US TSYS: TEYS WELL BID THURSDAY, CURVES BULL STEEPEN

US TSY SUMMARY: Tsys drew support from pessimism re: trade matters on Thurs, as

Pres. Trump noted that he will not meet Chinese counterpart Xi until after the

tariff deadline of Mar 1. The latest 30-Year auction was solid, stopping on the

screws, adding support to the long end after some pre-auction concession.

- Flows included a 2s7s steepener & 10.0K block seller of FVH9.

- We learnt that the Fed is close to announcing an end date for its balance

sheet reduction program & will decide on the composition of its securities

portfolio afterwards, in an MNI interview with Fed's Harker. Harker told MNI he

expects the Fed to nudge short-term borrowing rates another quarter point higher

this year & to do the same in '20 if the U.S. economy stays on track, stressing

a patient approach owing to various risk factors (For full story see MNI Main

Wire at 11:40 GMT 02/07). Fed Vice-Chair Clarida kept it short & sweet, noting

that the U.S. econ is near a state of full employment. Elsewhere, Fed's Kaplan

suggested that Fed patience should equate to 1/2 quarters.

- Fed voter, and dove, Bullard will speak in Asia-Pacific hours.

US TSY FUTURES CLOSE: Broadly higher, near top end of broad range on decent

volume (TYH>1.46M), curves rebound, update:

* 2s10s +0.737, 17.367 (15.580L/17.988H);

* 2s30s +0.659, 51.119 (49.820L/52.616H);

* 5s30s +0.207, 53.002 (52.288L/54.631H);

Current futures levels:

* Mar Ultra bonds up 1-8/32 at 161-14 (160-08L/161-17H)

* Mar 30-yr Bond futures up 27/32 at 146-16 (145-23L/146-18H)

* Mar 10-yr futures up 12.5/32 at 122-09 (121-29L/122-09.5H)

* Mar 5-yr futures up 7.5/32 at 114-24 (114-16.5L/114-24.25H)

* Mar 2-yr futures up 2.75/32 at 106-03.5 (106-00.5L/106-03.62H)

US EURODLR FUTURES CLOSE: Higher across the strip, short end rebounded on heavy

volume after 3M LIBOR gapped lower (-0.0406 to 2.6970%, -0.0356/wk) -- one of

the sharpest down-moves in approximately a decade. Current White pack

(Mar'19-Dec'19):

* Mar'19 +0.030 at 97.360

* Jun'19 +0.030 at 97.365

* Sep'19 +0.035 at 97.360

* Dec'19 +0.045 at 97.355

* Red pack (Mar'19-Dec'20) +0.050-0.055

* Green pack (Mar'20-Dec'21) +0.050

* Blue pack (Mar'21-Dec'21) +0.050-0.045

* Gold pack (Mar'22-Dec'22) +0.050-0.045

US DOLLAR LIBOR: Latest settles, 3M falls, Mar Eurodollar futures climbs 0.030

to 97.360

* O/N -0.0001 to 2.3831% (+0.0091/wk)

* 1 Month +0.0043 to 2.5169% (+0.0029/wk)

* 3 Month -0.0406 to 2.6970% (-0.0356/wk)

* 6 Month -0.0112 to 2.7650% (-0.0250/wk)

* 1 Year -0.0138 to 2.9482% (-0.0134/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.38%, $942B

* Broad General Collateral Rate (BGCR): 2.35%, $469B

* Tri-Party General Collateral Rate (TGCR): 2.35%, $445B

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

08-Feb 1115 Q1 NY Fed GDP Nowcast (2.39%, --)

08-Feb 1200 16/17 grain stocks

08-Feb 1315 SF Fed pres Daly, economic forecast conf, SF, Q&A

PIPELINE: $4.5B priced Wednesday

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

Nothing on tap for Thursday so far

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* +60,000 Red Jun 56 puts at cab in pit (open interest just over 264k; buy is

most likely short cover after put sold on 7x2 ratio vs the EDM0 60 put and 3x2

ratio vs. the EDM0 58 puts from last August to October). Kind of odd to see

cover when interest is on buying upside calls as chances of rate hikes are in

retreat. Buy likely frees up balance sheet risk to mollify risk manager. 

* 15,000 Dec 77 calls, 5.0 vs. 97.365/0.10%

* +26,500 Jun 73/75 call spds, 2.75

* +8,000 Red Mar 78/81 call spds, 3.0 vs. 97.44 to .435

* +1,600 short Jun 70/75/76 broken call trees, 1.5

* total +20,000 (10k blocked) Red Mar 68/70 put spds, 2.0 vs. 97.385/0.05%

* -7,000 Green Mar 73/77 strangles, 5.5

* 2,000 Jun 73/75/76 call flys, 2.0 vs. 97.375

* 1,000 short May 73/75/76 call trees, 0.5

Block, 0818:29ET,

* 10,000 Red Mar 68/70 put spds, 2.0 vs. 97.385/0.05%

Block, 0757:40ET, bit of a mash-up

* 10,000 Green Mar 75/76/77 call trees, 2.5 w/

* 5,000 Green Mar 75/76 call spds, 6.0 vs.

* 5,000 Green Mar 73 puts, 2.5

aside from earlier 20k Dec 70/71/72 put fly block, highlights:

* total 40,000 (20k blocked) Jun 73/75 1x2 call spds, 0.75

* 13,500 short Mar 71 puts, cab

* 14,990 short Mar 72 puts, 1.0

* 7,500 Green Dec 71/80 strangles

* 5,000 Green Dec 73 calls

Tsy Options, Pit/Screen:

* 2,050 FVH 114.75 calls, 9.5/64 vs. 114-21.25

* small sellers USM 145 straddles, 4-6/64

* Update, total -19,600 wk3 10Y 122 calls, 23/64 vs. 122-06/0.61%

* -6,000 FVK 114.75/116.25 call spds vs. FVK 113.25p, 19/64 net vs. 114-22/0.47%

* -9,600 wk3 10Y 122 calls, 23/64 vs. 122-06/0.61%

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

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