US TSYS: WEEK HIGHS FOR TSYS, US GOV SHUTDOWN 2.0 FEB 15 NEARS

US TSY SUMMARY: Tsys see-sawed near session/week highs into Fri's close, curves

steeper for most part (large 2s30s steepener block earlier) on modest volume

(TYH<950k). US$ index continued to add to wk's gains (+.122, 96.629 vs.

96.693H). Equities weaker/off lows (SPX -5.00, 2699.0).

- Very quiet data day: NY Fed GDP Nowcast, grain stocks data. Fed speak: SF Fed

pres Daly at an economic forecast conf in SF: financial conditions now tighter

than start of 2018; economy is self-reining; repeated comments made by Fed chair

Powell last week that shutdown drag will be made up Q2; a second shut-down "much

worse for confidence" as clock ticks down to Feb 15 gov shutdown threat of

border-wall financing.

- Heavy Tsy and Eurodollar option flow for otherwise quiet end to week: better

ATM vol sales in former vs. buying upside calls/call spds, latter seeing large

hedging of Q3 rate cut risk. No deal-tied flow to speak of, fast$ selling 3s-5s,

bank and real$ buying 10s and 30s.

- Tsy cash/ylds: 2Y 100-02.25 (2.461%), 5Y 100-08.75 (2.439%), 10Y 99-30

(2.630%), 30Y 100-15 (2.975%).

US TSY FUTURES CLOSE: Drifting near session/week highs by the bell, renewed

buying late even as equities pare losses. Curves scaling back from

earlier/steeper levels, update:

* 2s10s -0.808, 16.559 (16.278L/17.455H);

* 2s30s -0.106, 51.013 (50.232L/53.186H);

* 5s30s +0.195, 53.197 (52.394L/55.050H);

Current futures levels:

* Mar Ultra bonds up 24/32 at 162-06 (161-10L/162-07H)

* Mar 30-yr Bond futures up 13/32 at 146-29 (146-11L/146-31H)

* Mar 10-yr futures up 3/32 at 122-12 (122-06L/122-15H)

* Mar 5-yr futures up 2/32 at 114-26 (114-22L/114-28.25H)

* Mar 2-yr futures up .75/32 at 106-04.25 (106-02.88L/106-05.25H)

US EURODLR FUTURES CLOSE: Higher across the strip, upper half of narrow range,

Whites lag Reds-Golds. Current White pack (Mar'19-Dec'19):

* Mar'19 +0.005 at 97.365

* Jun'19 +0.015 at 97.380

* Sep'19 +0.020 at 97.380

* Dec'19 +0.015 at 97.370

* Red pack (Mar'19-Dec'20) +0.020-0.025

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

* Blue pack (Mar'21-Dec'21) +0.020

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

US DOLLAR LIBOR: 

* O/N +0.0026 to 2.3857% (+0.0117/wk)

* 1 Month -0.0128 to 2.5041% (-0.0099/wk)

* 3 Month +0.0007 to 2.6977% (-0.0349/wk)

* 6 Month -0.0232 to 2.7418% (-0.0482/wk)

* 1 Year -0.0125 to 2.9357% (-0.0259/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.38%, $918B

* Broad General Collateral Rate (BGCR): 2.36%, $464B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $440B

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

11-Feb 1100 Feb NY Fed expectations survey

PIPELINE: $8.85B/week priced on week

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

No new issuance Thursday or Friday

-

$4.5B priced Wednesday, $8.85B/week

02/06 $2B *BP Capital Markets America $1B 7Y +82, $1B 10Y tap +92

02/06 $1.25B *Bank of Nova Scotia 5Y bail-in +92

02/06 $1.25B *CAF (Corp Andina de Fomento) 3Y +72

-

$1B priced Tuesday, $4.35B/wk

02/05 $1B *Verizon WNG 10Y +120

-

$3.35B priced Monday

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:

Block, 1353:42ET

* 5,000 Green Dec 75/81 2x3 call spds, vs. 3x Green Dec 71 puts, 7.5 net/calls

over

Wrong-way ratio call spd

* +10,000 Mar 73/75 2x1 call spds, 3.75 vs. 97.365/0.80%

* -10,000 Apr/Jun 75/76 call strip spd, 5.5 net cr

opinions vary on rates for Sep rates --

* 10,000 Sep 76/77/78/80 call condors, 1.0

* 6,250 Sep 71/72/73/75 call condors, 5.5

* 3,000 Sep 77/Green Sep 80 2x1 call spds,

* 17,500 short Jul 67/70 put spds, 1.0

* 9,000 Jun 72/75 call over risk reversals, 1.0

* +4,000 Jun 75/76 1x2 call spds, 0.0

* +20,000 Jul 76/78 call spds vs. -10,000 Jun 75 calls, 1.5 net db

* +5,000 Dec 68/70 2x1 put spds, 0.0

Friday theme centers on hedging upside risk in the event of a rate cut in Q3

* Update, appr +60,000 Sep 77/78 call spds bought at 1.0 between pit/block

screen vs. 97.38 to .39/0.05%

* +22,500 Sep 77/78 call spds, 1.0 vs. 97.39/0.05 adds to +10k Block

* +15,000 Jul 76/78 call spds, 1.75

* 10,000 Dec 67/68/70 put trees, 0.5

* +9,000 Sep 71/73 strangles, 11.5-12.0

* -5,000 Green Mar 77/Blue Mar 76 call spds, 1.5 net/Blue over

Blocks,

* +10,000 Sep 77/78 call spds, 1.0 vs. 97.38/0.05 at 0850:51ET

* +22,500 Sep 72/75 strangles, 11.0 at 0842:24ET

Block, 0821:29ET,

* +12,000 short Jun 72/76 strangles, 14.0

* +25,000 Dec 73/75/76/78 broken call condors, 1.0 adds to 10k Block

Block, 0805:55ET,

* +10,000 Dec 73/75/76/78 broken call condors, 1.0

Overnight trade includes

* 10,000 Sep 72/75 call spds, 10.5

* 4,600 Sep 75/76/77 call trees, 0.0

* 10,200 Feb 73 calls, .75

* 13,800 Mar 73 calls, 1.75

Tsy options, Pit/screen:

* Update, just over 35,000 FVJ 114.75/115.75 call spds, 30/64, likely an unwind

of buy at 16/64 from Wednesday

* -3,500 TYJ 122.5 straddles, 1-11/64 and still bid, but not for long. Paper

eager to sell ATM vol in favor of buying upside calls and call spds going into

the weekend

* -50,000 TYJ 123.5/124.5 call spds, 12/64

* Update, total -52,000 TYJ 122.5/123.5 call spds, 24/64

* -52,000 TYJ 122.5/123.5 call spds, 24/64 (open interest in the 122.5 calls is

77,276; OI in the 123.5 calls 27,484 coming into the session).

* +4,000 FVH/FVJ 114.5 put spds, 7.5/64 vs. 114-23/0.05%

* +4,000 TYJ 121.5 puts, 4/64 vs. 122-10 remains well offered

* -2,500 TYJ 122.5 straddles, 1-12/64

* +1,000 USH 143.5/145.5 2x1 put spds, 9

Overnight trade

* over 35,000 wk3 TY 121.25 puts, 1/64

* 3,800 wk3 TY 122 puts, 7/64

* 6,200 wk2 TY 122 puts

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

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