US TSYS: RISK ON AFTER SOLID RETAIL SALES, USMCA PASSES SENATE

US TSY SUMMARY: Tsys reversed early gains following better than expected Dec

retail sales data, rates finishing on an inside session range on decent two-way

flow and corporate issuance hedging with another $21B on the day helping create

some second half chop. Other items of note: USMCA trade deal passed Senate in

89-10 vote, while the BLS and Commerce dept anncd the elimination of computers

from data lock-ups as of March 1.

- Futures blew past overnight lows post data, w/equities grinding to new highs

through the day. Yld curves rebound steeper (3M/10Y +3.382 at 25.443). Sources

reported better fast and real$ selling on move, prop buying intermediates more

recently. second round of duration selling around midday as Yen moved higher.

- Large 2s5s steepener block: +16,379 TUH 107-23.25, through 107-23-38 post-time

bid; -13,289 FVH 118-27.25, through 118-28.25 post-time bid and session low of

118-28. Swap spds held modestly tighter amid better receiving in 2s-3s last few

hours, 2-way in 5s, payer in 7s and 10s, 3s4s5s receiver fly, deal-tied hedging

in the mix. The 2-Yr yield is up 0.8bps at 1.5617%, 5-Yr is up 2.1bps at

1.6198%, 10-Yr is up 2.1bps at 1.8039%, and 30-Yr is up 1.8bps at 2.2536%.

TECHNICALS: 

US 10YR FUTURE TECHS: (H0) Pressured into the Close 

*RES 4: 130-17+ High Nov 1

*RES 3: 130-06   High Jan 8 and a key resistance 

*RES 2: 129-25+ 76.4% retracement of the Jan 8 - Jan 9 decline

*RES 1: 129-18   61.8% retracement of the Jan 8 - Jan 9 decline

*PRICE: 129-03+ @ 16:33 GMT, Jan 16

*SUP 1: 129-02+   Low Jan 16

*SUP 2: 128-25   Low Jan 14

*SUP 3: 128-17+ Low Jan 97

*SUP 4: 128-05   Low Dec 30 and Low Jan 2 

10yr futures gave up early strength to return lower into the close Thursday,

with the Wednesday low giving way with little protest. This puts an end to the

past 5-day recovery and any hopes of a near-term stronger bull run. This keeps

the focus on the sharp sell-off from Jan 8, which still hangs over sentiment.

128-25 becomes the next support. To the upside, a break of 129-18 would signal a

stronger bullish outlook and open 130-06, Jan 8 high and key resistance.

AUSSIE 10-YR TECHS: (H0) Top is in?

*RES 3: 98.8950 - High Dec 10 and 11

*RES 2: 98.8854 - 100-DMA

*RES 1: 98.8600 - High Jan 8

*PRICE: 98.8100 @ 16:25 GMT, Jan 16

*SUP 1: 98.5700 - Low Jan 2 

*SUP 2: 98.5348 - 1.236 projection of Dec 5 - Dec 13 decline from Dec 18 high

*SUP 3: 98.4976 - 1.382 projection of Dec 5 - Dec 13 decline from Dec 18 high

The near-term top of 98.8600 printed last week remains in place as of Thursday,

with the modest grind higher doing little to trouble bears just yet. This

continues to suggest last week's high could mark a near-term top, prompting

bears to re-target the 98.5700 YTD low in the medium term should the 200-dma at

98.7274 give way. This bearish cycle has been in place since Nov 28. The focus

is on a move towards 98.5348 and 98.4976 next, both Fibonacci projection levels.

