US TSYS: THE DAYS OF FLATTER TSY YLD CURVES NUMBERED?

US TSY SUMMARY: Very quiet start to the week, not entirely surprising w/limited

data w/NY Fed Consumer Sentiment (no react); Tsy auctions: 13- and 26W bills; no

Fed speak today, but picks up later in week. Light futures volume (TYH<935k);

Tsy yld curves steeper w/long end giving up early gains.

- Rates kicked off w/risk-off tone spurred by weak China trade data overnight,

global equities lower and US$/Yen near lows. 

- Risk off tone short lived, however. Long end Tsys reversed course/traded lower

by midmorning, taking cues from lower German bunds, as well as equities

rebounding off opening lows. Q4 corporate earnings kick off in earnest this

week, expect corporate issuance to ramp up after financial names annc.

Ironically, Citi revenues missed expectations, but shares quickly recovered (C

+2.45 at 89.08, +4.34%).

- Session flow included better buyers in 2s-5s, two-way in the belly to long end

w/better real$ and bank portfolio selling in long end by midday. Concerted

steepener interest as well. Tsy cash/ylds: 2Y 99-30 (2.535%), 5Y 100-14.25

(2.527%), 10Y 103-18.5 (2.706%), 30Y 106-04.5 (3.059%).

US TSY FUTURES CLOSE: Trading mostly lower/well off early session highs, modest

futures volume (TYH 925k); Curves steepening; update:

* 2s10s +1.522, 17.104 (12.185L/17.282H);

* 2s30s +3.431, 52.280 (48.930L/52.486H);

* 5s30s +2.618, 53.077 (51.394L/53.245H);

Current futures levels:

* Mar Ultra bonds down 22/32 at 159-16 (159-14L/161-00H)

* Mar 30-yr Bond futures down 11/32 at 145-13 (145-11L/146-11H)

* Mar 10-yr futures down 02/32 at 121-28.5 (121-28.5L/122-09H)

* Mar 5-yr futures down 0.5/32 at 114-16.5 (114-15.75L/114-23.75H)

* Mar 2-yr futures up 0.5/32 at 106-1.25 (106-0.5L/106-3.5H)

US EURODLR FUTURES CLOSE: Front end trading mixed, balance of strip trading

slightly lower; mild volume. Current White pack(Mar'19-Dec'19):

* Mar'19 +0.015 at 97.310

* Jun'19 +0.010 at 97.285

* Sep'19 0.000 at 97.300

* Dec'19 -0.010 at 97.300

* Red pack (Mar'19-Dec'20) -0.015-0.010

* Green pack (Mar'20-Dec'21) -0.020

* Blue pack (Mar'21-Dec'21) -0.015

* Gold pack (Mar'22-Dec'22) -0.010-0.005

US DOLLAR LIBOR: Latest settles,

* O/N +0.0008 to 2.3901% (-0.0047 last wk)

* 1 Month +0.0011 to 2.5100% (-0.0116 last wk)

* 3 Month -0.0084 to 2.7789% (-0.0166 last wk)

* 6 Month -0.0112 to 2.8534% (+0.0088 last wk)

* 1 Year -0.0079 to 3.0108% (+0.0538 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.41% vs. 2.43% prior, $973B

* Broad General Collateral Rate (BGCR): 2.38% vs. 2.41% prior, $456B

* Tri-Party General Collateral Rate (TGCR): 2.38% vs. 2.41% prior, $437B

US SWAPS: Spds holding mostly wider, top end relatively narrow range. Recent

receivers in 2s and 5s fading move, flurry of flys include 2s3s5s and 2s3s10s

receivers, 2s5s10 payer fly. Earlier mixed flow helping keep spds in range,

$600M receiver 1s at 2.765-2.7394%, 2-way in 2s around 2.6797-2.6795%, same in

3s around 2.6157-2.6145%, modest payer 5s at 2.5985%, 2s3s5s payer fly. Latest

spd levels:

