US TSYS: QUIET RISK-OFF RETURN, CHINA TRADE TALK VOL

US TSY SUMMARY: Quiet risk-off return from extended holiday weekend, Tsy surged

to new session highs early in second half after FT headline: U.S. TURNS DOWN

CHINA OFFER OF PREPARATORY TRADE TALKS. Equities hit the skids (SPX -52.5,

2619.0) erasing Fri's gains. Equities bounced on WH advisor headline: KUDLOW

SAYS REPORT THAT WHITE HOUSE CANCELED CHINA MTG NOT TRUE, bbg

- No react to limited data: Dec existing home sales -6.4% to 4.99 mln saar

(-10.3% y/y), well below expectations for 5.21 mln and the lowest since Nov 2015

(4.78m); upward revised 5.33m pace in Nov, however.

- Better buying across the curve, sporadic selling into strength, deal-tied

flow, mixed option flow.

- On tap for Wednesday: Redbook retail sales m/m, Nov FHFA Home Price Index and

Richmond Fed Manufacturing Index for January.

- Tsy cash/ylds: 2Y 99-26.75 (2.585%), 5Y 100-06.5 (2.577%), 10Y 103-08

(2.741%), 30Y 106-01 (3.063%).

US TSY FUTURES CLOSE: Generally quiet risk on all session, off midday highs

after the bell. Tsy yld curves update:

* 2s10s -1.124, 15.489 (14.980L/17.406H);

* 2s30s -0.142, 47.791 (46.464L/49.442H);

* 5s30s +1.209, 48.466 (46.049L/49.004H);

Current futures levels:

* Mar Ultra bonds up 1-3/32 at 159-18 (158-10L/159-30H)

* Mar 30-yr Bond futures up 25/32 at 145-10 (144-13L/145-17H)

* Mar 10-yr futures up 11.5/32 at 121-17 (121-05L/121-20H)

* Mar 5-yr futures up 7/32 at 114-08.75 (114-01.25L/114-10.5H)

* Mar 2-yr futures up 2.25/32 at 105-30.38 (105-28L/105-31H)

US EURODLR FUTURES CLOSE: Broadly higher by the bell, near top end of range,

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

* Mar'19 +0.005 at 97.310

* Jun'19 +0.020 at 97.275

* Sep'19 +0.040 at 97.285

* Dec'19 +0.050 at 97.265

* Red pack (Mar'19-Dec'20) +0.055-0.065

* Green pack (Mar'20-Dec'21) +0.060

* Blue pack (Mar'21-Dec'21) +0.065-0.060

* Gold pack (Mar'22-Dec'22) +0.060-0.050

US SWAPS: Spds inched tighter across the board, short end joining longer spds

amid modest deal-tied flow. Directional w/decline in Tsy ylds, rather decent

rate paying note in shorts to intermediates in second half. Earlier flow

included 2s5s10s receiver fly, modest rate paying in 10s. Latest spd levels:

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

Tue 3:00    -0.75/14.75   -0.12/8.38     -0.62/3.12    -0.94/-18.44

12:15       -0.38/15.12   +0.12/8.62     -0.38/3.38    -0.31/-17.81

11:00       +0.06/15.56   +0.31/8.81     -0.38/3.38    -0.31/-17.81

10:15       +0.12/15.62   +0.31/8.81     -0.31/3.44    -0.25/-17.75

Tue Open    +0.38/15.88   +0.25/8.75     -0.25/3.50    -0.25/-17.75

Fri 3:00    -0.69/15.69   -0.44/8.94     +0.06/3.38    +0.19/-18.44

US DOLLAR LIBOR: Latest settles,

* O/N at 2.3756%

* 1 Month +0.0067 to 2.5190% (+0.0130/wk)

* 3 Month +0.0068 to 2.7792% (+0.0176/wk)

* 6 Month -0.0012 to 2.8536% (+0.0017/wk)

* 1 Year -0.0028 to 3.0371% (+0.0070/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.42% vs. 2.41% prior, $974B

* Broad General Collateral Rate (BGCR): 2.37% vs. 2.37% prior, $455B

* Tri-Party General Collateral Rate (TGCR): 2.37% vs. 2.37% prior, $426B

PIPELINE: *** BoA, Liberty Property priced, waiting on JP Morgan, Penske 2-part

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

1/22 $2B #JP Morgan 8NC7 fix to FRN +132

1/22 $900M #Penske Leasing long 2Y +110a, 7Y +185a

1/22 $Benchmark ADB 5Y MS+10a

1/22 $500M *Bank of America WNG 4NC3 +78

1/22 $350M *Liberty Property 10Y +168

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

23-Jan 0700 18-Jan MBA Mortgage Applications (13.5%, --)

23-Jan 0855 19-Jan Redbook retail sales m/m (-1.7%, --)

23-Jan 0900 Nov FHFA Home Price Index (0.3%, --)

23-Jan 1000 Jan Richmond Fed Mfg Index (-8, --)

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* -5,000 short Apr 72/73/75/76 put condors, 3.5

* +4,000 short Feb 72 puts vs. -8,000 Mar 73 calls, 1.5 net debit/package

* -20,000 short Mar 71/73 2x1 put spds, 8.0

* -5,000 Green Feb 71/72 2x1 put spds, 0.5

* +10,000 Blue Feb 76 calls, 1.5

Earlier Dec vol buyer

* +2,000 Dec 73 straddles, 34.5

* +2,000 Dec 72 straddles, 35.0

* 7,000 Mar 80/81/82 2x1x1 put trees on screen

* +6,700 Green Mar 67/70/71 broken put flys, 0.5 net

* +3,000 Sep 77 calls, 2.0 vs. 97.265/0.10%

* +5,000 Sep 73 calls 8.5 vs. 97.285/0.10%

* +5,000 Jun 73 calls, 3.75 vs. 97.28/0.05%

* +5,000 Jun 75 calls, 2.0 vs. 97.275/0.05%

* -25,000 Dec 66/68/71 put flys, 4.5

* -5,000 Sep 71/73 and 71/75 strangle stupids, 25.0 total cr

* +5,000 Red Mar 70 puts at 9 vs 9730.5/0.24%

* +5,000 Short Jun/Short Sep 68/70/71/72 put condor strip at 5.25

* +7,500 Feb/Mar 72 put sprd at 1 vs 9729/0.10%

* +5,000 Dec 70/71 put sprd vs 78 calls at 1, bought the put sprd

Recapping overnight flow highlights

* total of +20,000 short Feb 71/72 put spds vs. short Mar 67 puts, blocked for

2.5 net debit

* +10,000 Jun 71/72 put spds .75 over the Jun 73 calls, blocked

* +14,000 Jun 68/70/71 put flys, 1.5

* +5,000 Mar 72/73 call spds, 5.5

* -8,500 Green Jun 75/78 2x3 call spds, 12.5

Tsy options, Pit/screen:

* +2,500 TYH 123/TYJ 123.5 call strip, 25/64 vs. 121-18/0.36%

* -2,700 TYH 125/127 call spds, 1/64

* -1,000 TYH 121.5 straddles, 1-3/64

* Total -6,000 FVG 114 puts from 3.5 to 2.5

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

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