US TSYS: TSYS PRESSED, MIXED DATA, 2.65 GDP MISS

US TSYS SUMMARY: Tsys traded weaker for much of the session, some early chop off

lows as Algos, fast$ locked on GDP miss +2.6% vs. 3.0% exp, but overall mixed

data view had sellers filling the gap. Tsys hit session lows by late morning,

10Y yld high 2.6711, 2.6599 last. Equities rising to new all-time highs (Indu

26,556.; emini 2868.0) kept some pressure on Tsys while others covered shorts

expecting a turn in near term as pension rebalance portfolios.

- Tsys opened weaker on modest volume ahead headline data, 2s and 5s vs. 30s

flattening w/EGBs. Post data, mkt moving headline watch turned to final eco-fin

conf in Davos, muted -- had more react Thu's when US Pres Trump said admin

wanted stronger US$.

- Long end has quietly slipped to new session lows last few minutes, drawing

light buying from fast$, props squaring into weekend. Note, 2Y yld making new

nine year high of 2.1283% (+.0441). Curves mixed but off early flats, 5s30s

-2.211, 43.871 (46.996H/43.228L);

- Heavy Eurodlr selling short end, March rate hike closer to a lock; 3.75k

Eurodlr 2Y bundle Block at -0.027 said to be swap-tied.

- Late ylds: 2Y 2.116%, 3Y 2.241%, 5Y 2.469%, 7Y 2.596%, 10Y 2.658%, 30Y 2.909%

US TSY FUTURES CLOSE: Weaker all session, off midday lows, curves continue to

flatten (mostly). More moderate volume (TYH>1.3M). After today's GDP miss/mixed

view on net, focus turns to next week's FOMC (no change in rate exp). Latest

curve update:

* 2s10s +0.683, 53.562 (54.277H/51.795L);

* 2s30s -0.806, 78.628 (80.715H/77.024L);

* 5s30s -2.211, 43.871 (46.996H/43.228L);

Current futures levels:

* Mar Ultra bonds down 28/32 at 162-19 (162-07L/163-15H)

* Mar 30-yr Bond futures down 22/32 at 148-23 (148-15L/149-15H)

* Mar 10-yr futures down 12/32 at 122-02 (121-31.5L/122-14.5H)

* Mar 5-yr futures down 8/32 at 114-30.75 (114-29L/115-06.5H)

* Mar 2-yr futures down 2.25/32 at 106-21 (106-20.25L/106-23.25H)

US EURODOLLAR FUTURES CLOSE: Weaker across the strip, off session lows. Heavy

volume in short end, March rate hike closer to a lock. Earlier Block sale -3.75k

2Y Bundle (EDH8-EDZ9) -0.0275. Current White pack (Mar'18-Dec'18):

* Mar'18 -0.020 at 98.125

* Jun'18 -0.020 at 97.920

* Sep'18 -0.025 at 97.775

* Dec'18 -0.040 at 97.635

* Red pack (Mar'19-Dec'19) -0.045-0.055

* Green pack (Mar'20-Dec'20) -0.055-0.060

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

* Gold pack (Mar'22-Dec'22) -0.055-0.045

US SWAPS: Spds running mixed by the close, spd curve steeper all day after long

end gapped tighter late Thu. Muted overall flow, however, light deal-tied

hedging in 3s and 5s, two-way in the belly, 5s30s steepener vs. continued

flattening in Tsys. Sources said 3.75k Eurodlr 2Y bundle Block at -0.027 was

swap-tied. Latest spread levels:

* 2Y  -0.12/18.19

* 5Y  -0.12/7.25

* 10Y +0.12/2.00

* 30Y +0.81/-14.38

PIPELINE: Waiting for CIBC 3Y and SunTrust Bank to price

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

01/26 $1.35B #Canadian Imperial Bank of Commerce (CIBC) 3Y Fix +50, 3Y FRN 3ML

+31.5

01/26 $1.25B #SunTrust Bank 3NC2 Fix to FRN +48, 5Y Fix +60  

01/26 Chatter $15B Celgene (CELG)