JGB TECHS: (H0): Going Nowhere

*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: 151.90 @ 16:28 GMT, Jan 16

*SUP 1: 151.62 - Contract lows, Dec 20

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

*SUP 3: 150.52 - 1.0% lower 10-dma envelope

JGBs pressured the lower end of the 2020 range last week 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: Weaker across the board but off midday lows, moderate volume

(TYH>1.1M), yld curves mostly steeper w/ 3M10Y leading. Update: 

* 3M10Y  +3.382, 25.268 (L: 20.94 / H: 26.061)

* 2Y10Y  +0.884, 23.613 (L: 21.985 / H: 24.108)

* 2Y30Y  +0.560, 68.579 (L: 66.815 / H: 69.372)

* 5Y30Y  -0.353, 63.217 (L: 62.477 / H: 64.481); Current futures levels:

* Mar 2-Yr futures down 0.375/32  at 107-23.75 (L: 107-23 / H: 107-24.75)

* Mar 5-Yr futures down 2.75/32  at 118-28.25 (L: 118-26 / H: 119-00.75)

* Mar 10-Yr futures down 5/32  at 129-6 (L: 129-02.5 / H: 129-14)

* Mar 30-Yr futures down 9/32  at 158-7 (L: 157-28 / H: 158-25)

* Mar Ultra futures down 13/32  at 185-25 (L: 185-05 / H: 186-22)

US EURODLR FUTURES: Steady/mixed in the short end to mildly lower out the strip

-- more than reversing Wed's move. Latest levels:

* Mar 20 -0.005 at 98.255

* Jun 20 +0.005 at 98.325

* Sep 20 steady at 98.40

* Dec 20 -0.005 at 98.410

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

* Green Pack (Mar 22-Dec 22) -0.02

* Blue Pack (Mar 23-Dec 23) -0.02

* Gold Pack (Mar 24-Dec 24) -0.02 to -0.01

US DOLLAR LIBOR: Latest settles

* O/N +0.0072 at 1.5356% (+0.0025/week)

* 1 Month -0.0113 to 1.6578% (-0.0189/wk)

* 3 Month -0.0095 to 1.8266% (-0.0111/wk)

* 6 Month -0.0163 to 1.8488% (-0.0234/wk)

* 1 Year -0.0226 to 1.9301% (-0.0365/wk)

US SWAPS: Spds holding modestly tighter across the board, off lows/narrow range

amid better receiving in 2s-3s last few hours, 2-way in 5s, payer in 7s and 10s,

3s4s5s receiver fly, deal-tied hedging lighter but also in the mix. Current

levels:

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

Thu 1500    -0.31/+7.12    -0.44/+0.69   -0.44/-4.25    -0.62/-30.88

1415        -0.56/+6.88    -0.50/+0.62   -0.62/-4.44    -0.50/-30.75

1100        -0.31/+7.12    -0.12/+1.00   -0.19/-4.00    -0.25/-30.50

0930        -0.50/+6.94    -0.38/+0.75   -0.56/-4.38    -0.50/-30.75

Thu Open    -0.69/+6.75    -0.31/+0.81   -0.50/-4.31    -0.75/-31.00

Thu 0730    -0.31/+7.12    -0.12/+1.00   -0.44/-4.25    -0.75/-31.00

Wed 1500    +1.00/+7.62    +0.62/+1.25   +0.44/-3.56    +0.88/-30.12

Wed Open    +0.12/+6.75    +0.06/+0.69   +0.12/-3.88    +0.38/-30.62

Wednesday recap: Spds running wider by the bell, session highs w/wings outpacing

intermediates. Modest flow included light payer unwinds and deal tied hedging.

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

* Daily Effective Fed Funds Rate: 1.54%, volume: $76B

* Daily Overnight Bank Funding Rate: 1.54%, volume: $179B

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

* Secured Overnight Financing Rate (SOFR): 1.56%, $1.022T

* Broad General Collateral Rate (BGCR): 1.53%, $394B

* Tri-Party General Collateral Rate (TGCR): 1.53%, $378B

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

17-Jan 0830 Dec housing starts (1.365m, 1.380m)

17-Jan 0830 Dec building permits (1.482m revised, 1.460m)

17-Jan 0900 Philly Fed Pres Harker, Q&A 

17-Jan 0915 Dec industrial production (1.1%, -0.2%)

