US TSYS: TENTATIVE RISK-ON AHEAD TUE TRUMP BORDER VISIT

US TSY SUMMARY: Generally quiet start to first full trading week of 2019.

Risk-on theme most of session, Tsys reversed early bid/traded lower as equities

rallied on back of strong non-factory order data/6-month high of 62.7.

- Theme tempered late, risk-on unwinds after US Pres Trump annc'd he would

address nation late Tue (2100ET) re: national/border security.

- Session flow included mild deal-tied selling, pre-auction short sets ahead

Tue's $38B 3Y note auction (9128285V8); prop/fast$ two-way in short end, real$

and levered acct selling 5s and 10s, two-way option-tied hedging on heavy

volume; limited positioning ahead Wed's Dec FOMC minutes release.

- Dovish tone from Atl Fed pres Bostic, favors raising rates only once this

year.

- Tsy cash/ylds: 2Y 99-30.5 (2.522%), 5Y 100-15.75 (2.517%), 10Y 103-25.5

(2.682%), 30Y 107-26 (2.977%)

US TSY FUTURES CLOSE: Trading weaker at/near the bottom of the range; strong

volume (TYH 1.18M); Curves flatter; update:

* 2s10s -1.722, 15.469 (14.843L/17.368H);

* 2s30s -3.439, 45.086 (44.701L/48.495H);

* 5s30s -2.188, 45.580 (45.160L/48.715H);

Current futures levels:

* Mar Ultra bonds down 07/32 at 161-20 (161-17L/163-00H)

* Mar 30-yr Bond futures down 17/32 at 146-11 (146-10L/147-17H)

* Mar 10-yr futures down 10/32 at 121-31.5 (121-31.5L/122-15H)

* Mar 5-yr futures down 07/32 at 114-17.25 (114-17.25L/114-27H)

* Mar 2-yr futures down 3.25/32 at 106-02 (106-02L/106-6.25H)

US EURODLR FUTURES CLOSE: Mostly weaker by the bell, short end outpaces as 3M

LIBOR inches lower, Reds-Greens underperform. Current White pack(Mar'19-Dec'19):

* Mar'19 +0.005 at 97.300

* Jun'19 -0.005 at 97.310

* Sep'19 -0.020 at 97.340

* Dec'19 -0.030 at 97.350

* Red pack (Mar'19-Dec'20) -0.075-0.040

* Green pack (Mar'20-Dec'21) -0.070-0.045

* Blue pack (Mar'21-Dec'21) -0.045-0.035

* Gold pack (Mar'22-Dec'22) -0.040-0.030

US DOLLAR LIBOR: Latest settles,

* O/N -0.0013 to 2.3927% (+0.0016 last wk)

* 1 Month -0.0094 to 2.5111% (+0.0006 last wk)

* 3 Month -0.0071 to 2.7968% (+0.0069 last wk)

* 6 Month -0.0070 to 2.8487% (-0.0174 last wk)

* 1 Year +0.0298 to 2.9947% (-0.0452 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.45% vs. 2.70% prior, $1.041T 

* Broad General Collateral Rate (BGCR): 2.43% vs. 2.70% prior, $449B 

* Tri-Party General Collateral Rate (TGCR): 2.43% vs. 2.70% prior, $433B

US SWAPS: Spds tighter by the bell, short end leads move. Decent midday flow

includes rate paying in 1s (2.755%) and 2s (2.6225%), receivers in5s around

2.5769-2.5658%. Fly action includes 2s5s10s receiver, two-way in 2s3s5s, 5s7s10s

payer. Earlier flow included >$500M 1Y receiver at 2.7175%, receiver in 2s at

2.6322% coming into NY open, 8s9s10s payer fly. Latest spd levels:

