US TSYS: YLD CURVES SNAPSTEEPER/LATE DAY VOL LONG TSYS

US TSY SUMMARY: Late session real vol delivery. Yld curves snapped steeper

w/late as long end scaled back strong gains, but rebounded just as quickly (TYH

extends session high after dip ahead close). Heavy late volume: >260k TYH from

122-12 back up to -16.5 (total volume on day >1.6M) near 100k USH from 146-27 to

146-15 and back to -29. 

- First half, strong bid across the curve no longer risk-off with equities

surged, sources pointed to FANG shares, GE outperformance. Focus turns to Fri's

Jan employ report (estimates inch lower, +167k last).

- Equities strong but off highs (SPX +18.0, 2700.5); US$ index firmer (DXY

+.237, 95.576).

- Flow: aforementioned heavy two-way on late real-vol, option-tied hedging,

modest month end extensions, two-way curve flow. Little in way of deal-tied

flow, rate paying in 2s, receivers in 5s and 10s. Large Eurodlr option blocks

(+107k EDU 71/72 put spds w/+50k more in pit); 25k FVH 114-26.7 said sale. 

- Tsy cash/ylds: 2Y 100-02.62 (2.456%), 5Y 100-10 (2.432%), 10Y 104-08.5

(2.626%), 30Y 106-13 (2.996%).

MONTH-END EXTENSIONS: *** UPDATED Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2018; TIPS 0.11Y; Govt inflation-linked, 0.14Y

*.....................Projected...1Y Avg Incr..Last Year

*US Tsys.................0.06........0.08........0.07

*Agencies................0.07........0.09........0.05

*Credit..................0.12........0.09........0.08

*Govt/Credit.............0.08........0.08........0.07

*MBS.....................0.04........0.07........0.07

*Aggregate...............0.07........0.08........0.07

*Long Govt/Credit........0.07........0.09........0.07

*Interm Credit...........0.09........0.08........0.08

*Interm Govt.............0.06........0.08........0.06

*Interm Govt/Cred........0.07........0.07........0.08

*High Yield..............0.02........0.08........0.10

US TSY FUTURES CLOSE: Yld curves snap steeper w/late vol in long end. Long end

scaling back strong gains in late trade, but rebound just as quickly. Heavy late

volume: >260k TYH from 122-12 back up to -16.5 (total volume on day >1.6M) near

100k USH from 146-27 to 146-15 and back to -29. First half, strong bid across

the curve no longer risk-off with equities surged, sources pointed to FANG

shares, GE outperformance. Tsy yld curves mixed/off lows, update:

* 2s10s -0.090, 16.652 (16.160L/17.577);

* 2s30s +1.779, 54.001 (51.561L/54.724H);

* 5s30s +1.677, 56.410 (53.800L/56.709H);

Current futures levels:

* Mar Ultra bonds up 1-20/32 at 161-19 (160-07L/161-20H)

* Mar 30-yr Bond futures up 1-8/32 at 146-30 (145-29L/147-00H)

* Mar 10-yr futures up 18.5/32 at 122-18.5 (122-02L/122-18.5H)

* Mar 5-yr futures up 11/32 at 114-29.75 (114-20L/114-29.75H)

* Mar 2-yr futures up 4.62/32 at 106-06 (106-02L/106-06.12H)

US EURODLR FUTURES CLOSE: Following Tsys lead, futures higher across the strip,

tail end of Whites through Reds outperforming all session. Current White pack

(Mar'19-Dec'19):

* Mar'19 +0.015 at 97.355

* Jun'19 +0.060 at 97.385

* Sep'19 +0.080 at 97.400

* Dec'19 +0.095 at 97.405

* Red pack (Mar'19-Dec'20) +0.095-0.085

* Green pack (Mar'20-Dec'21) +0.080

* Blue pack (Mar'21-Dec'21) +0.080

* Gold pack (Mar'22-Dec'22) +0.080-0.085

US DOLLAR LIBOR: Latest settles,

* O/N -0.0004 to 2.3835% (-0.0012/wk)

* 1 Month +0.0046 to 2.5137% (+0.0137/wk)

* 3 Month +0.0013 to 2.7375% (-0.0142/wk)

* 6 Month -0.0120 to 2.7995% (-0.0327/wk)

* 1 Year -0.0371 to 2.9835% (-0.0480/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.39%, $948B

* Broad General Collateral Rate (BGCR): 2.36%, $451B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $431B

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

01-Feb  -   Jan NA-made light vehicle sales SAAR (9.9m, --)