17-Jan 0915 Dec capacity utilization (77.3%, 77.0%)

17-Jan 1000 Nov JOLTS job openings level (7267k, 7250k)

17-Jan 1000 Nov JOLTS quits rate (2.3%, --)

17-Jan 1000 Jan Michigan sentiment index (p) (99.3, 99.3)

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

17-Jan 1115 Q1 NY Fed GDP Nowcast (1.32%, --)

17-Jan 1245 Fed VC Quarles, bank supervision

18-Jan ---- Fed enters media blackout through Jan 30

PIPELINE: MS leads multiple second half launches, near $21B total on session

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

01/16 $6B #Morgan Stanley $2.5B 3NC2 SOFR+70, $3.5B 11NC10 +90

01/16 $3.25B #USB $900M 2Y +25, $1.35B 2Y FRN L+18, $1B 5Y +47

01/16 $3B #Societe Generale $1.75B 5Y +105, $1.25B 10Y +125

01/16 $2B #PNC Financial 10Y +78

01/16 $1B #Credit Suisse WNG PerpNC10 5.75%

01/16 $1B #Blackrock 10Y +60

01/16 $3B *Province of Ontario 3Y +15

01/16 $1.25B *EAA (Erste Abwicklungsanstalt) 3Y +10

01/16 $400M *SQM (Sociedad Quimica y Minera de Chile) 30Y +200

01/?? $Benchmark JFM (Japan Finance Org) roadshow

01/?? $Benchmark Bank Leumi Le-Israel 11NC6 roadshow

01/?? $Benchmark Credit Bank of Moscow 5Y roadshow

Eurodollar/Tsy options 

Eurodollar options:

* +26,000 Jun 81/82 put spds on screen, 2.25

* +15,000 Apr 81/82 put spds, 1.0

* +3,000 Blue Mar 81 puts, 2.5

* +20,000 Dec 95/97 call spds vs. -10,000 Dec 80/81 put spds, even net package

vs. 98.41/0.13%

* +4,750 Dec 95 calls, 1.0 vs. 98.43/0.05%

* another +2,500 Sep 86/87/90/91 call condors, 2.0 on screen, >+5k on day

* +4,000 Jul/short Jul 82/83 put spd spd, 2.0 net db conditional curve flattener

* +3,000 Mar 82/83 1x2 call spds, 1.25 vs .98.255/0.28%

* -2,500 Red Mar'21 86/88/90 call trees, 1.0

* 8,000 short Jun 85/86/87 call flys, 1.5

* update, total +8,000 Sep 88/90 call strip, 5.0

* update, total +2,500 Sep 86/87/90/91 call condors, 2.0

better upside call buying post data, picking up some cheaper upside w/implieds

under pressure

* +8,000 Sep 88/90 call strip, 5.0

* +2,500 Sep 86/87/90/91 call condors, 2.0

* 1,000 Mar 80/81/82 call flys, 2.0

* 7,000 short Jun 83/85/86 call flys, 2.0 adds to Block and earlier screen trade

Block, 0731:37ET

* 6,000 short Jun 83/85/86 call flys, 2.0

Earlier Block/recap

* 10,000 Sep 82/86 call over risk reversals, 2.5 vs. 98.405/0.49%

* +20,000 Red Mar'21 86/88/90 call trees, 0.0

Tsy options:

* -32,000 TYG 129/130 call spds, 19/64

* +6,000 TYG 128.5/129 put spds, 7/64 vs. 129-04/0.05%

* +1,500 TYJ 127/131 strangles earlier

* +1,000 TYH 129 puts, 29/64 vs. 129-07.5/0.43%

* -3,000 TYG 130 calls, 2/64 on screen

* +1,000 USJ 152/155 3x1 put spds, 6- to 7/64

* 1,000 USG 155/156 put spds, 2

* -15,000 FVH 118.25 puts, 5/64 on screen overnight

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

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