US TSYS: TSYS TRADE HEAVY IN NFP LEAD-UP, 30Y YLD TOPS 3.0%

US TSYS SUMMARY: Trades heavy late, long end extending session lows by the bell

on heavy futures volume (TYH>1.8M), choppy day in lead-up to Fri's NFP/AHE data

release (185k est/0.2% est respectively). Large block sale (-15k TYH 121-07)

sell through an -08 bid at time of post helped trigger move to new lows, 30Y yld

topping 3.01% first time since May 2017.

- Tsys followed weaker EGBs early as Spanish, French supply weighed.

Limited/delayed react to  early data, futures inching off lows, long end still

underperformed. Modest two-way midmorning flow, fast$ buyers after Dec construct

spending +0.7%. Decent deal-tied hedging in works.

- New session lows after midday amid continued bank portfolio and real$ selling

10s and 30s, fast$ and prop selling intermediates. Dip buyers 30s and chatter of

flattener unwinds.

- Decent early Eurodollar volume in Whites through Greens with levels off

session lows. Decent spd action, over 40,000 Red Dec'19/Green Dec20 spds bought

at 0.105. Swap spds widened, spd curve flatter

- Late ylds: 2Y 2.159, 3Y 2.317%, 5Y 2.566%, 7Y 2.717%, 10Y 2.782%, 30Y 3.013%

US TSY FUTURES CLOSE: Trades heavy late, long end extending session lows by the

bell on heavy futures volume (TYH>1.8M), choppy day in lead-up to Fri's NFP/AHE

data release (185k est/0.2% est respectively). Large block sale (-15k TYH

121-07) sell through an -08 bid at time of post helped trigger move to new lows,

30Y yld topping 3.01% first time since May 2017. Curves broadly steeper, latest

curve update:

* 2s10s +5.323, 61.366 (61.554H/55.742L);

* 2s30s +5.645, 84.670 (84.918H/77.658L);

* 5s30s +2.725, 44.654 (44.747H/40.049L);

Current futures levels:

* Mar Ultra bonds down 1-29/32 at 160-01 (159-30L/162-03H)

* Mar 30-yr Bond futures down 1-11/32 at 146-15 (146-14L/148-02H)

* Mar 10-yr futures down 12/32 at 121-06.5 (121-05.5L/121-21.5H)

* Mar 5-yr futures down 5.25/32 at 114-17.5 (114-16.5L/114-23.75H)

* Mar 2-yr futures down .75/32 at 106-19 (106-18L/106-20.25H)

US EURODOLLAR FUTURES CLOSE: Weaker across the strip, at/near session lows on

heavy volume, EDZ8 and EDZ9 lead volume w/>410k each. Current White pack

(Mar'18-Dec'18):

* Mar'18 -0.005 at 98.115

* Jun'18 -0.005 at 97.895

* Sep'18 -0.005 at 97.750

* Dec'18 -0.010 at 97.605

* Red pack (Mar'19-Dec'19) -0.020-0.040

* Green pack (Mar'20-Dec'20) -0.045-0.055

* Blue pack (Mar'21-Dec'21) -0.055-0.060

* Gold pack (Mar'22-Dec'22) -0.060-0.065

US SWAPS: Spds running wider, off first half highs w/spd curve flatter after

steepening Wed w/long end gapping wider on hopes of bank de-regulation making

rounds again. Deal-tied paying helped directional widening w/higher Tsys ylds on

day, late unwinds in belly helped temper move. Late flow includes payers in 3s

and 5s, 5s10s spd curve steepeners. Earlier flow included bank portfolio paying

in 5s and receiving in intermediates, macros fund receiving out the curve.

Latest spread levels:

* 2Y  +0.62/19.44

* 5Y  +0.63/8.25

* 10Y +0.38/3.25

* 30Y +0.25/-12.00

PIPELINE: $2B IBM 3-part launched

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

02/01 $2B #IBM 3-part, $800M 3Y fix +35, $450M 3Y FRN L+16, $750M 5Y +45

02/01 $3.2B #Comcast 3-part, $1B 10Y +80, $1.2B 20Y +90, $1B 30Y +107

02/01 $900M #Canadian National Railway, 2-part, 2Y +25, 30Y +70

02/01 $500m #ERP Operating LP 10Y +80

02/01 $1B *Export Development Canada Min, 2Y MS-4

02/01 Chatter, 3M (MMM) A1/AA-

02/01 Chatter, Bank of New Zealand (BZLNZ) A1/AA-

02/01 Chatter, KeyBank 

02/01 Chatter, Fifth Third Bank (FITB) A3/A

02/01 Chatter, State Street Corp (STT) A1/A

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

- Feb 02 Jan nonfarm payrolls (148k, 185k) 0830ET 

- Feb 02 Jan private payrolls (146k, 183k) 0830ET 

- Feb 02 Jan unemployment rate (4.1%, 4.1%) 0830ET 

- Feb 02 Jan average hourly earnings (0.3%, 0.2%) 

- Feb 02 Jan average workweek, all workers (34.5hrs, 34.5) 0830ET 

- Feb 02 Jan ISM-NY current conditions (56.3, --) 0945ET 

- Feb 02 Feb Michigan sentiment index (f) (94.4, 95.0) 1000ET 

- Feb 02 Dec factory new orders (1.3%, 1.5%) 1000ET 

- Feb 02 Dec factory orders ex transport (0.8%, --) 1000ET 

- Feb 02 Q1 St. Louis Fed Real GDP Nowcast 1100ET 

- Feb 02 Q1 NY Fed GDP Nowcast 1115ET 

- Feb 02 San Fran Fed President Williams 2030ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen: 

* total -40,000 Red Dec 67/77 call over risk reversals, 0.5 vs. 97.24/0.42%

* -19,000 Sep 73/76 put spds, 3.0 vs.

* +19,000 short Sep 70/72 put spds, 7.5, 4.5 net/bear curve steepener

* +20,000 short Apr 78 calls, 1.0

* +5,000 Green Mar 70 puts, 2.0

* -5,000 Mar 80/81 put spds

* total +20,000 Jun 80/82 put spds, 23.0

Block, 1208:07ET,

* +10,000 Jun 78 puts, 4.25 -- adds to +10k at 4.0 earlier

Block, 1156:02ET,

* +10,000 Jun 78 puts, 4.0

* +10,000 Jun 80/82 put spds, 23.0 vs. 97.89/0.20%

* +5,000 Blue Jun 77 calls, 2.5 vs. 97.16/0.10%

* +3,000 Green Apr 68/72 strangles, 4.0

* +15,000 Mar 81/82 strangles, 2.5

* +4,000 Sep 80 puts, 28.5 vs. 97.73/0.76%

* +10,000 short Dec 67/70 2x1 put spds, 1.0

* -5,000 Jun 77/78 put spds, 3.5

* 52,900 Blue Mar 75/77 call spds on screen overnight in addition to Mar put

spds vs call Blocks posted earlier (25k EDH9 73/75p spd 3.0 over 80c; 2.5k EDH9

72/75 3x2p spds vs. 5k EDH9 80c, 8.5 net)

Tsy options, Pit/screen:

* -5,000 FVJ 114.75 straddles, 35/64

* 3,000 FVJ 112/113 put spds, 2.5/64

* 2,000 FVJ 113.75/115 put over risk reversals, 1.5/64 vs. 114-10.7

* -750 USJ 141/146/151 iron flys w/2x strangles, 2-21/64

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

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