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

Mon 3:00    +0.81/16.19   +0.50/9.06     +0.25/2.50    -0.50/-19.62

1:45        +0.75/16.12   +0.62/9.19     +0.38/2.62    -0.38/-19.50

12:30       +1.00/16.38   +0.69/9.25     +0.38/2.62    -0.25/-19.38

10:45       +0.62/16.00   +0.56/9.12     +0.38/2.62    -0.31/-19.44

9:30        +0.56/15.94   +0.44/9.00     +0.31/2.56    -0.25/-19.38

Mon Open    +0.38/15.75   +0.31/8.88     +0.19/2.44    -0.38/-19.50

Mon 7:30    +0.62/16.00   +0.25/8.81     +0.19/2.46    -0.25/-19.38

Fri 2:45    +1.25/15.75   +0.50/8.50     +0.12/2.25    +0.00/-18.62

PIPELINE: *** Several New Deals to Begin The Week

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

1/14  $2.5B #GM Fncl, $500M Tap 4.2% 11/2021, $1.5B 5Y, $500M 10Y 

1/14  $2B #Charter Communications, $1.25B 10Y, $750M Tap 5.75 04/2048

1/14  $500m #FedEx WNG 3Y +115a

1/14  $1B Kommuninvest 09/2022 MS +15a

1/14  $Benchmark Alberta 5Y +30a 

1/14  $Benchmark KFW 02/2024 MS +11a

-

$47.9b Priced Last Week

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

15-Jan 0830 Dec Final Demand PPI (0.1%, -0.1%)

15-Jan 0830 Dec PPI ex. food and energy (0.3%, 0.2%)

15-Jan 0830 Dec PPI ex. food, energy, trade (0.3%, --)

15-Jan 0830 Jan Empire Manufacturing Index (10.9, 10.5)

15-Jan 0855 12-Jan Redbook retail sales m/m (0.8%, --)

15-Jan 1000 Jan IBD/TIPP Optimism Index (52.6, --)

15-Jan 1130 MN Fed Pres Kashkari, Rochester Eco Summit, Q&A

15-Jan 1300 Dal Fed Pres Kaplan, Plano CoC Annl Meet, TX, Q&A

15-Jan 1315 KC Fed Pres George, econ/mon-pol outlook, KC, MO, Q&A

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

Block, 1309:36ET

* 5,000 short Mar 71/76 2x3 call spds, 46.0 net

* -3,500 Red Sep 75 Straddle at 65, pit and screen

* +10,000 short Feb/Green Feb 71/72 put spd spds, 1.0 EOG over/flattener

* 5,000 Short Feb 71/72 put sprd at 1 over the Green Feb 71/72 put sprd

* +20,000 Jun 75/77 2x3 call spds w/40,000 short Jun 80/82 call spds, 7.0 total

db/package

* +5,000 Dec 68/73 call over risk reversals, 12.0

* +3,000 Sep 61/63/66 2x3x1 put flys, cab

* +10,000 Dec 80 calls at 3.5

* -3,500 Sep 76 calls at 4

* -15,000 Dec 67/72 put sprd at 13 vs 9731.5/0.35%

* -7,500 Green Jun 75/77/80 call tree at 4

* -4,000 Red Mar 72/76 call spds 6.0 over Red Sep 75/77 call spds

Tsy options, Pit/screen:

* -2,000 TYG 121 puts, 3/64 vs. 122-01

* +1,500 TYG 121.5 puts, 8/64

* 1,500 wk3 TY 121.5/122 2x1 put spds, 6/64

* +2,000 TYK 120/124 call over risk reversals, 13/64 vs. 122-10/0.44%

* -2,000 TYG 122 straddles, 44/64

* 1,600 wk1 TY 121 puts, 6/64 vs. 122-03.5

* -2,500 FVG 114.5 straddles,  27.5- to 27/64

* -1,200 USH 143 puts, 21/64

* sellers TYG 122 straddles, 45/64

* +1,000 TYG 121/121.5 2x12 put spds, 2/64

* seller USH 145 puts, 55/64

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

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