US TSYS: TSY HOLD FIRM POST SENATE PARTISAN BILL FALS

US TSY SUMMARY: Rates drift near session highs after the bell, both

GOP/Democratic shutdown bills failed to pass Senate. SPX near steady at 2637.5

vs. 2647.5H; US$ index strong (DXY +.405, 96.529 -- back to Jan 3 highs).

- Neither bills were expected to pass; chatter something may gel AFTER SOTU date

passes -- though that event dead in water as well. Brief dip in rates earlier on

WH advisor Kudlow headline (perhaps) telegraphing strong jobs Jan number ahead

next week's release.

- Rates showed little react to largest data drop of the week. Risk-off gained

momentum after earlier Wilbur Ross headline re: China trade that a resolution

w/US was "miles and miles" away. Headline bark worse than the story bite?

Ensuing headline that Ross thinks "fair chance" a China/US trade deal will be

made softened stance.

- Flow includes two-way in 2s-5s, deal-tied selling in 3s and 5s, prop and real$

buying intermediates, real$ and bank buying 30s.

- Tsy cash/ylds: 2Y 99-28.12 (2.562%), 5Y 100-11.25 (2.547%), 10Y 103-16.5

(2.712%), 30Y 106-22 (3.032%).

US TSY FUTURES CLOSE: Higher across the board all day, levels off midday highs

as mkt awaits Democrat plan vote to end shutdown after GOP plan fails to gain

enough votes. Tsy yld curves update:

* 2s10s -0.441, 14.941 (14.225L/16.337H);

* 2s30s -0.540, 46.922 (46.317L/48.111H);

* 5s30s +0.095, 48.363 (47.577L/49.455H);

Current futures levels:

* Mar Ultra bonds up 29/32 at 160-07 (159-11L/160-18H)

* Mar 30-yr Bond futures up 23/32 at 145-22 (144-31L/145-30H)

* Mar 10-yr futures up 9.5/32 at 121-22 (121-13L/121-27H)

* Mar 5-yr futures up 6/32 at 114-12 (114-06.5L/114-14.5H)

* Mar 2-yr futures up 1.62/32 at 105-31.12 (105-29.5L/106-00H

US EURODLR FUTURES CLOSE: Firmer across the strip but off midday highs after the

bell. Current White pack (Mar'19-Dec'19):

* Mar'19 +0.010 at 97.315

* Jun'19 +0.015 at 97.285

* Sep'19 +0.015 at 97.280

* Dec'19 +0.020 at 97.265

* Red pack (Mar'19-Dec'20) +0.035-0.050

* Green pack (Mar'20-Dec'21) +0.050-0.055

* Blue pack (Mar'21-Dec'21) +0.055-0.050

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

US SWAPS: Spds mostly wider after the bell, back to near opening levels. Decent

flow since the open includes 2-way in front end w/slightly better paying in 2s

(2.6236%), receivers in 5s from 2.6255-2.6236%, mixed flys: 2s5s7s receiver,

2s3s5s payer. Deal-tied paying in front end. Latest spd levels:

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

Thu 3:00    +0.31/15.19   +0.00/8.12     +0.19/3.12    +0.31/-17.75

11:30       +0.19/15.06   +0.00/8.12     +0.00/2.94    -0.12/-18.19

10:00       +0.31/15.19   +0.00/8.12     -0.12/2.81    -0.31/-18.38

Thu Open    +0.19/15.06   +0.06/8.19     +0.25/3.19    +0.31/-17.75

Thu 7:30    +0.12/15.00   +0.12/8.25     +0.50/3.44    +0.44/-17.62

Wed 3:00    +0.62/15.25   -0.31/8.12     -0.25/2.94    +0.25/-18.00

Wed Open    +0.12/14.75   -0.31/8.12     -0.12/3.06    +0.00/-18.25

US DOLLAR LIBOR: Latest settles,

* O/N +0.0004 to 2.3845% (+0.0007/wk)

* 1 Month -0.0082 to 2.5018% (-0.0042/wk)

* 3 Month -0.0059 to 2.7647% (+0.0037/wk)

* 6 Month -0.0035 to 2.8501% (-0.0018/wk)

* 1 Year -0.0059 to 3.0291% (-0.0010/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.40% vs. 2.41% prior, $956B

