US TSYS: SECOND CONSEC BLOWOUT NFP, BUT DEC DOWN REVSN LG TOO

US TSY SUMMARY: US rates had a hard time deciding which way they wanted to trade

after the second consecutive blow-out employ release. Jan payrolls very strong

+304k vs. +167k expected, but sharp downward rev to Dec (+222k vs +312k prev).

Equities choppy all session, uncertain whether good data brings Fed back in

play, or will Fed let economy run hot before tapping policy brake.

- Program selling evident after the number, but bids took up the shock driving

futures back in line, decent two-way ensued. Sellers resumed after StL Fed

Bullard comments re: data dependency, strength of economy. Wasn't until flurry

of mid-morning data (ISM PURCHASING MANAGERS INDEX 56.6 JAN VS 54.3 DEC; U-Mich;

Construction spending) that rate sellers really found their motivation. 

- Curves bear flattened for the most part, heavy selling in 5s and 10s, 5s30s

steepener unwinds, fast- and real$ selling intermediates, bank portfolio selling

30s. Little deal-tied hedging, but mkts will absorb 3s, 10s and 30Y bond supply

next week. Heavy option volume, interest in buying upside calls to hedge global

slow-down, potential for rate cuts remains strong. Tsy cash/ylds: 2Y 99-31

(2.514%), 5Y 99-29.75 (2.513%), 10Y 103-22 (2.691%), 30Y 106-22.5 (3.031%).

MONTH-END EXTENSIONS: *** FINAL Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2018; TIPS 0.11Y; Govt inflation-linked, 0.14Y

*.....................Projected...1Y Avg Incr..Last Year

*US Tsys.................0.06........0.08........0.07

*Agencies................0.07........0.09........0.05

*Credit..................0.12........0.09........0.08

*Govt/Credit.............0.08........0.08........0.07

*MBS.....................0.04........0.07........0.07

*Aggregate...............0.07........0.08........0.07

*Long Govt/Credit........0.07........0.09........0.07

*Interm Credit...........0.09........0.08........0.08

*Interm Govt.............0.06........0.08........0.06

*Interm Govt/Cred........0.07........0.07........0.08

*High Yield..............0.02........0.08........0.10

US TSY FUTURES CLOSE: Weaker across the curve by the bell, holding rather narrow

range near session lows after flurry midmorning data, Fed speak with some

speculation they may let economy run hot before tightening again. Tsy yld curves

mostly flat, update:

* 2s10s +0.814, 17.774 (15.764L/18.156H);

* 2s30s -1.840, 51.758 (50.772L/54.071H);

* 5s30s -3.817, 51.927 (51.458L/56.373H);

Current futures levels:

* Mar Ultra bonds down 23/32 at 160-13 (160-06L/161-18H)

* Mar 30-yr Bond futures down 22/32 at 146-00 (145-27L/146-31H)

* Mar 10-yr futures down 16.5/32 at 121-30.5 (121-28L/122-17H)

* Mar 5-yr futures down 10.5/32 at 114-17 (114-15.25L/114-28.75H)

* Mar 2-yr futures down 3.25/32 at 106-02 (106-01L/106-05.5H)

US EURODLR FUTURES CLOSE: Weaker across the strip, near low end fairly wide

range for session. Current White pack (Mar'19-Dec'19):

* Mar'19 -0.010 at 97.345

* Jun'19 -0.015 at 97.360

* Sep'19 -0.030 at 97.360

* Dec'19 -0.050 at 97.340

* Red pack (Mar'19-Dec'20) -0.055-0.080

* Green pack (Mar'20-Dec'21) -0.085-0.075

* Blue pack (Mar'21-Dec'21) -0.075-0.070

* Gold pack (Mar'22-Dec'22) -0.070-0.060

US DOLLAR LIBOR: Latest settles,

* O/N -0.0095 to 2.3740% (-0.0107/wk)

* 1 Month +0.0003 to 2.5140% (+0.0140/wk)

* 3 Month -0.0049 to 2.7326% (-0.0191/wk)

* 6 Month -0.0095 to 2.7900% (-0.0422/wk)

* 1 Year -0.0219 to 2.9616% (-0.0699/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.58%, $1.048T

* Broad General Collateral Rate (BGCR): 2.55%, $484B

* Tri-Party General Collateral Rate (TGCR): 2.55%, $453B

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

04-Feb 0945 Jan ISM-NY current conditions 65.4    --

04-Feb 1000 Jan ETI

04-Feb 1000 Dec factory new orders (-0.2% est)

04-Feb 1000 Dec factory orders ex transport

28-Jan 1130 US TSY $45B 13W bill auction (912796RP6)

28-Jan 1130 US TSY $39B 26W bill auction (912796SC4)

04-Feb 1930 Clev Fed Pres Mester, MON-POL/ECO OUTLOOK, 50 Club/Cleveland Annl

meet Q&A.

