US TSYS: FI RALLY, SoS TILLERSON FIRED, PENN ELECTION TONIGHT

US TSY SUMMARY: Tsys trade higher, near top end of range after extending session

highs in early/post-CPI data trade. Eye on Penn elections, poll close at 2000ET.

Feb CPI +0.2%, as expected by an MNI survey and below the +0.3% whisper number,

energy prices up only 0.1% and food prices flat.

- US$ index weaker after starting session higher (DXY -.193, 89.702); equities

weaker (emini -25.0, 2764.0; German DAX as well -292.0 to 12132.5); gold firmer

(XAU +3.65, 1326.70); West Texas crude weaker (WTI -.76, 60.60).

- Relatively quiet session on modest volume. Flow included some deal-and

auction-tied hedging, real$ +3s post CPI, fast$ sellers in 10s and long end

sporadically into midmorning. Midday two-way flow w/better buying in

intermediates to long end post $13B 30Y auction re-open that awarded 3.109% rate

(3.121% previous); strong 2.38 bid/cover (2.26 previous).

- Swap spds wider by the bell, session wides with long end outpacing short end

late. Modest deal-and Tsy supply hedging in addition to sporadic rate paying in

2s, 10s and 30s.

- Late ylds: 2Y 2.258%, 3Y 2.416%, 5Y 2.623%, 7Y 2.772%, 10Y 2.844%, 30Y 3.101%

US TSY FUTURES: Moderately higher across the curve, long end outperforming by

the bell, off early session highs. Relative quiet trade ahead Wed's retail sales

(0.4% est). Latest curve update:

* 2s10s -2.104, 58.096 (61.344H/57.869L);

* 2s30s -2.617, 83.771 (87.620H/83.032L);

* 5s30s -1.920, 47.330 (50.135H/46.811L);

Current futures levels:

* Jun Ultra bonds up 28/32 at 156-27 (155-18L/156-31H)

* Jun 30-yr Bond futures up 15/32 at 144-06 (143-13L/144-15H)

* Jun 10-yr futures up 6/32 at 120-12.5 (120-02.5L/120-17H)

* Jun 5-yr futures up 2.5/32 at 114-04 (113-31.5L/114-07.25H)

* Jun 2-yr futures up .5/32 at 106-08.75 (106-07.5L/106-09.75H)

US EURODOLLAR FUTURES CLOSE: Trade steady/mixed by the bell, short end under

pressure all session. Current White pack (Mar'18-Dec'18):

* Mar'18 -0.017 at 97.822

* Jun'18 -0.020 at 97.695

* Sep'18 -0.010 at 97.595

* Dec'18 +0.000 at 97.465

* Red pack (Mar'19-Dec'19) steady to +0.005

* Green pack (Mar'20-Dec'20) +0.010-0.005

* Blue pack (Mar'21-Dec'21) +0.010-0.015 

* Gold pack (Mar'22-Dec'22) +0.010-0.015

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0000 to 1.4450 (-0.0019/wk)

* 1 Month +0.0117 to 1.7766% (+0.0263/wk)

* 3 Month +0.0176 to 2.1245% (+0.0358/wk)

* 6 Month +0.0175 to 2.3042% (+0.0356/wk)

US SWAPS: Spds running wider by the bell, session wides with long end outpacing

short end late. Modest deal-and Tsy supply hedging in addition to sporadic rate

paying in 2s, 10s and 30s. Latest spread levels:

* 2Y  +1.25/32.62

* 5Y  +0.75/15.75

* 10Y +1.12/4.75

* 30Y +1.75/-13.50

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

03/13 $3.25B *Asian Development Bank (ADB) 5Y +9

03/13 $220M *Idaho Power 30Y +110

03/13 $Benchmark African Development Bank 3Y MS+1a

-

$13.1B priced Monday

03/12 $5.3B *Campbell 7-tranche, details: $500M 2Y FRN L+50; $350M 3Y fix, +90;

$400M 3Y FRN L+63; $1.2B 5Y +105; $850M 7Y +120; $1.2B 5Y +105; $1B 10Y +130;

