US TSYS: NASCENT RISK-ON, DOVISH FED, US PRES STUMPS BORDER

US TSY SUMMARY: Tsys trading weaker, at/near late session lows, yield curves

steeper/near top end of range (5s30s +3.938, 49.315), decent futures volume

(TYH>1.2M). Equities firmer (SPX +10.0 at 2592.5) -- gained on dovish Fed speak,

US$ index firmer (DXY +.346 at 95.565).

- Limited data due to US Gov shutdown (wkly claims -17k to 216k vs. 220k exp),

but no less than six Fed speakers highlighted by Fed Chair Powell underscoring a

balanced/dovish stance, reiterating "patience" to watch risks play out, data not

showing "indication of slowdown" however.

- Long end sold off/extended session lows after US Tsy $16B 30Y bond auction

(912810E9) tailed, awarded 3.035% rate (3.165% previous; 3.418 in November) vs.

3.020% WI; 2.19 bid/cover (2.31 previous), but strong directs at 15.95% vs.

11.53% prior (12.69% avg). 

First half carry-over bid in rates evaporated as dovish Fed speak got underway,

risk-on tone w/equitys bouncing/trading higher (STL FED BULLARD: FOMC SHOULD

MODERATE RATE HIKE CAMPAIGN). Tsy cash/ylds: 2Y 99-28 (2.563%), 5Y 100-09.5

(2.559%), 10Y 103-11.5 (2.731%), 30Y 106-07.5 (3.054%)

US TSY FUTURES CLOSE: Trading mostly lower, short end outperforming; strong

volume (TYH 1.22M); Curves steeper; update:

* 2s10s +0.923, 16.432 (15.235L/17.157H);

* 2s30s +3.633, 48.432 (45.232L/49.279H);

* 5s30s +3.659, 49.036 (45.681L/49.638H);

Current futures levels:

* Mar Ultra bonds down 22/32 at 159-25 (159-18L/161-19H)

* Mar 30-yr Bond futures down 09/32 at 145-09 (145-05L/146-10H)

* Mar 10-yr futures down 0.5/32 at 121-22.5 (121-21.5L/122-3.5H)

* Mar 5-yr futures up 0.25/32 at 114-12.5 (114-11.5L/114-20.75H)

* Mar 2-yr futures EVEN 00/32 at 105-31.75 (105-31L/106-3.25H)

US EURODLR FUTURES CLOSE: Trading slightly lower near the bottom of the range;

moderate volume. Current White pack(Mar'19-Dec'19):

* Mar'19 -0.005 at 97.290

* Jun'19 -0.010 at 97.270

* Sep'19 -0.010 at 97.290

* Dec'19 -0.010 at 97.295

* Red pack (Mar'19-Dec'20) -0.010-0.005

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

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

* Gold pack (Mar'22-Dec'22) -0.015-0.005

US DOLLAR LIBOR: Latest settles,

* O/N +0.0033 to 2.3941% (+0.0001 wk)

* 1 Month -0.0046 to 2.5142% (-0.0063 wk)

* 3 Month -0.0020 to 2.7969% (-0.0070 wk)

* 6 Month -0.0094 to 2.8604% (+0.0046 wk)

* 1 Year -0.0200 to 3.0190% (+0.0541 wk)

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

* Secured Overnight Financing Rate (SOFR): 2.45% vs. 2.42% prior, $1.032T

* Broad General Collateral Rate (BGCR): 2.44% vs. 2.40% prior, $457B

* Tri-Party General Collateral Rate (TGCR): 2.44% vs. 2.40% prior, $435B

US SWAPS: Spds tighter after the bell, spd curve steepened w/long end leading

way into Tsy bond auction. Mixed front end flow in first half: 1s around

2.771-2.7691%, 5s around 2.61384-2.61484%, payer in 3s at 2.63638%, payers in 5s

earlier, better receiving reported in 10s. Latest spd levels:

