US TSYS: CARRY-OVER RISK-OFF AHEAD MIDWEEK DATA, FOMC MINUTES

US TSY SUMMARY: US returns from extended holiday weekend, risk-off carry-over

with equities trading weaker, unwinding risk ahead of Wednesday's flood of dat,

Fed speak and FOMC minutes release where tapering of bill buying and repo

operations in focus.

- Yld curves bull flattened with the 3M10Y re-inverting, some light curve

steepener interest early faded quickly.

- Risk-off support evaporated around midmorning as as equities inched off lower

levels. Implied vol receding. Recent flow includes fast- and real$ selling

intermediates, program sellers in long end after real$ selling in

30s. 

- Risk-off support gradually evaporating as equities continue to move off lower

levels. Implied vol receding. Recent flow includes fast- and real$ selling

intermediates, program sellers in long end after real$ selling in

30s. Heavy option flow favored buying low delta, upside call insurance.

- The 2-Yr yield is down 2bps at 1.4075%, 5-Yr is down 2.6bps at 1.3897%, 10-Yr

is down 3.1bps at 1.5542%, and 30-Yr is down 3.2bps at 2.007%.

TECHNICALS:

US 10YR FUTURE TECHS: (H0) On The Front Foot  

*RES 4: 132-02+ High Oct 3 and Oct 7 and key resistance

*RES 3: 131-29 Feb 3 high

*RES 2: 131-20+ High Feb 4

*RES 1: 131-12+/16+ High Feb 18 / 76.4% of the Feb 3 - Feb 6 decline 

*PRICE: 131-10+ @ 16:55 GMT, Feb 18

*SUP 1: 130-19+ Low Feb 12

*SUP 2: 130-07   Low Jan 29 and key near-term support

*SUP 3: 129-30+ 50-day EMA

*SUP 4: 129-17+ Low Jan 23 

10yr futures traded on the front foot throughout the Tuesday session, with

global risk-off helping to aid the bid. This has worked against the current

bearish outlook, but bulls need to top 131-16+ to confirm and open the early

February highs. To the downside, scope is seen for a move towards 129-30+, an

area of support highlighted by the 50-day EMA.

JGB TECHS: (H0): Bullish Breakout?

*RES 3: 153.55 - High Nov 28 and key resistance

*RES 2: 153.15 - 100-dma

*RES 1: 153.13 - High Jan 31

*PRICE: 152.90 @ 17:02 GMT, Feb 18

*SUP 1: 152.33 - 50-dma

*SUP 2: 151.62 - Contract lows, Dec 20

*SUP 3: 151.11 - 76.4% retracement of August 2018 - September 2019 Rally

JGBs underwent a decent rally in Asia-Pacific hours Tuesday, with bulls

challenging the mid-February highs. These need to be taken out to open the

100-dma at 153.15, which acts as a bull trigger going forward. Nonetheless, the

risk of a pullback still looms large at present levels. For bears to recapture

any momentum, a close below the 50-dma is needed, opening 151.62 and the 151.11

mark beyond.

TSY FUTURES CLOSE: Firmer after the bell, upper half of relatively narrow range

if you disregard the midmorning risk-off unwind that lasted about 90 minutes.

Update:

* 3M10Y  -3.225, -2.397 (L: -4.863 / H: -0.366)

* 2Y10Y  -0.789, 14.501 (L: 13.89 / H: 15.759)

* 2Y30Y  -1.054, 59.665 (L: 58.467 / H: 61.077)

* 5Y30Y  -0.873, 61.282 (L: 60.479 / H: 62.325); Current futures levels:

* Mar 2-Yr futures up 1/32 at 108-0.125 (L: 107-29.875 / H: 108-01)

* Mar 5-Yr futures up 3.25/32 at 119-30.5 (L: 119-24 / H: 120-02)

* Mar 10-Yr futures up 7.5/32 at 131-7 (L: 130-26.5 / H: 131-12.5)

* Mar 30-Yr futures up 25/32 at 163-6 (L: 162-02 / H: 163-16)

* Mar Ultra futures up 1-11/32 at 194-7 (L: 192-08 / H: 194-29)

US TSY FUTURES: Mar/Jun futures roll volume finally picking up. Friday, February

28 is first notice (June futures take lead quarterly position). March futures

don't expire until mid-late March (10s, 30s and Ultras on 3/20, 2s & 5s 3/31).

