US TSYS: CONTINUED HEAVY FI SALE ROLLS INTO WKND, 30YY 3.125%

US TSY SUMMARY: Quiet end to a hectic week. Rates broadly weaker as new month

gets underway, Tsy just off late session lows on decent/heavy futures volume

(TYM>1.66M). US Equities firmer but off mid-morning highs (SPX +17 2801.75); US$

index higher/near late highs (DXY +.379, 96.536).

- Note 30YY up to 3.1193% -- 2019 highs so far/revisits mid-Dec 2018 lvl 5s30s

yld curves still well off Thu's 12-month highs (60.132) currently 56.830. Decent

volumes (mostly generated in first half) bely muted trade later in session. flow

more two-way now, position squaring ahead weekend and next week's employ report

for February (+190k est).

- Tsy cash/ylds: 2Y 99-28.38 (2.557%), 5Y 99-04.75 (2.556%), 10Y 98-28 (2.753%),

30Y 97-20 (3.122%).

US TSY FUTURES CLOSE: Trading just off late session lows after the bell, 30YY

>3.125%. Yld curves mostly steeper, Update:

* 2s10s -0.44, 19.441 (18.954L/20.752H);

* 2s30s +0.145, 56.472 (55.690L/57.670H);

* 5s30s +0.005, 56.555 (55.583L/57.263H);

Current futures levels:

* Jun Ultra bonds down 1-4/32 at 158-15 (158-11L/159-27H)

* Jun 30-yr Bond futures down 22/32 at 143-25 (143-22L/144-18H)

* Jun 10-yr futures down 1/32 at 121-20 (121-19L/122-00H)

* Jun 5-yr futures down 8/32 at 114-10 (114-09.5L/114-18.25H)

* Jun 2-yr futures down 3.38/32 at 105-31.75 (105-31.5L/106-03.38H)

US EURODLR FUTURES CLOSE: Mostly weaker, short end outperforming as 3M LIBOR

continues to drift lower. EDZ9/EDZ0 inching off deeper inversion, -0.140 last.

Current White pack (Mar'19-Dec'19):

* Mar'19 +0.007 at 97.407

* Jun'19 -0.005 at 97.390

* Sep'19 -0.020 at 97.370

* Dec'19 -0.035 at 97.325

* Red pack (Mar'19-Dec'20) -0.045-0.060

* Green pack (Mar'20-Dec'21) -0.060-0.055

* Blue pack (Mar'21-Dec'21) -0.050-0.040

* Gold pack (Mar'22-Dec'22) -0.040-0.035

US DOLLAR LIBOR: Latest settles

* O/N +0.0021 to 2.3848% (-0.0030/wk)

* 1 Month -0.0085 to 2.4818% (-0.0025/wk)

* 3 Month -0.0166 to 2.5985% (-0.0477/wk)

* 6 Month -0.0036 to 2.6821% (-0.0239/wk)

* 1 Year +0.0142 to 2.8790% (-0.0126/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.58%, $1.003T

* Broad General Collateral Rate (BGCR): 2.55%, $462B

* Tri-Party General Collateral Rate (TGCR): 2.55%, $445B

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

04-Mar 0945 Feb ISM-NY current conditions (63.4, --)

04-Mar 1000 Dec construction spending (0.8%, --)

04-Mar 1130 US TSY $48B 13W bill auction (912796RS0)

04-Mar 1130 US TSY $39B 26W bill auction (912796SG5)

PIPELINE: Texas Instruments kicks off new month; $104.25B priced last Month!

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

03/01 $750M #Texas Instruments 20Y +82

-

No new issuance Thursday

-

$5.9B priced Wednesday, $21B for week

Eurodollar/Treasury Option Summary

     Eurodollar options, Pit/screen:

* total 10,000 long Green Mar'21 90/100 1x2 call spds, 3.5 (NOT including the

11k bought w/long Green Sep'21 90/100 1x2 call spds earlier as a strip.)

