US TSYS: TSYS TRACK US$/YEN, VERY QUIET START TO WEEK

US TSY SUMMARY: Very quiet start to new week, Tsys trading mildly weaker all

day, drifting off late morning lows into the close w/yld curves paring back from

steeper levels. Light volume (TYH<875k) w/China out all week for Lunar New Year.

- Tsys extended session lows through the first half, matching moves in US$/Yen

as pair climbed to session high of 110.16. Tsys inched off lows from midday on

as US$/Yen slipped back below 109.85.

- US$ index held firmer (DXY +.265, 95.844); equities chopped higher into late

trade (SPX +13.25, 2717.5).

- Swap spds running tighter by the bell -- well off early wides. Early flow

included better receivers fading the move while midday flow includes payer in 2s

from 2.6775-2.6762%, receivers in 3s-4s, two-way in 5s w/better payers on net at

2.627%, small payer 7s at 2.6730%.

- On tap for Tuesday: Redbook retail sales m/m; Markit Services Index for

January; ISM Non-manufacturing Index (56.4 est); $38B 3Y note auction. Tsy

cash/ylds: 2Y 99-30 (2.530%), 5Y 99-26.75 (2.534%), 10Y 103-13.5 (2.720%), 30Y

106-06.5 (3.055%).

US TSY FUTURES CLOSE: Lower across the curve but off session lows by the bell,

very quiet start to the week. Tsy yld curves steeper but off top end of range,

update:

* 2s10s +1.118, 18.737 (17.167L/20.767H);

* 2s30s +0.359, 52.089 (51.128L/54.524H);

* 5s30s +0.017, 52.050 (50.969L/53.309H);

Current futures levels:

* Mar Ultra bonds down 22/32 at 159-19 (159-03L/160-17H)

* Mar 30-yr Bond futures down 21/32 at 145-09 (145-00L/146-03H)

* Mar 10-yr futures down 7.5/32 at 121-22.5 (121-20L/122-00H)

* Mar 5-yr futures down 4/32 at 114-13 (114-11.5L/114-17.75H)

* Mar 2-yr futures down 1.75/32 at 106-00.38 (106-00.38L/106-02.38H)

US EURODLR FUTURES CLOSE: Lower across the strip, front end outperforming.

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

* Mar'19 +0.000 at 97.340

* Jun'19 -0.005 at 97.350

* Sep'19 -0.020 at 97.335

* Dec'19 -0.035 at 97.305

* Red pack (Mar'19-Dec'20) -0.030-0.035

* Green pack (Mar'20-Dec'21) -0.020-0.025

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

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

US DOLLAR LIBOR: Latest settles,

* O/N +0.0101 to 2.3841% (-0.0107 last wk)

* 1 Month -0.0009 to 2.5131% (+0.0140 last wk)

* 3 Month +0.0018 to 2.7344% (-0.0191 last wk)

* 6 Month +0.0057 to 2.7957% (-0.0422 last wk)

* 1 Year +0.0185 to 2.9801% (-0.0699 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.47%, $993B

* Broad General Collateral Rate (BGCR): 2.44%, $494B

* Tri-Party General Collateral Rate (TGCR): 2.44%, $464B

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

05-Feb 0855 02-Feb Redbook retail sales m/m (-1.8%, --)

05-Feb 0945 Jan Markit Services Index (final) (54.2, --)

05-Feb 1000 Jan ISM Non-manufacturing Index (58.0, 56.9)

05-Feb 1000 Feb IBD/TIPP Optimism Index (52.3, --)

05-Feb 1300 US TSY $38B 3Y note auction (9128286C9)

PIPELINE: $3B BoA 11NC10 launched

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

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:

* +10,000 Dec 70/71 put spds, 3.0 vs. 97.32/0.11%

* +15,000 Sep 71/72 put spds, 3.5 put spds, vs. 97.34/0.17%

* +8,000 Jun 71 puts, 0.75

* +9,000 Apr 72 puts, 1.0

* +5,000 Red Mar 66 puts, 1.0 vs. 97.40

* -2,000 Red Dec 75 straddles, 65.5

* -2,000 Green Feb 75 straddles, 10.0

* +2,700 Dec 65/67/70  2x3x1 put flys, 1.5 net

* +5,000 short Jun 73/Green Jun 75 straddle spds, 4.0 Green Jun over

* 1,500 short Dec 70/72 2x1 put spds, 9.0

* +15,000 Mar 72 puts, cab

Block, 1023:56ET, adds to 5k bought in pit at 4.0

* -14,750 short Jun 73 straddles, 27.0 vs.

* +14,750 Green Jun 75 straddles, 31.0

Block, 1014:13ET

* -10,000 Sep 73/75 call spds, 3.0

Block, 0854:21ET

* +10,000 Dec 78/80 call spds, 1.0

Block, 0830:39-:47ET

* -22,500 Green Mar 70/72 call spds, 23.5

Block, 0740:45-50ET 

* total +10,000 Mar 73/75 1x2 call spds, 0.75 net

Overnight trade includes

* 20,000 Mar 73/75 1x2 call spds, 0.75 adds to recent 10k Block

* 5,000 Mar 71/72 call spds vs. Mar 70 puts

* 12,000 Green Apr 76/78/80 broken call flys

* 5,000 Green Dec 73 calls, 29.0 blocked

* 6,000 Green Dec 75 calls, 23.0 blocked

* 26,000 Green Feb 75/77 call spds, 0.5, Blocked late Sunday

Tsy options, Pit/screen:

* +3,000 wk2 122 calls, 6/64

* -1,500 TYK 123.5 calls, 19/64

* 1,300 TYH 121.25/122 put spds, 22/64

Block, 1005:09ET, adds to 20k screen trade

* 25,000 wk3 TY 121.25/122 call over risk reversals, 5/64 vs. 121-23/0.62%

* +20,000 wk3 TY 121.25/122 call over risk reversals, 5/64 vs. 121-23.5/0.62%

* 2,700 FVH 113.5/114 put spds, 3/64

* 1,600 FVK 114/114.75 2x1 put spds, 5.5 vs. 114-11/0.10%

* +5,000 FVK 114/115.5 put over risk reversals, 6.5/64 pit/screen

* -2,000 FVJ 114.25 puts, 14.5- to 14/64

* 8,200 wk3 10Y 122/123 call spds on screen ahead the open at 14/64

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

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