US TSYS: US$ REBOUND, PBOC WARY YUAN APPRECIATION

US TSY SUMMARY: Generally quiet end to a busy week, rates bid but off midday

highs -- underlying bid since midweek's Dec FOMC minutes that came off

balanced/dovish, underscored in large part by half-dozen Fed speakers on

Thursday reiterating patience as tightening cycle getting long in the tooth.

- Yield curves mildly steeper for most part (5s30s +1.827, 5.164); equities

weaker but off lows (SPX -2.5 at 2591.5); US$ index bounced (DXY +.175 at

95.714) after word Turkey is ramping up military presence on Syrian border.

Speaking of borders, US Gov still shutdown amid border wall impasse between

congress and Pres Trump.

- Carry-over two-way flow after rates kicked off bid, real$ and official acct

buying, early prop and fast$ selling shorts to intermediates, bank buying 10s.

Fast$, prop acct selling/unwinding late.

- Heavy late session selling Eurodollar Red packs (-5k), Red Jun20 1yr bundles

(-15k), likely swap tied as 2Y spd expanded to session wides late. Earning picks

up next week. Tsy cash/ylds: 2Y 99-29 (2.547%), 5Y 100-14.5 (2.525%), 10Y 103-20

(2.701%), 30Y 106-18.5 (3.037%)

US TSY FUTURES CLOSE: Trades firmer into the close but well off midday highs,

longs squaring ahead weekend as equities rebound. Tsy yld curves update:

* 2s10s -1.463, 14.992 (14.814L/16.982H);

* 2s30s +0.232, 48.745 (47.902L/50.720H);

* 5s30s +1.765, 51.102 (49.141L/52.052H);

Current futures levels:

* Mar Ultra bonds up 10/32 at 160-04 (159-12L/160-25H)

* Mar 30-yr Bond futures up 14/32 at 145-23 (145-00L/146-03H)

* Mar 10-yr futures up 6.5/32 at 121-29.5 (121-19.5L/122-03.5H)

* Mar 5-yr futures up 4.75/32 at 114-17.25 (114-10.5L/114-20H)

* Mar 2-yr futures up 1/32 at 106-00.75 (105-30.75L/106-02.25H)

US EURODLR FUTURES CLOSE: After paring gains late, Reds through Blues rebound

into closing bell.  Current White pack (Mar'19-Dec'19):

* Mar'19 +0.005 at 97.295

* Jun'19 +0.005 at 97.275

* Sep'19 +0.010 at 97.300

* Dec'19 +0.010 at 97.310

* Red pack (Mar'19-Dec'20) +0.020-0.040

* Green pack (Mar'20-Dec'21) +0.040-0.050

* Blue pack (Mar'21-Dec'21) +0.040-0.050

* Gold pack (Mar'22-Dec'22) +0.035-0.030

US DOLLAR LIBOR: Latest settles,

* O/N -0.0048 to 2.3893% (-0.0047 wk)

* 1 Month -0.0053 to 2.5089% (-0.0116 wk)

* 3 Month -0.0096 to 2.7873% (-0.0166 wk)

* 6 Month +0.0042 to 2.8646% (+0.0088 wk)

* 1 Year -0.0003 to 3.0187% (+0.0538 wk)

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

* Secured Overnight Financing Rate (SOFR): 2.43% vs. 2.45% prior, $1.026T

* Broad General Collateral Rate (BGCR): 2.41% vs. 2.44% prior, $453B

* Tri-Party General Collateral Rate (TGCR): 2.41% vs. 2.44% prior, $428B

US SWAPS: Recent Eurodollar Blocks..5K Red packs, 15k Red Jun20 1y bundles are

likely sales -- and swap related as 2Y swap spd has hit session wides last 20

minutes. No Tsy auctions next week...but corp issuance should ramp up on heels

of multiple financial shares issuing earning (Q4) next week. Latest spd levels:

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

Fri 2:45    +1.25/15.75   +0.50/8.50     +0.12/2.25    +0.00/-18.62

1:15        +1.00/15.50   +0.50/8.50     +0.19/2.31    -0.12/-18.75

9:15        +0.88/15.38   +0.50/8.50     +0.31/2.44    -0.38/-19.00

Fri Open    +0.25/14.75   +0.25/8.25     +0.12/2.25    -0.50/-19.12

Thu 3:00    -0.56/14.56   +0.31/8.31     -0.31/2.50    -1.69/-18.44

Thursday recap: Spds tighter after the bell, spd curve steepened w/long end

leading way into Tsy bond auction. Mixed front end flow in first half: 1s around

2.771-2.7691%, 5s around 2.61384-2.61484%, payer in 3s at 2.63638%, payers in 5s

earlier, better receiving reported in 10s.

PIPELINE: PRICED: $3b *Danske Bank in 2-parts

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

1/11  $3b *Danske Bank, $1.5b 3Y +260, $1.5b 5Y +290

1/11  $350m *TTX Co 30Y +157

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

14-Jan 1100 Jan NY Fed expectations survey -- Slow start to the week

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* -4,000 short Mar 71/73/76 iron flys, 15.5

* -3,000 Red Sep 80 calls, 16.0

block, 14:38:34ET,

* 10,000 Red Jun/Red Sep 70/75 call sprd sprd at 0.5

* 10,000 Short Mar 68/71 2x1 put sprd vs 72 calls at 18.5, 18.5 db/calls +over

* 10,000 Short Jun/Green Apr 76 call sprd at 1 vs 9747.5/0.10%, steepener

* +10,000 E2Z 73/80 call spds 6.0 over EDZ 73 calls

* +20,000 Dec 72 calls at 22.5 vs 9733.5/0.57%

* 7,000 Dec 65/67 2x1 put sprd at 0.5

* 6,000 Dec 70 puts at 4 vs 9732/0.10%

* 5,300 Short Sep 72 puts at 12.5

* -7,000 Sep 72 Straddle at 26

* -4,000 Red Jun 71/77 Strangle at 30.5

* 5,000 Mar 72/73 Strangle at 3

* 5,000 Short Mar 72/73/75 call tree at 0.5

* -37,500 Jun 73/75 call sprd at 2.25 vs 9729.5/0.10%, adds to -21,500 sold on

screen

* -5,000 Apr 72/73 Strangle at 6.5

* -21,500 Jun 73/75 call sprd at 2.25

Tsy options, Pit/screen:

Feb 5Y vol weighed on

* total -7,500 FVG 114.5 straddles, 29.5/64

* -1,500 TYH 122 straddles, 1-16/64

* 1,200 TYH 119.5 puts 1/64 over the 124.5/125.5 call spds

* 1,000 TYG 121.5/122.25 put spds, 22/64

* -6,500 FVG 114.5 Straddle at 29.5

* +5,000 wk3 TY 122.5 calls, 7/64 vs. 121-29.5/0.20%

* -1,000 wk2 TY 121.5/122 2x1 put spds, 6/64

* -2,000 wk2 TY 122 calls, 3/64 and still bid

* -1,000 TYH 122 straddles, 1-17/64 vs. 121-30.5 pre-data

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

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