US TSYS: NFP IMPORTANCE LIMITED IN CURRENT ENVIRONMENT

US TSY SUMMARY: Subdued end to a very hectic week where carry-over Mideast

geopol risk put a damper on more prosaic items such as Fed speakers and headline

data like Dec NFP. Rates surged after weaker than expected Dec employ numbers

(145k vs. 165k est; AHE 2.9% (Forecast 3.1%, Previous 3.1%), Mfg Payrolls Actual

-12k (Forecast 5k, Previous 54k ,Revision 58k).

- Support evaporated for a period, various desk opinions on reversal in Tsys:

Some profit taking from bond auction; Realization NFP doesn't matter much right

now; Preemptive corp rate locks ahead next week's supply. Another desk added:

USD "bid is incentive for selling unhedged FRM longs. But given perception as

mystery, needs a reason or people will fade dip as much as did rally."

- Tsys bounced off lows to extend session highs into midday, some citing

additional risk-off buying on recent Russian navy "aggressive" moves toward US

vessels headlines (incident most likely old), otherwise continued haven buying

into weekend. Yld curves near lows. The 2-Yr yield is down 0.8bps at 1.5702%,

5-Yr is down 1.8bps at 1.6348%, 10-Yr is down 3.1bps at 1.8231%, and 30-Yr is

down 4.8bps at 2.2814%.

TECHNICALS: 

US 10YR FUTURE TECHS: (H0) Likely To Stay On The Defensive  

*RES 4: 130-28+ High Oct 11

*RES 3: 130-17+ High Nov 1   

*RES 2: 130-06   High Jan 8 and a key resistance 

*RES 1: 129-05   Post Payrolls High

*PRICE: 129-04 @ 16:19 GMT, Jan 10

*SUP 1: 129-04+ Low Jan 7

*SUP 2: 128-20   Low Jan 3

*SUP 3: 127-29   Low Dec 13 and bear trigger

*SUP 4: 130-28+ High Oct 11 

10yr futures have settled Friday following extremely choppy price action

Wednesday. The sell-off Wednesday places on hold a recent bullish focus. Price

failed to remain and close above resistance at 129-21, Jan 6 high and the 

50-day EMA, an indicator used as a reliable trend signal. Further weakness would

open 128-05, Dec 30 and Jan 2 low where a break would expose 127-29, Dec 13 low

and key support. Resistance is 129-02. 

     JGB TECHS: (H0): New Highs Short lived

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

*RES 2: 153.11 - High Dec 4

*RES 1: 152.62 - High Jan 6

*PRICE: 152.09 @ 15:58 GMT, Jan 10

*SUP 1: 151.62 - Contract lows, Dec 20

*SUP 2: 151.11 - 76.4% retracement of August 2018 - September 2019 Rally

*SUP 3: 150.54 - 1.0% lower 10-dma envelope

JGBs pressured the lower end of the 2020 range Wednesday after an opening gap

higher was quickly reversed into the close. This leaves the outlook rather weak,

highlighting support at 151.62. A break of which could open 151.48 and 151.18,

the 0.764 and 1.00 Fibonacci projection levels of the decline between Dec 4 -

Dec 10 from the Dec 11 high. This all comes ahead of the 151.11 Fibonacci

retracement.

TSY FUTURES CLOSE: Running higher by the bell, trading sideway near top end of

range since midday, yld curves flatter. Update:

* 3M10Y  -2.869, 28.484 (L: 27.099 / H: 32.594)

* 2Y10Y  -1.909, 25.292 (L: 24.795 / H: 28.024)

* 2Y30Y  -3.593, 71.127 (L: 70.853 / H: 75.26)

* 5Y30Y  -3.007, 64.498 (L: 64.242 / H: 68.123); Current futures levels:

* Mar 2-Yr futures up 0.25/32 at 107-23.625 (L: 107-22.375 / H: 107-24.625)

* Mar 5-Yr futures up 2.5/32 at 118-26.25 (L: 118-21 / H: 118-28.25)

* Mar 10-Yr futures up 5.5/32 at 129-2 (L: 128-24.5 / H: 129-05.5)

