US TSYS: US$ REBOUND, PRES TRUMP THROWS TSY MNUCHIN UNDER BUS

US TSYS SUMMARY: Priming the greenback pump? US Pres Trump in Davos says Tsy Sec

Mnuchin weak greenback comments Wednesday are taken out of context. US$ reverse

weakness/trade higher (DXY 89.495 +.289 vs. 89.580L), risk assets fall

(equities, gold, oil). Tsy yld correlation to US$ snap back in place (for the

moment at least) as Tsys surge/yld curves crater to new 10Y lows. 

- Aside from late night headlines from Pres Trump, focus turns to Fri's headline

GDP release (3.0% exp) and durables (.9%), Fed remains in communication

black-out ahead Jan 31 FOMC).

- Volatile day for US$, heavy pressure as Euro surged on post ECB annc/pres

Draghi comments "very few chance of rate hike this year on data". Draghi also

implied Mnuchin injected unwanted FX volatility w/$ comments.

- Heavy 2-way flow w/better buying 5s-30s late morning on, 5s30s flattener

Block. Strong $28B 7Y auction stopped through with 0.013bp to 2.565% rate.

Modest High-grade issuance, $3B Capital One 3-tranche lead. - Long end swap spds

gap tighter late, doesn't look like easing bank regs soon.

- Late ylds: 2Y 2.080%, 3Y 2.194%, 5Y 2.420%, 7Y 2.549%, 10Y 2.621%, 30Y 2.885%

US TSY FUTURES CLOSE: Higher/off session highs with long end climbing steadily

after strong 7Y auction stopped through with 0.013bp to 2.565% rate. Curves

crushed to new 10+ year lows/off lows late as 10Y yld slips .024 to 2.6225%.

Latest curve update:

* 2s10s -2.802, 53.835 (57.242H/53.249L);

* 2s30s -4.579, 80.235 (85.093H/79.274L);

* 5s30s -2.584, 46.648 (50.272H/45.413L);

Current futures levels:

* Mar Ultra bonds up 1-14/32 at 163-09 (161-26L/163-18H)

* Mar 30-yr Bond futures up 27/32 at 149-10 (148-11L/149-15H)

* Mar 10-yr futures up 6.5/32 at 122-13 (121-31L/122-14H)

* Mar 5-yr futures up 2.75/32 at 115-06.75 (114-31L/115-07.5H)

* Mar 2-yr futures steady at 106-23.5 (106-21.75L/106-24.5H)

US EURODOLLAR FUTURES CLOSE: Steady/mixed in the short end to higher out the

strip, near late session highs. Current White pack (Mar'18-Dec'18):

* Mar'18 +0.000 at 98.145

* Jun'18 -0.005 at 97.940

* Sep'18 -0.010 at 97.800

* Dec'18 -0.005 at 97.675

* Red pack (Mar'19-Dec'19) steady to +0.015

* Green pack (Mar'20-Dec'20) +0.020-0.030

* Blue pack (Mar'21-Dec'21) +0.030-0.040

* Gold pack (Mar'22-Dec'22) +0.040-0.050

US SWAPS: DON'T THINK LEVERAGE RATIO RELEIF FOR BANKS ANYTIME SOON.

- No word from Fed officials on easing regulatory burden for systemically

important/too big to fail banks -- but spd curve flattens sharply into Thu's

close, long end continues to gap tighter/extend inversion, more than reversing

last week's steepening on hopes of lvg ratio relief from Fed Board of Gov Randy

Quarles.

- Spds started to gap tighter in aftermath of bull flattening in Tsys as US Pres

Trump talked up the US$, saying midweek comments from Tsy Sec Mnuchin giving

pass to weaker US$ were taken out of context.