01/26 Chatter Export-Import Bank of India (EXIMBK) Baa2/BBB-

01/26 Chatter Petroleos Mexicanos (PEMEX) Baa3/BBB+, rumored $7.5B

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

- Jan 29 Dec personal income (0.3%, .3%) 0830ET

- Jan 29 Dec current dollar PCE (0.6%, 0.4%) 0830ET

- Jan 29 Dec total PCE price index (0.2%, 0.2%) 0830ET

- Jan 29 Dec core PCE price index (0.1%, --) 0830ET

- Jan 29 Jan Dallas Fed manufacturing index (29.7, --) 1030ET

- Jan 29 $48B Tsy 3M and $42B 6M bill auctions 1130ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen: 

* +10,000 Feb 81 puts, 1.0 adding to +50k Block

* +10,000 short Apr 71/72 put spds, 1.0

* +10,000 Sep 75/76 2x1 put spds, 1.5

* +2,500 Blue Sep 72/73/76 put flys, 3.25

* +2,500 long Green Dec73 calls, 35.0 vs. 97.30/0.46%

* +15,000 Apr 77/78 put spds 1.5 over the Apr 81 calls, adds to 10k Block

* total 21,000 Red Dec19 67/short Dec 77 strangle, 14.0 vs. 97.37/0.36%

* 10,000 short Jun 76 puts, 21.0 vs. 97.48/0.68%

* 10,000 short Feb 73/75 put spds, 2.5 vs.

* 20,000 short Mar 73/75 put spds, 3.0

* another 10,000 short Feb 73/75 put spds down to 2.0 soon after

* +10,000 Green Jun 70 puts, 5.0 vs. 97.32/0.20%

* +3,000 Dec 70/72/75 put spds, 5.0

* -10,000 Red Mar'19 77/82 call spds, 7.5 vs.

* +20,000 Red Mar'19 67/70/72 put trees, 3.5, 0.5 net cr

Block, 1015:56ET,

* +10,000 Apr 77/78 put spds 1.5 over the Apr 81 calls, ongoing theme

Blocks, 0948-0953:31ET,

* total +50,000 Feb 81 puts, 1.0 vs. 98.13/0.40

* +18,500 Green Mar 72/73 2x1 put spds, 1.0 pit/screen

* -10,000 Green Feb 75 calls, 1.5 vs. 97.37/0.18%

* -10,000 Dec 78 calls, 5.0 vs. 97.655/0.25% earlier

* +10,000 short Mar 78 calls, 1.0 vs. 97.60/0.10%

* +5,000 Dec 71/72/73 put flys, 1.0

* +3,000 Feb 81 puts, 0.75

* -3,000 short May 71/73 put spds, 4.25 legged

* 2,000 Green Mar 75/76/77 call trees, 1.5 vs. 97.39/0.10%

* 2,000 short Mar 75/76 strangles, 7.5

Tsy options, Pit/screen:

* 5,000 FVM 112.5/113/113.5 put trees, 1/64

* 2,000 USH 146/147 put spds, 14/64

* 2,000 USH 146/147/148 put flys, 6/64

* 2,500 TYJ 118/119/119.5/120.5 put condors, 8/64

* Update, total 8,000 TYH 121 puts, 14/64

* total +10,000 TYH 120.5 puts, 9/64

* 4,000 TYH 121 puts, 14/64

* appr 24,000 FVH 116.25 calls trade on screen at 1/64

* 4,000 TYG 122.5/122.75 put spds, 15/64 vs. 122-09

* 1,000 TYJ 122 straddles, 1-31/64

* 1,500 TYH 120.5/121.5 put spds, 12/64

Block, 0928:24ET

* +10,000 TYH 121 puts, 9/64

* +5,000 TYH 120.5/121.5 put spds, 11/64

* +8,000 TUH 106.8, 2.5/64

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

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