* Broad General Collateral Rate (BGCR): 2.38% vs. 2.37% prior, $456B

* Tri-Party General Collateral Rate (TGCR): 2.38% vs. 2.37% prior, $433B

PIPELINE: *** $1B KeyBank 2-part annd $1.25B Capital One launched

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

1/24 $1.25B #Capital One Financial 5Y +140

1/24 $1B #KeyBank $600M 3Y +78/$400M 3Y FRN L+66

1/24 $500M #Experian Finance 10Y WNG +155

1/24 $1.5B *OKB 3Y MA+5a

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

25-Jan 1100 Q1 St. Louis Fed Real GDP Nowcast (2.87%, --)

25-Jan 1115 Q1 NY Fed GDP Nowcast (2.17%, --)

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* +30,000 Jun 77 calls, 1.0 vs. 97.29/0.05%

* +27,000 Dec 68/70 put spds, 3.0

* -10,000 Jul 72 straddles, 20.5

* +5,000 Dec 70/71 put spds, 4.5 vs. 97.425/0.08%

* -5,000 short Mar 73 puts, 10.5

* -3,000 short Apr 72/73/75/76 call condors, 3.5 vs. 97.375/0.05%

* +3,000 Red Mar 66/67 put strips, 5.0

* +8,000 Green Feb 75/76/77 call trees, 2.5

* 15,000 Green Mar 70 puts, 0.5-1.0

* +5,000 Blue May 83 calls, 1.0

* +25,000 Sep 63 puts, cab vs. 97.28

* -2,500 Green Mar/Blue Mar 75 straddle spds, 0.5/Mar over

* over 25,000 (pit/screen) Green Mar 70 puts, 1.0 vs. 97.435/0.10%

* over 17,000 (pit/screen) Blue Mar 80 calls, 1.0

* -5,000 Short Mar 70/71 put sprd at 1 vs 9737.5/0.10%

* +25,000 Dec 65/67 2x1 put sprd at 0.75

* 10,000 Blue Mar 80 calls at 1 vs 9745/0.10%

Overnight trade includes

* 8,000 May/Jun 71 put spds

* 3,500 Sep 91 puts vs. 72/73 call spds

* 2,000 Jun 72/73 1x2 call spds

* 7,000 short Mar 77 calls, 1.5 last

* 3,000 short Feb 72/73 2x1 put spds

* 3,500 Blue Mar 78/80 call spds

Tsy options, Pit/screen:

Block, 1219:35ET

* -10,000 USJ 147 calls, 48/64 vs. 145-21/0.30%

* -2,000 TYJ 120.5/123.5 call over risk reversals, 3/64 vs. 122-00/0.44%

* 2,000 TYH 123 calls, 8/64

* sellers FVG 114.5 straddles, 11/64

* -1,000 TYJ 122 straddles, 1-29/64 w/

* -1,000 wk5 TY 121.7 straddles, 30 to 31/64

* -600 USJ 145 straddles, 3-0/64

* -2,500 TYG 121.5/122 call spds vs. wk1 TY 122 calls, 3/64 cr earlier

* +6,000 TYG9 at 122.5 calls at cab 14

Screen trade,

* just over 12,500 TYG 121.25 puts, 1/64 last -- Feb expires tomorrow

* over 10,000 TYG 122 calls, 3/64 last

* 3,600 TYH 122.5 calls, 15/64

* 10,000 FVH 113.75 puts, 6/64

US TSY OPTIONS: Reminder, Feb serial ops expire Fri. Ops 0.5 tic ITM (0.25 tic

for 5-, 2-yr opt's) auto-exercised. If futures vary much post-set, traders have

until 1900ET to notify clearing intention to abandon option that would normally

be exercised, some dealers require earlier notice. According to CME Group data:

*             Calls     Puts      Total   Nearest-the-Money Strike Totals

* Feb 30yr   215,042  313,424    528,466  145.00 w/ 14,678 (8,786c, 5,892P)

*                                         145.50 w/ 9,810 (4,672c, 5,138P)

*                                         146.00 w/ 15,609 (10,238c, 5,371P)

* Feb 10yr 1,061,556  991,284  2,052,840  121.50 w/ 207,042 (144,786c, 62,256p)

*                                         121.75 w/ 43,257 (22,778c, 20,479P)

*                                         122.00 w/ 105,336 (76,416c, 28,920P)

* Feb 5yr    336,954  491,452    828,406  114.00 w/ 62,585 (32,875c, 29,710p)

*                                         114.25 w/ 40,933 (26,188c, 14,754p)

*                                         114.50 w/ 76,887 (40,282c, 36,605p)

* Feb 2yr     51,585   58,113    109,689  105.88 w/ 8,839 (2,246c, 6,593p)

*                                         106.00 w/ 9,578 (4,638c, 4,940p)

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

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