* Mar 30-Yr futures up 26/32 at 157-20 (L: 156-20 / H: 157-26)

* Mar Ultra futures up 1-20/32 at 184-23 (L: 182-23 / H: 184-27)

US EURODLR FUTURES CLOSE: Mostly higher after the bell, at/near session highs,

short end underperforming. Current White pack (Mar'20-Dec'20):

* Mar 20 steady at 98.275

* Jun 20 steady at 98.340

* Sep 20 +0.005 at 98.410

* Dec 20 +0.005 at 98.420

* Red Pack (Mar 21-Dec 21) +0.005 to +0.015

* Green Pack (Mar 22-Dec 22) +0.020 to +0.025

* Blue Pack (Mar 23-Dec 23) +0.025 to +0.030

* Gold Pack (Mar 24-Dec 24) +0.035

US DOLLAR LIBOR: Latest settles

* O/N +0.0061 at 1.5331% (-0.0036/week)

* 1 Month -0.0070 to 1.6766% (-0.0376/wk)

* 3 Month -0.0101 to 1.8377% (-0.0361/wk)

* 6 Month -0.0075 to 1.8721% (-0.0206/wk)

* 1 Year -0.0021 to 1.9667% (+0.0025/wk)

US SWAPS: Spds holding mildly wider/narrow range for the most part, long end

breaking out during second half. Ongoing receivers in short end helping keep

spds in-line, 2s5s10s receiver fly also noted. Earlier two-way tending toward

better receiving in 2s from 1.6490%-1.6378%, receivers in 5s (1.6425%) and 10s

(1.8055%) over the last hour in addition to 5s7s10s payer fly. Current levels:

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

1415        +0.25/+6.31    +0.19/-0.31   +0.31/-5.38    +0.88/-32.62

1230        +0.19/+6.25    +0.19/-0.31   +0.19/-5.50    +0.75/-32.75

1015        +0.19/+6.25    +0.19/-0.31   +0.25/-5.44    +0.38/-33.12

Fri Open    +0.44/+6.50    +0.06/-0.44   +0.06/-5.62    -0.25/-33.75

Thu 1500    +0.65/+6.56    -0.50/-0.62   +0.00/-5.75    +0.69/-33.81

Thu Open    +0.22/+6.12    -0.38/-0.50   -0.38/-6.12    -0.38/-34.88

Wed 1500    -0.44/+6.50    -0.06/-0.12   -0.06/-5.56    -0.12/-34.38

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $81B

* Daily Overnight Bank Funding Rate: 1.54%, volume: $192B

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

* Secured Overnight Financing Rate (SOFR): 1.55%, $1.011T

* Broad General Collateral Rate (BGCR): 1.52%, $387B

* Tri-Party General Collateral Rate (TGCR): 1.52%, $361B

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

13-Jan 1100 Boston Fed Rosengren, eco outlook, Q&A

13-Jan 1100 Jan NY Fed expectations survey

13-Jan 1130 US TSY $42B 13W Bill (912796TR0) auction

13-Jan 1130 US TSY $36B 26W Bill (912796SZ3) auction

13-Jan 1240 Atl Fed Bostic, eco outlook, mon-pol, Q&A

PIPELINE: Taking a breather after $74.075B priced on week

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

01/10 No new issuance Friday

-

$14.525M priced Thursday; $74.075B for week

01/09 $3B *IADB 5Y +9

01/09 $3B *Nomura $1.5B each 5Y +100, 10Y +125

01/09 $2.25B *WestPac Banking $750M each 3Y +42, 3Y FRN L+39, 10Y +80

01/09 $2B *Caterpillar $750M 2Y FRN L+20, $750M 3Y +37, $500M 5Y tap +45

01/09 $1.75B *Avalon Holdings $1.1B 5Y +125, $650M 7Y +150

01/09 $1B *National Bank of Canada 3Y +53

01/09 $550M *MassMutual 7Y +62

01/09 $350M *PTT Exploration (PTTEP) 10Y +110

01/09 $625M *Athene Global Funding 5Y +90

Eurodollar/Tsy options 

Reminder, January Eurodollar serial options expire Friday (lead serial options

expire Mon morning at 6:00 am ET while Red through Purple midcurves expire at

5:00 pm ET Fri). Preliminary OI coming into session according to CME Group Data

below: 