- Limited flow on day, better receiving from bank portfolios in front end, bank

paying in belly, macro fund paying intermediates vs. wings on carry-over fly

interest. Latest spread levels:

* 2Y  +0.31/18.31

* 5Y  +0.31/7.38

* 10Y -1.88/1.06

* 30Y -2.06/-16.12

     PIPELINE: $3B Capital One Launch, $1B EIB India 10Y Priced

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

01/25 $3B #Capital One in three Parts, 5Y fix +80, FRN +72 and 10Y +120

10/25 $1B *Export-Import Bank of India 10y at +125

01/25 Chatter $15B Celgene (CELG)

01/25 Chatter Export-Import Bank of India (EXIMBK) Baa2/BBB-

01/25 Chatter Petroleos Mexicanos (PEMEX) Baa3/BBB+, rumored $7.5B

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

- Jan 26 Dec advance goods trade gap (-$70.9B, --) 0830ET

- Jan 26 Dec advance wholesale inventories (0.8%, --) 0830ET

- Jan 26 Dec advance retail inventories (0.1%, --) 0830ET

- Jan 26 Q4 GDP (adv) (3.2%, 3.0%) 0830ET

- Jan 26 Q4 GDP Price Index (2.1%, 2.3%) 0830ET

- Jan 26 Dec durable goods new orders (1.3%, 0.9%) 0830ET

- Jan 26 Dec durable new orders ex transport (-0.1%, 0.5%) 0830ET

- Jan 26 Q1 St. Louis Fed Real GDP Nowcast (3.47%, --) 1100ET

- Jan 26 Q1 NY Fed GDP Nowcast (3.1%, --) 1115ET

     Eurodollar/Treasury Option Summary

     Eurodollar options, Pit/screen: 

* -10,000 short Apr 75/76/78 put trees, 13.5 vs. 97.52/0.25%

* +2,500 Green May 67/68/71 put flys, 2.25

* +12,500 Jun 76/77 put spds, cab

* -2,000 Blue Feb/Blue Mar 72 straddle spd on 2x3 ratio, 32.0 net cr

* -2,500 Jun 78/80 call over risk reversals, 1.25

* Update, total +6,500 short Mar 75/76 2x1 put spds, 3.0

* +20,000 short Sep 81 calls, 1.5 vs. 97.43

* +15,000 Blue Mar 68/71/72 put flys, 1.0 pit/screen

* +3,000 Blue Mar 72/75 2x3 call spds, 14.5 vs. 97.28/0.60%

* +5,000 Blue Mar 68/71/72 put flys, 1.0

* -2,500 Green May 70/71/72/73 put condors, 3.5

* +5,000 Mar 80 puts, 0.5 w/Jun 78/82 2x1 put spd, 26.0 vs. 97.935/0.25%, 26.5

total debit adds to 10k block

* +15,000 Green Jun 70 puts, 3.5 vs. 97.34-.335/0.18%

* +5,000 Green Jun 67 puts, 1.5 vs. 97.35/0.08%

* +10,000 long Green Jun 63/68 2x1 put spds, 4.5

* -9,000 short Mar 75 puts, 3.0

* 4,000 Dec 73/78 3x1 put spds, 20.0

* +1,000 Green Dec 72 straddles, 47.5

* +1,000 Blue Dec 72 straddles, 51.5

Block, 1000:58ET

* +10,000 Mar 80 puts, 0.5

* +10,000 Jun 78/82 2x1 put spd, 26.0 vs. 97.935/0.25%

* +20,000 short Jun 73/75 put spd 3.5 over short Jun 80 calls

* +5,000 short Apr 73/75 put spds 2.5 over short Apr 77 calls

* +5,000 Mar 82/83 1x2 call spds, 0.5

* +3,500 short Mar 75/76 2x1 put spds, 3.0

* -1,500 short Feb/short Mar 76 straddle strip, 22.0

Block, 0908:43ET,

* 10,000 short Jun 72/73/75 put trees, 2.5 net

     Tsy options, Pit/screen:

* +2,500 TYM 120.5/123.5 put over risk reversals, 11/64

* 4,000 TYH 122/122.5 call spds, 16/64 vs. 122-05

* 2,000 wk1 TY 122.5/123.25/124call flys, 10/64

* 750 wk1 US 149.5/151/152.5 call flys, 19/64

* 1,000 TYG 121.75 puts, 1/64

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

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