US TSYS: TENTATIVE RISK-OFF AS FOMC GETS UNDERWAY

US TSY SUMMARY: Tsy ground higher on back of weaker consumer confidence and

downturn in equities. Downturn in equities as back of FANG stocks hit earlier

(Apple lower on day, reports earnings after close).risk-off buying pushes

futures to new session highs.

- Despite the disk-off tone on heels of weak consumer confidence data, ranges

are moderate with many squared up and plying sidelines ahead data and risk

events in latter half of week (ADP private jobs, FOMC, FOMC).

- Earlier flow includes prop, fast$ selling 5s and 10s, leveraged acct two-way

in long end. Moderate deal-tied selling vs. option acct buying in fronts to

intermediates. Light curve flow two-way. Better buyers in belly to long end late

trade, real- and fast$ in 5s and 10s.

- $32B 7Y note auction (9128286A3) awarded 2.625% rate vs. 2.622% WI (previous

$32B 7Y awarded 2.680%);

- Tsy cash/ylds: 2Y 99-27.62 (2.569%), 5Y 99-25 (2.545%), 10Y 103-17 (2.710%),

30Y 106-15 (3.042%).

MONTH-END EXTENSIONS: *** UPDATED 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 Jan

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

*Agencies................0.07........0.10........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........0.08........0.08

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

US TSY FUTURES CLOSE: Tsys ground higher since weak consumer confidence number,

extends session high into the close, equities weak, but off midmorning lows. Yld

curves mixed, paring back recent steepening, update:

* 2s10s -1.299, 13.922 (13.653L/16.030H);

* 2s30s -0.425, 47.019 (46.406L/49.009H);

* 5s30s +0.989, 49.388 (48.028L/50.694H);

Current futures levels:

* Mar Ultra bonds up 19/32 at 160-05 (159-05L/160-07H)

* Mar 30-yr Bond futures up 18/32 at 145-21 (144-31L/145-22H)

* Mar 10-yr futures up 8.5/32 at 121-24.5 (121-14.5L/121-25.5H)

* Mar 5-yr futures up 4.25/32 at 114-11.75 (114-06.75L/114-12.5H)

* Mar 2-yr futures up 1.5/32 at 105-30.88 (105-29.25L/105-31.12H)

US EURODLR FUTURES CLOSE: Steady in the short end to modestly higher out the

strip, near top end narrow range. Current White pack (Mar'19-Dec'19):

* Mar'19 +0.000 at 97.325

* Jun'19 +0.005 at 97.300

* Sep'19 +0.005 at 97.290

* Dec'19 +0.015 at 97.275

* Red pack (Mar'19-Dec'20) +0.020-0.035

* Green pack (Mar'20-Dec'21) +0.035-0.030

* Blue pack (Mar'21-Dec'21) +0.030

* Gold pack (Mar'22-Dec'22) +0.030-0.035

US DOLLAR LIBOR: Latest settles,

* O/N -0.0004 to 2.3844% (-0.0003/wk)

* 1 Month -0.0029 to 2.4988% (-0.0012/wk)

* 3 Month -0.0061 to 2.7444% (-0.0072/wk)

* 6 Month -0.0064 to 2.8234% (-0.0088/wk)

* 1 Year -0.0063 to 3.0237% (-0.0078/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.39%, $981B

* Broad General Collateral Rate (BGCR): 2.37%, $458B

* Tri-Party General Collateral Rate (TGCR): 2.37%, $437B

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

30-Jan 0700 25-Jan MBA Mortgage Applications (-2.7%, --)

30-Jan 0815 Dec ADP private payrolls (271k, --)

30-Jan 1000 Dec NAR pending home sales index (101.4, --)

30-Jan 1030 25-Jan crude oil stocks ex. SPR w/w

30-Jan 1100 TSY announces 3Y, 10Y, 30Y refunding

30-Jan 1400 FOMC policy announcement

30-Jan 1430 Fed Chair Powell press conference

PIPELINE: $1B #Crown Castle 2-part launched

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

1/29 $1B #Crown Castle $600M 10Y +165, $400M 30Y +215

1/29 $1.25B *Kommunalbanken 5Y MS+15

1/29 $Benchmark New York Life Global 2Y fix, FRN

1/29 $Benchmark Jackson National Life 3Y +95a

1/28 $1B Colfax $500M 5NC2, $500M 7NC3 -- this week sometime

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* +20,000 Sep 72/73/75 call flys, 2.25/legged

* +10,000 short Feb 71 puts, 0.5

* +10,000 Red Mar 85/90 call spds, 1.5

* +5,000 Green Mar 67/70/71 put flys, cab

* -3,000 Blue Apr 70/72/77 put trees, 30.0

* +3,000 Blue Mar 73/75 strangles, 13.0

* 3,000 short Dec 80 calls, 10.0 vs. 97.41

* 1,000 short Dec 75/80/85 call trees, 9.0

Recent screen trade, ongoing seller Blue Sep 80 calls

* total >33,000 Blue Sep 80 calls sold at 5.0, 11,800 vs. the Blue Sep 68 puts,

1.0 net cr risk reversal

* -18,050 Mar 72/73 call spds, 6.5 vs. 97.32/0.56% at 0904:41ET

* -12,000 Jun 73/75 call spds, 2.0 vs. 97.31/0.15% at 0905:38ET

* +15,000 Sep/Dec 71/72/73 call fly strips, 4.5

* 5,000 Mar 73 calls, 1.0 vs. 97.325/0.20%

* -4,000 short Mar 73 straddles, 17.5

* +2,000 Apr 71/72 put spds, 2.25

* -5,000 Red Jun 66/67 put strips, 9.0

Overnight highlights

* -20,818 Blue Sep 80 calls, 5.0 -- ongoing, adds to -101.5k sold Mon (OI UP

4,416, however)

* 4,000 short Apr 73/76 2x3 call spds

Tsy options, Pit/screen:

* 5,000 TYH 122.5/TYJ 124 call spds, 2/64

* 2,000 TYH 120.5/121 3x2 put spds, 7/64

* 1,350 TYH 120/123 call over risk reversals, 3/64 net vs. 121-20.5

* 1,000 wk1 TY 121.7/122 1x2 call spds, 1/64

* +3,500 TUH 108.88 puts, 4/64

* 1,000 FVH 114.5/115.25/155.5 1x3x2 call flys, 7.5/64

* +3,000 TYJ 124/127 1x2 call spds vs. selling the TYJ 119 put, 1/64 net vs.

121-26 to -25.5/0.12%

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

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