-- Jan serial OI: 1,110,675 (754,851 calls, 355,824 puts);

-- Jan 1yr midcurve (Red) OI: 791,555 (412,822 calls, 378,733 puts);

-- Jan 2yr midcurve (Green) OI: 313,247 (158,391 calls, 154,856 puts);

-- Jan 3yr midcurve (Blue) OI: 149,576 (99,472 calls, 50,104 puts);

-- Jan 4yr midcurve (Gold) OI: 33 (33 calls, 0 puts);

A scant total of 2,365,086 options (1,254,411 midcurves) coming off the sheets

compared to prior December quarterly expiration where a whopping total of

17,188,942 options expired.

Eurodollar options:

* -6,000 short Dec 92/95 call spds, 2.0

* -4,000 short Dec 92/95 call spds 1.0 over short Mar 87/90/92 call flys

* 7,500 Dec 81/82 put spds vs. Dec 95/97 call spds on 1x2 basis, 0.0 net vs.

98.43

* -5,000 Mar 83 calls, 1.75

* +5,000 Green Feb 86/88 1x2 call spds, 1.5

* +15,000 Dec 77 puts, 1.0

* +5,000 Mar 82 puts, 2.25

* +8,000 short Mar 83/85/86 call flys, 3.0 and again:

* +3,000 short Feb 83/85/86 call flys vs. 6,000 more short Mar 83/85/86 calls

flys

* -5,000 Red Mar 85/87/88 call flys, 2.0 vs. 98.485/0.10%

* +10,000 Green Jun 82 puts, 9.0 vs. 98.425/0.32%

* 3,500 Jun 82/83 3x2 put spds, 15.5

* 7,000 Sep 82/83 put spds, 7.5

* -7,000 Green Mar 82 puts, 3.5 vs. 98.435-.44

* +5,000 Jun 82/83 put spds vs. short Jun 83 puts, 1.0 net flattener

* >-5,000 Jun 82/83 strangles, 8.5 adding to post-data implosion of implieds

Pre-data trade

* +10,000 Apr/Jun 82 straddle spds, 2.25

* 5,000 Jun 82/83 2x1 put spds 1.25 over Apr 83 calls

Limited overnight trade

* 1,600 Mar, Jun and Sep 81/82/83 put flys

* seller Jun 82 straddles 13.0

* +2,500 short Apr 87/90 call spds, 2.5

Tsy options:

* +5,000 TYG 127.5 puts, 1/64 small offer remains

pick-up in midday volume, implieds stable near lows

* +4,000 TYH 128.5/129.5 strangles, 54/64

* 1,500 TYG 129.25/129.75 1x2 call spds, 1/64

* 2,000 wk2 TY 129/129.25 call strips, 10/64

selling into current strength in underlying

* -2,000 USG 157/159 call spds, 56/64

* >-15,000 TYG 129/130 call spds on screen, 21- to 20/64

* +3,000 TYH 130 calls, 19/64

* +4,000 TYH 131 calls, 8/64 vs. 129-00.5

* -4,000 FVH 117.75/120 strangles, 7.5/64

* -2,400 TYH 128.5/129.5 strangles, 54/64 ongoing sale

* +2,000 TYG 129 straddles, 45/64 after prior sales at 44/64

* buyer TYH 129 calls, 40/64

* +7,000 TYG 125 calls, 9/64 vs. 128-25/0.25%

* +1,400 TYH 132 calls, 3/64 vs. 128-25.5

* -3,000 TYG 129 straddles, 44/64 on screen still bid

* -2,000 TYG 129.5 calls, 10/64

* -10,000 TYH 131/133 call spds 6/64 pit/screen

overnight trade, Blocks

* Block, -40,000 TYG 127 puts, 1/64

* Block, -10,000 TYG 127.5 puts, 1/64

* Block, +25,000 TYH 127.5 puts, 13/64

* 14,000 TYG 128 puts, 5/64

* +20,000 wk2 TY 128.5 puts, 3/64

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

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