in 4-Parts, 2Y +270a, 2Y FRN L equiv,

      3Y +325a, 3Y FRN L equiv

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

04-Jan 0830 Dec nonfarm payrolls (155k, 180k)

04-Jan 0830 Dec private payrolls (161k, 175k)

04-Jan 0830 Dec unemployment rate (3.7%, 3.7%)

04-Jan 0830 Dec average hourly earnings (0.2%, 0.3%)

04-Jan 0830 Dec average workweek, all workers (34.4, 34.5hrs)

04-Jan 0945 Dec Markit Services Index (final) (53.4, --)

04-Jan 1015 Atl Fed Pres Bostic, macroecon performance, Atl, GA, audience Q&A.

04-Jan 1015 Fed Chair Powell, re mon/pol & CBs, Am Econ Assn, w/former chairs

Yellen & Bernanke, Atl, GA

04-Jan 1030 28-Dec natural gas stocks w/w

04-Jan 1100 28-Dec crude oil stocks ex. SPR w/w

04-Jan 1100 Q1 St. Louis Fed Real GDP Nowcast

04-Jan 1115 Q1 NY Fed GDP Nowcast

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

block, 14:02:49ET,

* 10,000 Short Mar 75/76 call sprd at 4 over the 72 puts

* 5,000 Blue Sep 71/81 calls over risk reversal at 4 vs 9763/0.40%

* 5,000 Sep 72/75 1x2 call sprd at 0

* 10,000 Mar 75/76 1x2 call sprd at 0.5

block, 11:23-1207ET

* 20,000 Mar 73/76 call sprd at 3.5 over the 40,000 Mar 68 puts

block, 10:49-1059ET,

* total 38,750 Short Mar 73/75 calls sprd at 4.5 over the 72 puts

* 5,000 Green Mar 70 puts at 1 vs 9757.5/0.05%

* 10,000 Short Mar 73 Straddle at 26.5

* 20,000 Short Mar 72/73/75/76 call condor at 4 vs 9745.5/0.10%

* 4,000 Red Mar 68/70 put sprd at 3 vs 9739.5/0.05%

* 3,000 Red Mar 67/70 put sprd at 4.5 vs 9745.5/0.08%

* 7,000 Jun 68 puts at 0.75 vs 9729/0.05%

* 5,000 Apr 71/75 put sprd at 20.5

* 3,000 Mar 72 calls at 8 vs 9729/0.60%

* 5,000 Blue Dec 90 calls at 3 vs 9746.5/0.05%

Block, 0243ET

* +6,825 Green Mar 75/76 call spds 4.5 over Green Mar 72 puts

Tsy options, Pit/screen:

synthetic 5s10s flattener

* -4,000 FVH 115.25 calls, 25.5/64 vs.

* +8,000 TYH 125 calls, 13/64

* 1,500 TYG 120/TYH 120.5 1x2 put spds, 2/64 net

* 1,400 TYH 123.5 straddles, 1-32/64

* 2,000 USG 144/144.5 put spds, 3/64

* 2,000 TYH 119/120/121 put flys, 3/64

* 1,250 TYG 120.5/121.5 2x1 put spds, 5/64 earlier

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

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