US TSYS: TSYS REVERSE EARLY GAINS, UK MAY BREXIT RECORD DEFEAT

US TSY SUMMARY: Rates reversed early gains, traded lower, curves bear steepened.

Little react to UK PM May record Brexit vote defeat (230 vote defeat). US$ Index

surged on Draghi comments earlier, but pared gains as well as GBP rebounded post

GBP vote. Tsy cash/ylds: 2Y 99-30 (2.531%), 5Y 100-14.25 (2.527%), 10Y 103-17

(2.711%), 30Y 105-27.5 (3.073%).

US TSY FUTURES CLOSE: Whites firmer, mildly weaker out the strip; moderate

volume. Current White

pack(Mar'19-Dec'19):

* Mar'19 +0.010 at 97.315

* Jun'19 +0.010 at 97.295

* Sep'19 +0.010 at 97.310

* Dec'19 +0.010 at 97.310

* Red pack (Mar'19-Dec'20) -0.010-0.005

* Green pack (Mar'20-Dec'21) -0.010-0.005

* Blue pack (Mar'21-Dec'21) -0.005

* Gold pack (Mar'22-Dec'22) -0.005-EVEN

US SWAPS: Spds still mixed after the bell, spd curve flatter vs. renewed

steepening in Tsy yld curves. Early NY flow two-way in 2s, 3s and 5s but tending

toward better rate and spd paying, decent volume in 2s5s10s receiver fly. Expect

5s-10s to narrow later in day as corp supply tied hedging unwound. Latest spd

levels:

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

Tue 3:00    +1.12/16.81   +0.06/9.12     +0.38/2.88    -0.69/-20.94

9:30        +0.81/16.50   +0.00/9.06     +0.00/2.50    -0.94/-21.25

Tue Open    +0.62/16.31   -0.19/8.88     -0.06/2.38    +0.25/-20.06

Mon 2:55    +0.81/16.19   +0.50/9.06     +0.25/2.50    -0.50/-19.62

US DOLLAR LIBOR: Latest settles,

* O/N -0.0034 to 2.3867% (-0.0026/wk)

* 1 Month -0.0025 to 2.5075% (-0.0014/wk)

* 3 Month -0.0055 to 2.7734% (-0.0139/wk)

* 6 Month -0.0076 to 2.8458% (-0.0188/wk)

* 1 Year -0.0024 to 3.0084% (-0.0103/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.40% vs. 2.41% prior, $977B

* Broad General Collateral Rate (BGCR): 2.38% vs. 2.38% prior, $447B

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

US SWAPS: Spds still mixed after the bell, spd curve flatter vs. renewed

steepening in Tsy yld curves. Early NY flow two-way in 2s, 3s and 5s but tending

toward better rate and spd paying, decent volume in 2s5s10s receiver fly. Expect

5s-10s to narrow later in day as corp supply tied hedging unwound. Latest spd

levels:

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

Tue 3:00    +1.12/16.81   +0.06/9.12     +0.38/2.88    -0.69/-20.94

9:30        +0.81/16.50   +0.00/9.06     +0.00/2.50    -0.94/-21.25

Tue Open    +0.62/16.31   -0.19/8.88     -0.06/2.38    +0.25/-20.06

Mon 2:55    +0.81/16.19   +0.50/9.06     +0.25/2.50    -0.50/-19.62

PIPELINE: LAUNCHED $6.8b #Fox Corporation in 5-parts

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

1/15  $6.8b #Fox Corporation $750 3Y +115, $1.25b 5Y +150, $2b 10Y +200,

$1.25b 20Y +240, $1.55b 30Y +250

1/15  $5b *KFW 5Y MS +9

1/15  $2.25b *Citibank 5Y +117

1/15  $1.75b *Province of Alberta 5Y MS +37

1/15  $1.5b *Kommuninvest Long 3Y MS +12

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

16-Jan 0700 11-Jan MBA Mortgage Applications (23.5%, --)

16-Jan 0830 Dec imports price index (-1.6%, -1.3%)

16-Jan 0830 Dec exports price index (-0.9%, --)

16-Jan 0830 Jan NY Fed Business Leaders Index (5.6, --)

16-Jan 1000 Jan NAHB home builder index (56, --)

16-Jan 1000 Jan Atlanta Fed inflation (2.3%, --)

16-Jan 1030 11-Jan crude oil stocks ex. SPR w/w (-1680m bbl, --)

16-Jan 1830 Mn Fed Pres Kashkari, Intel Squared "10 Yrs After Global Fincl

Crisis, System/Safer," NY

Eurodollar/Treasury Option Summary 

* +15,000 May 68/77 Strangle at 0.75

* -15,000 Dec 72/73 Strangle at 30.5

* 3,000 Green Apr 75 Straddle at 29

* -4,000 Apr 72 puts at 3.25

block, 08:39:09ET,

* 10,000 Short Jun 73/75 put strip vs 20,000 Green Jun 75 puts at net EVEN

* 5,000 Jun 70/71 1x2 put sprd at 1 vs 9728.5/0.10%

* 4,000 Short Feb/Short Apr 72 put calendar at 3.5

Screen trade 

* +3,000 Jun 68/70/71 put flys, 1.25

Tsy options, Pit/screen:

block, 12:29:29ET, out about 40 minutes ago

* +11,200 TYH9 121 puts at 15, adds to +2k on screen

Recapping this morning large 5- and10Y option trades

* +42,000 FVH9 112.75 puts at 1, >100k still offered (note open interest only

25k)

* over -60,000 FVG 114.5/115.5 call spds most at 13/64 (13.5-11 range)

* -46,000 FVG 114/115 call spds 31.5 to 31/64

* -65,000 TYG 122/123 call spds, mostly 15/64

* over -28,000 TYG 121.5/123.5 call spds, 30- 31/64

* -25,000 TYG 122/123.5 call spds, 19/64

* +2,500 FVH 115 calls, 5/64

* appr -1,750 TYH 122 straddles, 1-11/64 last

* 3,000 TYG 122.5/TYH 123 call strip, 30/64

* 1,000 TYK 120/124 call over risk reversals, 16/64 vs. 122-14.5/0.40%

* 1,000 wk3 TY 122.5/123 call spd, 5/64

* +3,000 TYG 122 puts 17/64 over the wk3 TY 121.5 puts vs. 122-01/0.33%

* 1,000 USH 144 puts, 39/64

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

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