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

Mon 3:00    -1.12/14.44   -0.12/6.94     -0.38/2.69    -0.31/-16.56

12:00       -1.06/14.50   +0.12/7.19     -0.38/2.69    -0.06/-16.31

10:15       -0.81/14.75   -0.25/6.81     -0.56/2.50    -0.31/-16.56

Mon Open    -0.56/15.00   -0.38/6.69     -0.44/2.62    +0.25/-16.00

Mon 7:15    +0.00/15.56   +0.12/7.19     +0.25/3.31    +0.75/-15.50

Fri 3:00    +0.06/15.50   +0.50/6.50     +0.69/2.69    +1.31/-16.69

PIPELINE: LAUNCH: $1.5b #MidAmerican Energy Co in 2-parts

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

1/07  $1.5b #MidAmerican Energy Co $600m 10Y +97, $900m 30Y +130

1/07  $Benchmark BNG Bank NV 2Y MS +5a

1/07  $Benchmark EIB 5Y +14a

-

$10.9b Priced Last Week

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

08-Jan 0600 Dec NFIB Small Business Index (104.8, --)

08-Jan 0830 Nov trade balance (-$55.5B, -$52.9B)

08-Jan 0855 05-Jan Redbook retail sales m/m

08-Jan 1000 Nov JOLTS job openings level (7.079M, --)

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

08-Jan 1300 US Tsy $38B 3Y note auction (9128285V8)

08-Jan 1500 Nov consumer credit ($25.4B, $20.0B)

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

block, 13:37:20ET-13:39:47ET,

* 20,000 Dec 66/71/73 put fly at 3

* 10,000 Red Sep 72/75 put sprd at 11.5

* -5,000 Red Jun20 75 straddles, 59.5

* Total +10,000 Dec 66 puts at 1.5 vs 9730/0.05%

UPDATE: Total 15,000 Dec 67/70 2x1 put sprd at 2 vs 9736.5/0.04%

* 5,000 Mar 71/72 strangle at 7

* 5,000 Green Jun 67/70 2x1 put sprd at 1

block, 10:46:36ET,

* +10,000 Sep 70/72 put sprd at 1.5 over the 76 calls

* 7,000 Dec 67/70 2x1 put sprd at 2 vs 9736.5/0.04%

* 5,500 Jun 72 puts with 11,000 Jun 75 calls at 9.5

* 3,000 Mar 72/73 1x2 call sprd at 4.25

* -30,000 Short Apr 80 calls at 4 vs 9758/0.16%

* -17,500 Apr 72/73 strangle at 7.5

* -15,000 Jun 72 puts at 5.5

* +45,000 Sep 63 puts at 0.25

block, 08:54:34ET,

* 10,000 Apr 72/73 1x2 call sprd at 1.25

* 5,000 Dec 68/71 2x1 put sprd at 2.5

* 5,000 Green Mar 72/75 put sprd at 6.5

block, 08:45:33ET-08:46:28ET

* -55,000 Mar 72 calls sold at 7.5 over the Mar 68/70 put sprd vs 9730.5/0.67%,

adds to 35k in pit

* +30,000 Dec 68/70/71 put fly at 1.5

* -7,500 Blue Sep 70/80 call over risk reversals at 2.5

Tsy options, Pit/screen:

* -2,000 TYG 121/122/123 iron flys, 1x3 for 9/64 net (+3 strangles vs. -1

straddle)

Block, 1213:08ET

* +10,000 FVH 112.75/113.25/114.25 broken put flys, 12.5/64

* +7,500 FVG 114.5/115.5 call sprd at 22

* +3,000 TUG 106.25/106.37 1x1.25 call spds 0.5/64 over the TUG 105.87 puts

* 1,000 USH 139/143 2x1 put spds, 12/64

* 1,000 TYJ 122.5 straddles, 1-53/64

* +2,500 TYH 120.5 puts at 9

* >-10,000 USG 146/151 call spds from 1-11 to 1-03/64 over the USH 149/152 call

spds, also hearing sale of 4,000 USG 146/151 call spds from 1-36 to 1-26/64

* -2,000 TYG 121 straddles at 1-36/64 vs. +1,000 TYG 122 straddles at 61/64 vs.

122-14.5

* +2,000 wk2 TY 124.25 calls, 1/64

Earlier on screen:

* >15,700 FVG 113.5 puts, 2.5/64 last

* >16,900 FVZ 114.25 puts, 9/64 last

* >11,000 TYG 123 calls, 16/64 last

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

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