$700M 30Y +170, 

03/12 $2.25B *Commonwealth Bank of Australia (CBA) 5Y fix and/or FRN, 10Y fix

03/12 $1.75B *Standard Chartered Plc $1.25B 6NC5 +125, $500M 15NC10 +200

03/12 $1.15B *Caterpillar $450M 3Y fix +50, $450M FRN L+23, $250M Tap of CAT

3.25 +78

03/12 $650M *Fifth Third Bancorp 10Y +110

03/12 $500M *Toyota Ind, $500M 5Y +60, $500M 10Y +70

03/12 $1.5B *Valeant Pharmaceuticals, 8NC4 Sr notes

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

- Mar 14 09-Mar MBA Mortgage Applications (0.3%, --) 0700ET 

- Mar 14 Feb Final Demand PPI (0.4%, 0.1%) 0830ET 

- Mar 14 Feb PPI ex. food and energy (0.4%, 0.2%) 0830ET 

- Mar 14 Feb PPI ex. food, energy, trade (0.4%, --) 0830ET 

- Mar 14 Feb retail sales (-0.3%, +0.4%) 0830ET 

- Mar 14 Feb retail sales ex. motor vehicle (0.0%, 0.5%) 0830ET 

- Mar 14 Feb retail sales ex. mtr veh, gas (-0.2%, --) 0830ET 

- Mar 14 Jan business inventories (0.4%, 0.6%) 1000ET 

- Mar 14 Mar Atlanta Fed inflation (3.2%, --) 1000ET 

- Mar 14 09-Mar crude oil stocks ex. SPR w/w (2.41m bbl, --) 1030ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen: reminder, March futures/options expire Friday

* -30,000 Jun 78 calls 0.5 over +15,000 Jun 76 puts vs. 97.70/0.64%

* total -12,500 Red Dec'19 65/70 2x1 put spds, 7.0

* +10,000 Green Mar/Blue Mar 71 call spds, 1.0

* -5,000 short Mar 75/76 put strip, 45.0 vs. 10,500 EDH9 97.34

* +15,000 short Jun 70/71 put spds, 2.0

* +7,000 short Mar 73 puts, 2.5 vs. 97.365/0.60%

* +7,000 Green Jun 66/68 and 67/70put spd strip, 11.0

Latest Blocks, 0935ET

* 10,000 short Jun 70 puts, 2.5 vs. 97.265/0.18%

* 10,000 Blue Jun 67 puts, 4.5 vs. 97.065/0.18

* 7,750 Green Mar 70/71 2x1 put spds mostly at 3.5 vs. 97.105/0.45%

* 5,000 Sep 72/73 2x1 put spds, 0.5

* -10,0000 Green Mar 70 puts, 0.5

* total -15,000 Green Sep 72 calls, 13.5 vs. 97.09/0.36%

* -11,500 Green Sep 72 calls, 13.5 vs. 97.09/0.36%

* -5,000 Red Mar'19 75 calls, 12.5 vs. 97.97.37/0.40%

Note, implied vol starting to bleed lower, lack of delivered vol w/underlying

hardly budging since the Sec of State Rex Tillerson firing news.

Block, 0904:14ET, still bid

* -20,000 short Jun 73 puts, 7.0

Pre-data:

* -10,000 Dec 71/72/73/75 put condors, 3.5

* 5,000 short Mar 73 puts, 3.5 vs. 97.36/0.61%

* 2,000 Aug 73/75 2x1 put spds, 1.5

* 2,000 Green Mar 70/71 call over risk reversals, 0.5

Block, 0648:27, ongoing buyer of put spd/outright and vs. the 73 calls

* 25,000 short Apr 71/72 put spds 2.5 over the short Apr 73 calls, vs.

97.235/0.27%

Tsy options, Pit/screen:

* 1,300 TUK 106/106.1/106.2 put trees, 1/64

* -10,000 TYM 119 puts, 23/64

* 1,000 TYJ/TYK 121 call spds, 15/64

* +2,500 TYK 118.5/119 put strip, 21/64 earlier

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

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