01-Feb 0830 Jan nonfarm payrolls (312k, 167k)

01-Feb 0830 Jan private payrolls (301k, 175k)

01-Feb 0830 Jan unemployment rate (3.9%, 3.9%)

01-Feb 0830 Jan average hourly earnings (0.4%, 0.2%)

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

01-Feb 0945 Jan Markit Mfg Index (final) (54.9, --)

01-Feb 1000 Feb Michigan sentiment index (f) (90.7, 91.0)

01-Feb 1000 Jan ISM Manufacturing Index (54.1, 54.1)

01-Feb 1100 Q1 St. Louis Fed Real GDP Nowcast

01-Feb 1115 Q1 NY Fed GDP Nowcast

PIPELINE: *** Launched: Bnk of Montreal 5Y, Harley Davidson Fncl 3Y

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

1/31 $1.75B #Bank of Montreal 5Y +92

1/31 $550M #Harley Davidson Fncl 3Y +165

- 

No new corporate, supra-sovereign issuance Wed, $3.65B priced Tue, $14.75/wk 

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* +29,000 Sep 71/72 put spds, 2.5 w/another 15,000 on screen. Open interest in

the two puts between 150-160k each coming into the session

Blocks, 1328-1332ET,

* total "only" +107,000 Sep 71/72 call spds, 2.5

Block, 1301:51ET,

* -15,000 Jun 72/77 strangles (another -5k sold in pit at 2.25

* +20,000 short Jul 81/83 call spds, 2.5

* 10,000 Apr 71/75 put spds, 18.0 vs. 97.32/0.84%

Vol sales...as drop in Tsy ylds has slowed

* -25,000 Dec 72 straddles, 29.0

* -5,000 Sep 72 straddles, 20.5

* +5,000 Apr 73/75 1x2 call spds, 1.25 vs. 97.385

* 5,000 Mar/short Mar 70/71 2x1 put spd spds, 0.0

* 5,000 Apr 73/75 1x2 call spds, 1.25 vs. 97.385

* +10,000 Dec 70/71 2x1 put spds, 0.0

* +5,000 Sep 70/71/72 2x3x1 put flys, 0.5

* +20,000 Jun 75/77 call spds cab over Apr/Jun 72 put strip

Latest trade, trade theme since FOMC: upside call buying in

near to mid-expirys, outright and funded as 35k below), mostly seeing vol

package buyers in the meantime.

* +35,000 Jun 75/77 call spds vs. Apr/Jun 72 put calendar, net of even on the

bull spd

* +20,000 Green Apr 76/78/80 call flys, 2.0

* more short Feb 76 call buyers at 1.0 in pit , adds to appr 39k on screen

* +15,000 Apr 72 straddles, 11.0 vs. 97.34/0.73%

Block, 0958ET,

* 10,000 Sep 72/73 2x1 put spds, 1.0 net

Block, 0936:43ET,

* +20,000 Jul 71 calls, 25.5

* -50,000 Jul 73 calls, 7.0

* Just over +39,000 short Feb 76 calls, 1.0 on screen

* -10,000 short Sep/short Jun 68/70/71/72 put condor strips, 3.5

* +5,000 Dec 73/77 call spds, 8.0 vs. 97.335/0.30%

* +3,000 Sep 71/72/73 call flys, 3.0 vs. 97.32

* +18,000 Sep 75 calls, 4.5 as 

Block, 0829:33ET

* Total of +15,000 Jun 71/75 strangles, 2.25

* +3,000 Red Jun 71/72 strangles, 32.5

* +10,000 Jun 71/75 strangles, 2.25

Blocks

* +20,000 short Feb 73/75 1x2 call spds, 3.0

Tsy options, Pit/screen:

* 5,500 FVH 114.75/115.25 call spds, 10.5/64

* -2,500 TYJ 123.5 calls, 20/64

* -2,000 TYH 123 calls, 11/64

* +10,000 TYM 123 calls 50/64 vs. 122-15.5

* +3,000 FVJ 114/114.5 2x1 put spds, 2.5

* over +10,000 TYH 122.5 calls bought in pit at 18/64 now

* +4,000 TYH 122.5 calls, 18/64 adds to screen buyer >26k at 17/64

* +2,500 wk2 TY 121.7/122.2 1x2 call spds, 5/64 vs. 122-03.5

* 2,000 FVH 114.25 puts, 4.5/64 vs. 114-23

* over 25,000 TYH 122.5 calls on screen, buyer at 17/64

* over 10,000 TYH 123 calls, 9/64 last

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

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