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

Thu 3:00    -0.56/14.56   +0.31/8.31     -0.31/2.50    -1.69/-18.44

10:30       +0.12/15.25   -0.12/7.88     -0.50/2.31    -1.38/-18.12

9:15        +0.12/15.25   -0.12/7.88     -0.50/2.31    -1.38/-18.12

Thu Open    +0.50/15.62   +0.12/8.12     -0.56/2.25    -1.31/-18.06

Thu 7:30    +0.44/15.56   +0.06/8.06     -0.31/2.50    -0.56/-17.31

PIPELINE: *** LAUNCH: $15.5b #Anheuser-Buschin in 6-parts

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

1/10  $15.5b #Anheuser-Busch $2.5b 6Y +165, $4.25b 10Y +205, $750m 12Y +220, $2b

20Y +240, $4b 30Y +250, $2b 40Y +275

1/10  $1.6b #American Honda Finance $500m 2Y +62, $400m 2Y FRN 3mL +47, $700m 5Y

+100

1/10  $700m #CenterPoint Energy Houston Electric LLC WNG 30Y +122

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

11-Jan 0830 Dec CPI (0.0%, -0.2%)

11-Jan 0830 Dec CPI Ex Food and Energy (0.2%, 0.2%)

11-Jan 1100 Q1 St. Louis Fed Real GDP Nowcast (2.60%, --)

11-Jan 1115 Q1 NY Fed GDP Nowcast (2.49%, --)

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* +10,000 Dec 77 calls at 6

* 4,000 Red Jun 71/77 strangle at 30.5

block, 12:28:41ET,

* 10,000 Dec 68/70/71 put fly at 1.5 vs 9730.5/0.02%

block, 12:28:38ET,

* 10,000 Dec 70/71 put sprd at 4 vs 9730.5/0.10%

* +5,000 Dec 63/65/67 broken put tree at 1 vs 29/0.10%

* total 10,000 Mar 72 puts 1.25 over the Mar 73/75 1x2 call spds

* 3,000 Dec 72 calls, 22.5 vs. 97.335/0.57%

* +10,000 short Mar 80 calls, 1.0 vs. 97.475/0.05%

* -5,000 Mar 73 calls, 1.5 vs. 97.305/0.24%

* +2,000 short Dec 70/80 call over risk reversals, 3.0

* 7,750 Short Mar 66/68 2x1 put sprd at 0.5 vs 9734.5/0.05%

* 5,000 Short Jun 71/78 call over risk reversal at 2.5 vs 9750/0.40%

* +2,500 Apr 71 puts at 1.25

* +10,000 Short Jun 68/70/71 put strip at 10.5 vs 9744.5/0.47%

* -5,000 Feb 72 Straddle at 6.5 vs 9729.5/0.50%

* -3,000 Feb 71/72 1x2 call sprd at 6

* +3,000 Blue Mar 75 straddles, 23.5

* +1,000 Green Feb 75 straddles, 18.5

* +1,000 Green Jun 75 straddles, 38.5

* +1,000 short Mar 73 straddles, 21.5

* -10,000 Sep 68/Short Sep 67 put spd at 1.0/EOU over

* +4,000 May 72/73 1x2 call sprd at 1.5

* -3,000 Long Green Dec 62/72 put sprd at 28.5 vs 9747/0.24%

* +4,000 Green Feb 71/72 put sprds, 0.5

Highlight O/N screen trade

* +7,500 short Mar 75 calls, 7.5, total volume 32.1k part due to call condor

below

* 5,000 short Mar 72/73/75/78 call condors, 1.5

* 2,500 Mar 72 straddles, 8.5

* +2,500 Sep 75 calls, 7.0

* 5,250 Green Mar 71/72 put spds, 1.5

* 5,000 Dec 65/66/67/68 put condors, 1.0

Tsy options, Pit/screen:

* 2,700 wk2 TY 121.5/122 2x1 put spds, 14/64

* +2,700 TYH 126/129 1x2 call spds, even net (large screen earlier TYH >16k

125/127 1x2 call spds, even)

* +1,000 TYJ 125.5/129 1x3 call spds, even net

* -1,000 USH 146 straddles, 2-53/64

* buy over 20,000 TYH 125/127 1x2 call spds, even net

* -2,700 TYH 123.5 calls, 11/64 vs. 121-28

* -1,500 TYG 121.5 puts, 14/64

* -1,000 TYG 123 calls, 5/64

Overnight trade includes

* +2,000 FVH 114 puts, 12/64

* 9,900 TYH 122.5 calls, 27/64

* 3,500 TYG 121/121.5/122 put flys, 6

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

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