Session volume and % complete update:

* TUH/TUM appr 61,900 from -6.12 to -5.62, -5.88 last; 13% complete

* FVH/FVM appr 70,100 from -13.0 to -12.25, -12.75 last; 10% complete

* TYH/TYM appr 49,300 from 3.5 to 4.25, 3.5 last; 7% complete 

* UXYH/UXYM appr 7,000 from 9.00 to 9.75, 9.0 last; 2% complete

* USH/USM appr 18,200 from 30.25 to 30.75, 30.5 last; 11% complete

* WNH/WNM appr 28,700 from -26.0 to -24.25, -25.5 last; 13% complete

US EURODLR FUTURES CLOSE: Moderately higher after the bell, near session highs

w/short end holding steady. Current White pack (Mar'20-Dec'20):

* Mar 20 +0.000 at 98.345

* Jun 20 +0.025 at 98.475

* Sep 20 +0.020 at 98.560

* Dec 20 +0.020 at 98.60

* Red Pack (Mar 21-Dec 21) +0.020 to +0.025

* Green Pack (Mar 22-Dec 22) +0.025

* Blue Pack (Mar 23-Dec 23) +0.030

* Gold Pack (Mar 24-Dec 24) +0.030 to +0.035

US DOLLAR LIBOR: Latest settles

* O/N -0.0127 at 1.5634% (-0.0127/week)

* 1 Month +0.0003 to 1.6470% (-0.0112/wk)

* 3 Month +0.0018 to 1.6946% (+0.0029/wk)

* 6 Month -0.0101 to 1.7148% (+0.0048/wk)

* 1 Year -0.0208 to 1.7719% (-0.0264/wk)

US SWAPS: Spds running tighter across the board, late session lows/wings leading

on back of over $18B swappable corporate supply. Spec rate receiving in 2s-10s

earlier. Latest spd levels:

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

Tue 1500   -1.50/+2.25    -0.25/-1.00   -0.69/-6.19    -1.00/-33.75

1400       -1.44/+2.31    -0.12/-0.88   -0.50/-6.00    -0.75/-33.50

1200       -1.12/+2.62    -0.06/-0.81   -0.50/-6.00    -0.69/-33.44

1000       -0.75/+3.00    +0.06/-0.69   -0.12/-5.62    -0.06/-32.81

Tue Open   -0.75/+3.00    +0.06/-0.69   -0.12/-5.62    -0.06/-32.81

Tue 0730   -0.81/+2.94    -0.12/-0.88   -0.06/-5.56    +0.00/-32.75

Fri 1500   -0.25/+2.62    -0.44/-0.56   -0.56/-5.56    -0.75/-33.00

Friday recap: Running mildly tighter, low end narrow range on decent rate

receiving over last hour in 2s, 3s and 5s, 2s3s10s receiver fly.

STIR: Federal Reserve Bank of New York EFFR for prior session:

No data due to Monday holiday

US TSYS: REPO REFERENCE RATES:

No data due to Monday holiday

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

19-Feb 0700 14-Feb MBA Mortgage Applications (1.1%, --)

19-Feb 0810 Atl Fed Pres Bostic, remarks at Harvard Business School Club of Atl

19-Feb 0830 Clev Fed pres Mester. fireside chat Philly, Q&A

19-Feb 0830 Jan housing starts (1.608m, 1.420m); Jan building permits (1.420m

rev, 1.450m)

19-Feb 0830 Jan Final Demand PPI (0.2% rev, 0.1%); ex. food & energy (0.1%,

0.1%)

19-Feb 0830 Jan PPI ex. food, energy, trade (0.2% rev, 0.1%)

19-Feb 0830 Feb NY Fed Business Leaders Index

19-Feb 0855 15-Feb Redbook retail sales m/m

19-Feb 1000 Q4 Service Revenue (1.3%, --)

19-Feb 1145 Mn Fed Pres Kashkari, ag symposium, Mn

19-Feb 1330 Dal Fed Pres Kaplan, Urban Land Institute of North Texas.

