US TSYS: TSY MAKE NEW HIGHS LATE/YIELD CURVES BULL FLATTEN

US TSY SUMMARY: Risk-off start to 2019. Long end Tsys surged late Wed, extending

session highs, partly triggered by late reversal in equitys after stocks managed

to recover/trade higher around midday. Tsy yld curves bull flattened, more than

making up for Mon's steepening on air. In other words, the trend is not your

friend of late.

- US$ index bid (DXY +.716 at 96.801), US$/Yen broke 109.0 to 108.71 low (late

May'18 lvls); sovereign spds wider vs. Bunds. VIX reversed early gains (-1.22,

24.20) after getting hammered late last few sessions (topped 36.0 last Wed). 

- Moderate futures volume by the bell, TYH>1.3M. Slow day for data ahead flood

of data next two days, Dec employ figures Fri (+180k est; AHE 0.3%). Fed speak

Friday as well w/Fed chair Powell and former chairs Yellen and Bernanke on

mon-pol at Atl media event. Democrats take control of House Thu

- Flow included better fast$, real$ and levered acct buying intermediates to

long end, fast$ and props two-way in short end. Decent two-way swap flow in

2s-5s.

- Tsy cash/ylds: 2Y 100-00 (2.498%), 5Y 100-19.75 (2.491%), 10Y 104-02.5

(2.650%), 30Y 107-28.5 (2.973%)

US TSY FUTURES CLOSE: Tsy long end extends session high late as nascent bid for

equitys evaporates, Tsy yld curves extend bull flattening, update:

* 2s10s -4.209, 15.024 (15.277L/22.184H);

* 2s30s -5.180, 47.086 (47.011L/54.388H);

* 5s30s -2.440, 47.733 (47.551L/50.205H);

Current futures levels:

* Mar Ultra bonds up 1-9/32 at 161-30 (160-10L/161-31H)

* Mar 30-yr Bond futures up 31/32 at 146-31 (145-19L/146-31H)

* Mar 10-yr futures up 7.5/32 at 122-08 (121-26L/122-11H)

* Mar 5-yr futures up 1.25/32 at 114-23.25 (114-17L/114-25.75H)

* Mar 2-yr futures down .75/32 at 106-04.25 (106-02.75L/106-05.25H)

US EURODLR FUTURES CLOSE: Whites-Reds trading trade mildly lower by the bell,

Greens-Golds firmer. Current White pack (Mar'19-Dec'19):

* Mar'19 -0.005 at 97.285

* Jun'19 -0.015 at 97.300

* Sep'19 -0.020 at 97.320

* Dec'19 -0.015 at 97.335

* Red pack (Mar'19-Dec'20) -0.015-0.005

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

* Blue pack (Mar'21-Dec'21) +0.025-0.030

* Gold pack (Mar'22-Dec'22) +0.030-0.025

US DOLLAR LIBOR: Latest settles,

* O/N +0.0085 to 2.3867% (-0.0057/wk)

* 1 Month +0.0044 to 2.5071% (-0.0128/wk)

* 3 Month -0.0137 to 2.7939% (-0.0031/wk)

* 6 Month -0.0017 to 2.8739% (+0.0008/wk)

* 1 Year -0.0034 to 3.0020% (-0.0111/wk)

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

* Secured Overnight Financing Rate (SOFR): 3.00%, $1T !! (first time)

* Broad General Collateral Rate (BGCR): 2.95%, $409B

* Tri-Party General Collateral Rate (TGCR): 2.95%, $386B

US SWAPS: Spds hold mildly wider by the bell after decent two-way flow over last

couple hours, particularly in 3s from 2.5995-2.6101%, modest receiving 2sd at

2.6678%, payers in 10s at 2.7072%; mixed flys: 2s3s5s receiver, 2s4s10s payer

and 5s7s10s payer flys. Latest spd levels:

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

Wed 3:00    +0.50/17.00   +0.50/7.25     +0.25/3.00    +0.81/-16.94

12:30       +0.31/16.81   +0.44/7.19     +0.19/2.94    +0.75/-17.00

9:30        -0.12/16.38   +0.06/6.81     +0.06/2.81    +0.19/-17.56

Wed Open    -0.25/16.25   +0.56/7.31     +0.50/3.25    +0.50/-17.25

PIPELINE: Corporate issuance remains absent as 2019 gets underway 

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

03-Jan  -   Dec NA-made light vehicle sales SAAR (9.8m, --)

03-Jan 0700 28-Dec MBA Mortgage Applications

03-Jan 0730 Dec challenger layoff plans (51.5%, --)

03-Jan 0815 Dec ADP private payrolls (179k, --)

03-Jan 0830 29-Dec jobless claims (216k, 220k)

03-Jan 0945 Dec ISM-NY current conditions (67.8, 57.5)

03-Jan 1000 Nov construction spending (-0.1%, 0.3%)

03-Jan 1000 Dec ISM Manufacturing Index (59.3, 58.0)

03-Jan 1630 02-Jan Fed weekly securities holdings

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* -4,000 Feb/Mar 71 put spds, 0.75

* +5,000 short Mar 78/81/83 call flys, 1.25

* -2,500 short Mar 73/75 call spds, 6.0

* +2,500 Jan 72/73 put over risk reversals, cab

* 10,000 Mar 75/76 1x2 call spds, cab vs.

* 10,000 Jun 72/73/75 call trees, 1.25 vs. 97.30/0.08%

* -20,000 Jun 75 calls vs. Jun 71/72 put spds, even net/package. While there has

been increased interest in hedging upside futures risk the last couple weeks,

downside but buying continues to outpace. Implieds ticking lower.

* +10,000 Red Sep'20 90/100 1x2 call spds, 3.5, adds to >30k bout at 3.0 last

week -- yes, par calls trading again, concerted interest in domestic/global

slow-down insurance buying.

* +20,000 short Mar 67/68 put spds, 1.5 vs. 97.40/0.10%

* +5,000 Dec 68/72 put spds, 11.5

* -3,000 Sep 75/80 call spds, 8.0 vs. 97.355

* appr 14,000 (pit/screen) short Mar 73/75/77 call trees, 1.5

* 1,000 Green Mar/Blue Mar 75/76 call spd strip, 11.0

* +3,000 Sep 67/68/70/71 put condors, 2.5

* total +10,000 short Mar 73/75/77 call trees, 1.5 (mostly on screen)

Modest overnight trade (including Block) so far, highlights:

* 4,000 Jun 72/73 call spds

* 5,500 Sep 72/75 1x2 call spds, Blocked early overnight, 1.0 net

* 3,000 short Sep 72/75 2x1 put spds

* 2,000 short Mar 73/75/77 call trees

* 4,000 Green Mar 75 puts

* 4,800 Blue Apr 73 puts

Tsy options, Pit/screen:

* +6,500 TYH 115 puts, 1/64

* 1,200 TYG 122.25 straddle at 1-0/64 w/TYH 122 straddles at 1-30/64

* 1,500 TYG 121.5/TYH 120 put spd on a 1x2 basis, even net

* 2,370 FVG 114.5/FVH 113.5 put spds on a 1x2 basis, 2.5/64 net package

* over 8,600 FVG 114/114.75 2x1 put spds, 11/64 on screen

* 6,000 TYH 120.5/121 put spds, 7/64 vs. 122-05.5/0.10%

* +5,000 TYG 121.5 put vs. -10,000 TYH 120 puts, 1/64 net cr

* 4,000 TYH 121 puts, 18/64 vs. 122-07.5

* >6,000 FVG 112.75 puts, 1/64 on screen

* +5,000 TYH 117.5 puts, 2/64

* +1,000 TYG 121 puts, 7/64

* small TYG 121/122.5/124 call tree trade, 54/64

* seller TYH 122 straddles, 1-33/64

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

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