PIPELINE: No new issuance Friday, $2.3B priced Thu, $17.5B/wk

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

1/31 $1.75B *Bank of Montreal 5Y +92

1/31 $550M *Harley Davidson Fncl 3Y +165

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* 10,000 Green Dec 73/78 2x3 call spds vs. 30,000 Green Dec 68 puts, 12.5 net

(appr 20k Green Dec 75/80 2x3 call spds vs. 27,000 Green Dec 70 puts

traded/blocked at 6.0-7.0 earlier)

* 15,000 Jul 71/72 put spds, 3.5 vs. 97.34/0.17%

* 6,000 Jul 71/72 put spds, 4.0 vs. 97.35/0.20%

* -8,000 Green Jun 71/72 2x1 put spds, 0.5

* +5,000 short Mar 71/72 2x1 put spds, 0.5

* -3,000 short Jun/Green Jun/Blue Jun 75 put flys, wings over 3.5 net cr

* +5,000 short Jun 72/73/75 call flys, 2.0

* +5,000 Sep 76/78 call spds, 2.0

* +10,000 short Mar 68/71 put spds, 0.5

* +12,000 short Jun/Blue Jun 72 put spds, conditional bear curve steepener for

1.0 net debit

Upside call buying remains strong -- despite the drop in underlying futures on

the back of stronger than expected data (making some ponder whether the Fed will

let things run hot for a while after this week's "patient" post FOMC statement).

* +10,000 Red Mar'20 85/90 call spds, 1.5 -- ongoing buyer has accumulated large

>100k position in the spread, looking to capitalize on a reversal in 3M LIBOR

levels to below 1.485% (compares to 2.7326% this morning, -0.0191/wk) over a

decent 409 days to expiration, as global markets cool and markets start pricing

in potential rate cuts. Other recent flow includes

* +10,000 Sep 75/78 call spds, 4.0

* 10,000 Green Dec 75/80 2x3 call spds vs. 30,000 Green Dec, 6.0 net, (11k Block

earlier for 7.0)

* +20,000 Blue Mar 68/71 put spds, 0.5 vs. 97.495

* 15,000 Dec 67/70 put spds, 1.5 vs. 97.40 vs.

* 15,000 short Mar 68/70 put spds, 2.0 vs. 97.425

Block, 1009:44ET,

* 10,000 Dec 73/77 1x2 call spds, 4.0 net vs. 97.37/0.10%

* another 9,000 Green Dec 75/80 2x3 call spds vs. 27,000 Green Dec 70 puts, 6.0

net this time after 11k Blocked earlier for net of 7.0.

Block, 0933:41ET,

* 20,000 short Jun 71/73 2x1 put spds, 1.0 net

* +10,000 Sep 75/78 call spds, 4.0

* +4,000 Sep 71/73 2x1 put spds, 6.0 vs. 97.385/0.20%

* 10,000 Green Jun 77 calls, 10.0 vs. 97.585/0.32%

* +15,000 Dec 71/72 put spds, 3.5, +25k total/day

* -4,000 Green Mar 73/75 call strips, 35.5

* +10,000 Dec 70/71/72 put flys, 1.5

* +10,000 Dec 70/71 put spds, 3.5 earlier

Block, 0822:36ET, adds to 5k earlier block

* 6,000 Green Dec 75/80 2x3 call spds vs. 18,000 Green Dec 70 puts, 7.0 net

* 40,000 short Mar 71 puts, 0.5

* 12,000 Dec 78/80 call spds, 1.0

* 9,000 Sep 75/76/77 call trees, 0.0

* 7,300 short Apr/short Jun 73 put spds

* 6,500 Jul 73/75 1x2 call spds, 1.0

* Blocked 5,000 Green Dec 73/75 1x2 call spd vs. 15k Green Dec 70 puts, 7.0 net

* +10k EDU9 97.50/97.625/97.75 call ladder paid 0.0 (+1/-1/-1)

Tsy options, Pit/screen:

* 6,000 TYH/TYK 121 put spds, 17/64

* 2,000 FVH 114.75 straddles, 32/64 vs.

* 500 USH 146 straddles, 1-44/64

* +7,000 FVH 114.5 straddles at 29/64 recently, preceded by

* -6,600 FVH 114.75/115.25 call spds, 6.5/64

* 4,600 FVH 114.25 puts, 4/64 vs. 114-23

* +3,000 TYH 121/121.25 put spds, 2/64

* 4,500 wk1 FV 115 calls, 2/64 pre-data

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

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