19-Feb 1400 Jan 29 FOMC minutes

19-Feb 1630 Rich Fed Pres Barkin, "New Monetary Policy Frameworks: Why Now?"

PIPELINE: $5B Amgen 5-parter largest issuer in just over $18B high-grade debt on

day

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

02/18 $5B #Amgen 5-part: $500M 5Y +55, $750M 7Y +75, $1.25B@: 10Y +90, 20Y +117,

30Y +137

02/18 $3.75B #MUFG $2.6B 5Y +80, $1.15B 10Y +100

02/18 $2B #Gazprom 10Y 3.25%

02/18 $1.75B #BNP Paribas Perp NC10 4.5%

02/18 $1.75B #FirstEnergy $300M 5Y +70, $600M 10Y +110, $850M 30Y +140

02/18 $1B #Commonwealth Edison, $350M 10Y +68, $650M 30Y +100

02/18 $1B #Republic Services $600M 10Y +78, 00M $30Y +108

02/18 $700M #National Retail $400M 10Y +98, $300M 30Y +120

02/18 $600M #Brookfield Finance 30Y +150

02/18 $500M #KKR Group Finance 30Y +165

02/18 $Benchmark Mizuho Fncl 4.25NC3.25 +65a, 6.25NC5.25 +85a, 11.25NC10.25

+105a

Eurodollar/Tsy options 

Eurodollar options:

BLOCK 1331:53ET, 50k total

* Another 40,000 Jun 86/88 call spds, 3.5 w/8,200 on screen

* appr 25,000 Apr 88 calls on screen at 1.25 last few minutes, pushes volume up

to 32,500

* 15,000 Jun 86/88/91 call flys, 2.5

* +4,000 short Jun 81/82/91/92 call condors, 10.5

* +10,000 Sep 81/82 2x1 put spds, 0.5 vs. 98.525/0.05%

* +5,000 short Mar 86 calls, 11.5 vs. 98.695/0.64%

* +2,500 Apr 85/87/90 1x3x2 call flys, 1.0

* Update, 45,000 Dec 80/81/82 put flys, 1.5

Block, 1152:10ET, more June upside buy interest

* 10,000 Jun 86/88 call spds, 3.5 vs. 98.485/0.10%

* hearing another +50,000 Dec 88 calls in pit at 2.25 after total 100k

screen/block buys at 2.0

* 25,000 Dec 80/81/82 put flys, 1.5

* 3,000 Dec 78/80/81 put flys, 0.5

* 15,000 (5k pit post data) Sep 81/82/83 2x3x1 put flys, 2.5

* 3,000 Jun 87/88 call spds, 1.25 vs. 98.465

* 2,000 Jun 85/86/87 call trees on screen

* 1,600 Apr 85/87/90 call flys on screen

* Update, 35,000 Dec 80 puts, 1.0 on screen

Large Block after the bell, 0820:38ET,

* 50,000 Jun 88 calls, 2.0 with an additional 48,000 on screen in minutes after

Highlight overnight trade:

* 14,500 short Jun 83 puts

* 22,650 Apr 83 calls

* 28,000 Apr 85 calls

* 12,950 Sep 81 puts vs. 19,425 Sep 82 puts

* 1,800 Sep/Dec 81/82/90/91 call condor spd

Tsy options:

* 40,000 TUM 106.5 puts, .5/64 on screen

* Update, +150,000 FVM 114.75 puts, 1/64 on screen

* over 50,000 FVM 113 puts trade cab-7

* Update, -10,000 USK 166 calls from 62- down to 59/64

* +2,000 TYH 131.5/132 2x1 put spds, 1/64

* +3,000 FVJ 119.5/121.5 call over risk reversals, 1.5/64

* +2,000 TYJ 131.5 calls, 40/64

* 1,000 TYH 131 calls, 11/64 vs. 131-00

Highlight overnight trade:

* Block, 10,000 USJ 158/160 2x1 put spds, 12/64 vs. 5,000 USH 164 calls, 14/64

* Block, 7,500 USH 164 calls, 10/64

* 13,500 TYJ 129 puts, 7/64

* 11,300 TYJ 128.5 puts, 4/64

* 3,500 USJ 157 puts, 14/64

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

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