US TSYS: WEAKER AHEAD THU DATA, SENATE VOTE ON SHUTDOWN BILLS

US TSY SUMMARY: FI markets weaker, near mid-range in Tsys and Eurodollar

futures, moves near lock-step with US$/Yen and equities. Early risk-on gradually

unwound heading into midday as equities pared gains (2612.5L) and FX pair moved

off early highs (110.0H to 109.33L).

- Trade quiet since prior to London going home, accts trading narrow range ahead

ECB tomorrow (0745ET), and US Senate vote on couple bills in attempt to end

partial gov shutdown (start around early afternoon, not set in stone).

- Data on tap for Thursday: Sees data picks up with weekly claims (210k), Markit

Mfg and Services index (flash), Leading indicators, Kansas City Fed Mfg Index.

- Early two-way flow into midday, better sellers on net from prop, leveraged

accts, deal-tied selling in short end, better rate paying in 2s-5s, light 2-way

in 4s and6s.

- Tsy cash/ylds: 2Y 99-26.5 (2.589%), 5Y 100-05.5 (2.586%), 10Y 103-06 (2.750%),

30Y 106-00 (3.066%).

US TSY FUTURES CLOSE: Weaker/near mid-range after rebounding steadily off

opening lows through midday -- in-line w/moves in equities. Tsy yld curves

update:

* 2s10s +1.028, 16.042 (14.985L/17.307H);

* 2s30s +0.551, 47.586 (46.837L/49.595H);

* 5s30s -0.166, 47.869 (47.427L/49.187H);

Current futures levels:

* Mar Ultra bonds down 11/32 at 159-10 (158-12L/159-25H)

* Mar 30-yr Bond futures down 14/32 at 144-31 (144-14L/145-10H)

* Mar 10-yr futures down 6/32 at 121-12.5 (121-07L/121-17.5H)

* Mar 5-yr futures down 3.5/32 at 114-06 (114-03L/114-09H)

* Mar 2-yr futures down 1.12/32 at 105-29.38 (105-28.38L/105-30.88H)

US EURODLR FUTURES CLOSE: Weaker across the strip, but off first half lows to

near middle session range, modest volume. Current White pack (Mar'19-Dec'19):

* Mar'19 -0.005 at 97.305

* Jun'19 -0.010 at 97.270

* Sep'19 -0.020 at 97.265

* Dec'19 -0.030 at 97.240

* Red pack (Mar'19-Dec'20) -0.030-0.025

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

* Blue pack (Mar'21-Dec'21) -0.025

* Gold pack (Mar'22-Dec'22) -0.020-0.025

US SWAPS: Spds are mixed after the bell, wings back wider amid better rate

paying in front end (2s-5s), belly mildly tighter. Aside from better paying in

2s-5s, second half flow included two-way in 4s and 6s. Earlier rate payers in 2s

and 5s (2.7437% and 2.697% respectively) faded early narrowing. Latest spd

levels:

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

Wed 3:00    +0.62/15.25   -0.31/8.12     -0.25/2.94    +0.25/-18.00

12:30       +0.38/15.00   -0.19/8.25     -0.19/3.00    +0.19/-18.06

9:15        -0.12/14.50   -0.25/8.19     -0.19/3.00    -0.06/-18.31

Wed Open    +0.12/14.75   -0.31/8.12     -0.12/3.06    +0.00/-18.25

Wed 7:30    -0.12/14.50   -0.12/8.31     +0.12/3.31    +0.38/-17.81

Tue 3:00    -0.75/14.75   -0.12/8.38     -0.62/3.12    -0.94/-18.44

Tue Open    +0.38/15.88   +0.25/8.75     -0.25/3.50    -0.25/-17.75

US DOLLAR LIBOR: Latest settles,

* O/N +0.0085 to 2.3841% (+0.0003/wk)

* 1 Month -0.0090 to 2.5100% (+0.0040/wk)

* 3 Month -0.0086 to 2.7706% (+0.0096/wk)

* 6 Month +0.0000 to 2.8536% (+0.0017/wk)

* 1 Year -0.0021 to 3.0350% (+0.0049/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.41%, $967B

* Broad General Collateral Rate (BGCR): 2.37%, $459B

* Tri-Party General Collateral Rate (TGCR): 2.37%, $431B

PIPELINE: *** $2B Columbia 2-part and $1.5B Fifth Third launched

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

1/23 $2B #Colombia $500M 10Y Tap +170, $1.5B 30Y +215

1/23 $1.5B #Fifth Third 5Y +110

1/23 $Benchmark OKB 3Y MA+7a

1/23 $3.5B *ADB 5Y MS+7

1/23 $2B *FMS Wertmanagement 5Y MS+9

1/23 $600M *KEB Hana Bank $300M 3Y +87.5, $300M 5Y +102.5

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

24-Jan 0830 19-Jan jobless claims (213k, 210k)

