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USDCAD TECHS

Needle Still Points South

US TSYS

Yields Bounce as Equities Make New Monthly Highs

AUDUSD TECHS

Heading North

EURJPY TECHS

Bull Rally Accelerates

COLOMBIA

Economists Survey Raises 2021 CPI Forecast To 4.9%

     
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$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com