US TSYS: TSYS REBOUND, DRIFT NEAR HIGHS AHEAD US SOTU ADDRESS

US TSY SUMMARY: Tsys trading firmer after the bell, upper half of range on

modest volume (TYH<910k) w/China out all week for Lunar New Year celebrations.

Equities firmer/near highs (SPX +12.25, 2733.5); US$ index drifting around top

end of range for last several hours (DXY +0.207, 96.05).

- On tap for Wed: Non-farm productivity (p) (1.5% est) and unit labor costs (p)

(1.8% est) for Q4; trade balance for November (-$54.7B est); $27B 10Y note

auction. US State of the Union speech tonight.

- Tsys had traded weaker into the open but rebounded on US$ moves, program

buyers reversed the early tone amid thin volume; tight stops triggered out the

curve by midmorning. Curves reversed early bear steepening. Modest deal-tied

selling 3s and 5s. Legged Tsy fly Block: +17,250 TUH 106-01, post time bid,

-12,000 UXYH (10Y Ultra) 130-00, through the 130-01 post time bid, minute later,

1134:53 +2,400 WNH (30Y ultra) 160-20, post time offer.

- $38B 3Y note auction (9128286C9) trades through, awarded 2.502% rate vs.

2.505% WI. Tsy cash/ylds: 2Y 99-30.38 (2.524%), 5Y 99-29.75 (2.513%), 10Y

103-19.5 (2.700%), 30Y 106-22.5 (3.031%).

US TSY FUTURES CLOSE: Drifting around upper half of range on modest volume,

another quiet session. US State of the Union speech tonight. Curves flatter,

update:

* 2s10s -0.792, 17.718 (16.415L/19.240H);

* 2s30s -0.913, 50.693 (49.290L/52.886H);

* 5s30s -0.155, 51.608 (51.735L/52.600H);

Current futures levels:

* Mar Ultra bonds up 23/32 at 160-08 (159-05L/160-22H)

* Mar 30-yr Bond futures up 13/32 at 145-21 (144-29L/146-00H)

* Mar 10-yr futures up 3.5/32 at 121-26.5 (121-19L/121-31H)

* Mar 5-yr futures up 2.5/32 at 114-15.5 (114-10.5L/114-17.75H)

* Mar 2-yr futures up .25/32 at 106-00.88 (105-31.5L/106-01.38H)

US EURODLR FUTURES CLOSE: Steady/mixed in the short end, Reds-Golds mildly

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

* Mar'19 +0.000 at 97.335

* Jun'19 -0.005 at 97.340

* Sep'19 +0.000 at 97.335

* Dec'19 +0.005 at 97.315

* Red pack (Mar'19-Dec'20) steady to +0.015

* Green pack (Mar'20-Dec'21) +0.015

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

* Gold pack (Mar'22-Dec'22) +0.015

US DOLLAR LIBOR: Latest settles,

* O/N -0.0017 to 2.3824% (+0.0084/wk)

* 1 Month -0.0009 to 2.5122% (-0.0018/wk)

* 3 Month +0.0041 to 2.7385% (+0.0059/wk)

* 6 Month -0.0182 to 2.7775% (-0.0125/wk)

* 1 Year +0.0056 to 2.9857% (+0.0241/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.40%, $964B

* Broad General Collateral Rate (BGCR): 2.38%, $470B

* Tri-Party General Collateral Rate (TGCR): 2.38%, $447B

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

06-Feb 0700 01-Feb MBA Mortgage Applications (-3.0%, --)

06-Feb 0830 Q4 non-farm productivity (p) (2.3%, 1.5%)

06-Feb 0830 Q4 unit labor costs (p) (0.9%, 1.8%)

06-Feb 0830 Nov trade balance (-$54.7B est)

06-Feb 1000 Feb help-wanted online ratio

06-Feb 1030 01-Feb crude oil stocks ex. SPR w/w (919m Bbl, --)

06-Feb 1300 US TSY $27B 10Y note auction (9128286B1)

06-Feb 1500 Jan Treasury STRIPS Holdings

06-Feb 1805 Fed Brd Gov VC Quarles, stress testing conf, Q/A

06-Feb 1900 Fed Chair Powell, town hall meeting w/educators via webcast from

Board Room of the Board's main building, DC, features audience and participant

Q&A.

PIPELINE: $1B Verizon WNG 10Y launched; $3.35B priced Monday

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

02/05 $1B #Verizon WNG 10Y +120

02/05 $Benchmark CAF 3Y +75a

-

$3.35B priced Monday

02/04 $3B *Bank of America 11NC10 +125

02/04 $350M *Essex Portfolio LP 10Y +137.5

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

Late Block, 1451:37ET,

* 10,000 Red Jun'20 82 calls, 6.0 vs. 96.46/0.15%

* +4,000 Dec 72/73 straddle strip, 58.0

* -5,000 Sep/Dec 73 straddle spds, 12.0

* +4,000 Red Sep 76/78 call spds, 7.5

* +30,000 short Apr 71/72 put spds, 2.0 vs. 97.62/0.10%

* +10,000 Red Jun 73 puts, 38.0

* +5,000 Jun 73 calls, 3.75

* -11,000 Jun 76 calls, 0.75

Incidentally, the Red Dec'20 100 or par call market is 0.5 bid/at 1.0, shedding

light on where markets see where risk lays in early 2020.

* +4,000 Red Dec 100 calls, 1.0

* +40,000 short Jul 67/70 2x1 put spds, 1.0 vs. 97.46/0.05%

* +10,000 short Jul 81/83 call spds 1.5 (after +25k bought vs. short Mar 76

calls for even)

* +5,000 Red Mar 73 puts, 19.0 vs. 97.375/0.50%

* -4,000 short Jun 72/76 strangles, 13.0

* +25,000 short Jul 81/83 call spds vs. short Mar 76 calls, even net

* +10,000 Dec 75/77 call spds, 4.0 vs. 97.31/0.16%

* update, over +40,000 Mar 71/72 put spds, .375 legged on day

* 12,000 Mar 71/72 2x1 put spds, cab

* 3,000 Dec 73/76 call spds vs. short May 76 calls,even net

* 2,400 Red Mar 70/73/77 iron flys, 24.5

* +3,000 Sep 72/73/75 call trees, 1.75

* 2,500 short Apr 75/76/77 call flys, 1.5

* +4,500 Sep 73/Dec 72 straddle strip, 47.5 a few minutes ago

* +50,000 Mar 71/72 put spds legged

* Sep 72/73 2x1 put spds, .5 legged

* +3,000 Green Jun 70/72 put spds, 4.25 legged

* +4,000 short Dec 77 calls, 13.5 vs. 97.44/0.32%

Tsy options, Pit/screen

* -4,000 TYJ 121/123 strangles from 31- to 30/64 earlier

* +8,000 TYJ 122.5/124.5 call spds, 20/64

* -2,000 TYJ 122.5 calls, 26/64

* 1,000 TYJ 121/121.5 2x1 put spds, 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$]