24-Jan 0945 Jan Markit Mfg Index (flash) (53.8, --)

24-Jan 0945 Jan Markit Services Index (flash) (54.4, --)

24-Jan 1000 Dec leading indicators (0.2%, -0.1%)

24-Jan 1030 18-Jan natural gas stocks w/w

24-Jan 1100 18-Jan crude oil stocks ex. SPR w/w (-2.683m bbl, --)

24-Jan 1100 Jan Kansas City Fed Mfg Index (3, --)

24-Jan 1130 US Tsys 4W bill auction (912796UQ0) 

24-Jan 1130 US Tsys 8W bill auction (912796UU1)

24-Jan 1630 23-Jan Fed weekly securities holdings

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* -3,000 Red Sep'20 68/80 call over risk reversals, 3.0

* -2,500 short Apr 72/73/75/76 call condors, 3.5

* +7,000 short Feb 72 puts, 4.0

* +5,000 Apr 72/73/75 call flys, 3.0

* -5,000 Red Mar'20/Red Sep'20 80 2x1 call spds, 1.5

* +25,000 Green Feb 75/77 call spds, 4.5

* 20,000 May 71 puts, 1.5 vs. 97.37/0.19%

* 10,500 Jun 81/85 put spds on screen

* +5,000 Sep 76 calls, 3.5 vs. 97.265/0.16

* -3,450 Dec 72/73 strangles, 30.0 vs. 97.23

* +15,000 Jul 71/72/75 call flys, cab/net

* +5,000 short Apr 72/73/77 broken call trees, 0.0

* 5,000 short Mar 71/72 3x2 put spds, 5.5

* -4,000 long Green Sep'21 65/70 put spds, 13.5

* -4,000 Dec/Green Dec 71 put spds, 3.5/flattener

* 10,000 Green Feb 77 calls, 1.0 on screen

* +12,000 Jul 71/72/75 broken call flys, even net/wings bought over

* +6,000 Red Mar'20 85/90 call spds, 1.5

* -4,000 Dec 68/70 put spds, 3.0

* 2,000 Green Mar 73/75 call spds, 5.0 vs. 97.40/0.18%

* -3,000 Dec 65/67/70 1x1x2 put trees, 11.0

* +15,000 Feb/Mar 72 put spd, 1.0

* +5,000 Sep 73 calls 3.0 over Dec 78/82 put strip

* -4,000 Dec 68/70 put spds, 3.0

* +2,000 short May 72/76 1x3 call spds, 0.5-1.0

* +2,000 Green Mar 73/75 strangles, 16.5

Tsy options, Pit/screen:

* 2,000 TYH 122/124 1x2 call spds, 13

* 2,250 TYG 121.5 puts, 11/64 vs. 121-16.5

* 10,000 TYG 120.75/121 put spds, 2/64 vs. 121-10 (reminder, Feb options expire

Friday)

* 1,250 TYH 121.5/122.5 call strips, 39/64 vs. 121-11

* 2,000 FVH 114.5 calls, 11/64 vs. 114-03.25/0.32%

Reminder, Feb serial ops expire Fri. Ops 0.5 tic ITM (0.25 tic for 5-, 2-yr

opt's) auto-exercised. If futures vary much post-set, traders have until 1900ET

to notify clearing intention to abandon option that would normally be exercised,

some dealers require earlier notice. According to CME Group data:

*             Calls     Puts      Total   Nearest-the-Money Strike Totals

* Feb 30yr   214,842  315,108    529,950  144.50 w/ 13,367 (1,841c, 11,526p)

*                                         145.00 w/ 14,287 (8,024c, 6,263P)

*                                         145.50 w/ 11,381 (6,236c, 5,145P)

* Feb 10yr 1,051,424 1,005,339 2,056,763  121.25 w/ 41,097 (10,354c, 30,743p)

*                                         121.50 w/ 214,271 (150,588c, 63,683p)

*                                         121.75 w/ 44,835 (24,576c, 20,259P)

* Feb 5yr    339,283  500,163    839,446  114.00 w/ 69,899 (34,844c, 35,055p)

*                                         114.25 w/ 44,754 (26,674c, 18,080p)

*                                         114.50 w/ 76,356 (39,651c, 36,705p)

* Feb 2yr     51,588   58,114    109,702  105.88 w/ 8,841 (2,247c, 6,594p)

*                                         106.00 w/ 9,580 (4,640c, 4,940p)

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

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