* 7,000 Red Jun'20 63/67 2x1 put spds, 1.0

* 4,000 Green Mar 72/73 2x1 put spds, 0.5

* +30,000 Dec 77/78 call spds, 1.0 -- adds to 15k in pit earlier

* 7,000 Sep/Dec/Red Mar 72/73/75 call fly strip, 7.5 total

* 5,000 Jun 72/75 1x2 call spds, 12.5

Block, 1054:25ET

* 11,500 Jun 73/75 call spds, 4.0 vs. 97.39/0.40%

* Block: +5,000 Green Dec 73/78 2x3 call spds vs. -10k Green Dec 70 puts, 10.0

net vs. 4,500 EDZ1 at 97.485

* +15,000 Dec 77/78 call spds, 1.0

* +3,000 Mar 73 puts cab over Jun 71 puts

* +5,000 Green Dec 75 straddles, 45.0

* Update +11,000 long Green Sep'21 90/100 1x2 call spds, 5.0 w/

* +11,000 long Green Mar'21 90/100 1x2 call spds, 3.5, 8.5 total db/package (had

been a buyer of 3k long Green Mar'21 call spds outright prior at 3.5)

* -20,000 short Jul 81/83 call spds, 1.0 and looking for more buyers (acct

reportedly +100k short Jun 81/83 call spds)

* +30,000 short Jun 80/87 call spds on screen, 1.5

* 10,000 Green Mar 77 calls, 1.0 vs. 97.525/0.005%

* +10,000 Mar 76/78 call spds, 0.5

* -3,000 Apr 75 calls w/Jul 76 calls x2, 4.0 total cr

* +4,000 Jun 73 straddles, 9.0

* +5,000 Sep 70/71 2x1 put spds, 0.0 vs. 97.39/0.10%

* +2,500 Green Dec 75 straddles, 45.0

* Update, total +16,000 Sep 68/70/71 put flys, 0.5

Seeing some action in par calls out the curve:

* 3,000 long Green Mar'21 90/100 1x2 call spds

* 5,000 long Green Sep'21 90/100 1x2 call spds, 5.0

* 5,000 long Green Mar'21 90/100 1x2 call spds, 3.5

* -2,000 Green Mar 75 straddles, 11.0

* 2,500 Green Jun 75/80 call spds, 11.5 vs. 97.515/0.25%

* 4,000 short Jun 73/76 put over risk reversals, 3.0

* +3,250 Sep 68/70/71 put flys, 0.5

* 2,000 Aug 75/76/77 call flys, 1.0

* 17,610 Mar 73 puts, 0.5 on screen

* 9,300 Dec 73/75 call spds on screen

* 5,000 short Jun 77/80 call spds blocked earlier, 2.0

Tsy options, Pit/screen:

* 12,000 USM 139/140 put spds, 10/64 -- adds to near 50k earlier from 8-9

* 5,000 TYJ 120 puts, 3/64 vs. 121-18

* +5,000 TUJ 106.12/106.25 call spds, 1.5/64

* Update, total +44,000 USM 139/140 put spds, 8- to 9/64 in pit and on screen

* +10,000 USM 139/140 put spds, 8/64 in pit and on screen 

* -4,000 TYK 121/122.5 strangles, 45/64

Latest trade, more vol sales, this time adding to larger short position in May

(reminds me of the old days of West coast $ manager or mortgage servicer

selling)

* -10,000 TYK 120.123.5 strangles, 19/64

HEAVY TYJ activity

* -43,000 TYJ 121.5/122.5 put spds, 38/64 on screen -- closer (+50,000 TYJ

121.5/122.5 put spds, 23/64 on Wednesday)

This after scale seller of strangle below:

* Update> -11,000 TYJ 121/123 strangles, 13- to 14/64 vs. 121-27/0.10% --

traders say this is the same shop that sold some 37,000 TYK 121/124 strangles at

26- to 24/64 from last week Wednesday to Monday

Large strangle seller building short vol position, hear current bid for 30k more

* Update> -11,000 TYJ 121/123 strangles, 13- to 14/64 vs. 121-27/0.10% --

traders say this is the same shop that sold some 37,000 TYK 121/124 strangles at

26- to 24/64 from last week Wednesday to Monday

* -6,500 TYJ 121/123 strangles, 13/64 vs. 121-27/0.10%

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

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