US TSYS: FI RISK-OFF RALLY, UK BREXIT DEAL VOTED DOWN

US TSY SUMMARY: Tsys marched steadily higher all session, underlying bid largely

tied to UK Brexit deal vote -- extending highs for  day after the bell as PM

May's Brexit deal voted down. No-deal vote for Wed (time TBA); potential article

50 extension vote and/or second referendum vote Thu.

- Tsys also supported early in second half: post-auction rally, yld curves

reversed steepening/extended flatter. 

- Flow included prop and real$ selling near highs. Large option trade on screen

>90,000 TYK 123.5/124.5 call spds sold at 11. Two-way swap tied flow 2s-10s.

- Decent deal-tied flow on $16.7B high-grade copr issuance. Tsy $24B 10Y note

auction stopped through by 0.7bp awarded 2.615% rate.

- On tap for Wednesday: February Final Demand PPI; January durable goods new

orders; January construction spending; TSY $16B 30Y bond auction (912810SF6).

- Tsy cash/ylds: 2Y 100-02.88 (2.446%), 5Y 99-27.5 (2.403%), 10Y 100-07

(2.598%), 30Y 100-07.5 (2.987%).

US TSY FUTURES CLOSE: Late chop following failure of PM May's bill in

parliament, futures trading near session highs, yld curves near lows. Update:

* 2s10s -1.337, 14.866 (14.507L/16.995H);

* 2s30s -1.122, 53.858 (52.940L/56.349H);

* 5s30s +0.024, 58.351 (57.236L/59.847H);

Current futures levels:

* Jun Ultra bonds up 1-6/32 at 162-18 (160-17L/162-27H)

* Jun 30-yr Bond futures up 24/32 at 146-12 (145-03L/143-17H)

* Jun 10-yr futures up 8/32 at 122-28.5 (122-12L/122-31H)

* Jun 5-yr futures up 4.75/32 at 115-00.25 (114-22.5L/115-01.75H)

* Jun 2-yr futures up 2/32 at 106-07 (106-03.25L/106-07.5H)

US EURODLR FUTURES CLOSE: Higher across the strip, just off top end of session

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

* Mar'19 +0.005 at 97.400

* Jun'19 +0.015 at 97.385

* Sep'19 +0.020 at 97.390

* Dec'19 +0.030 at 97.365

* Red pack (Mar'19-Dec'20) +0.040-0.050

* Green pack (Mar'20-Dec'21) +0.050-0.055

* Blue pack (Mar'21-Dec'21) +0.050-0.045

* Gold pack (Mar'22-Dec'22) +0.050-0.045

US DOLLAR LIBOR: Latest settles

* O/N +0.0002 to 2.3904% (+0.0036/wk)

* 1 Month -0.0102 to 2.4886% (-0.0029/wk)

* 3 Month -0.0150 to 2.5932% (-0.0034/wk)

* 6 Month +0.0029 to 2.6821% (+0.0031/wk)

* 1 Year -0.0005 to 2.8685% (+0.0049/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.38%, $949B

* Broad General Collateral Rate (BGCR): 2.36%, $470B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $446B

US SWAPS: Spds cinched tighter across the board amid better than anticipated

swappable issuance from financial names ($4.5B World Bank 5Y, Kommunalbanken 2Y,

Bank of America 6NC5, SunTrust Bank 5Y, $1B MuniFin 5Y). Better rate lock paying

over last couple hours, two-way in 2s, 3s5s7s payer fly noted. Latest spd

levels:

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

Tue 3:00    -0.94/11.62   -0.88/6.62     -0.66/1.38    -0.50/-20.12

11:45       -1.00/11.56   -1.00/6.50     -0.71/1.31    -0.38/-20.00

9:30        -0.81/11.75   -0.62/6.88     -0.50/1.50    -0.38/-20.00

Tue Open    -0.62/11.94   -0.31/7.19     -0.38/1.62    -0.38/-20.00

Tue 7:45    -0.25/12.31   +0.00/7.50     +0.00/2.00    +0.12/-19.50

Mon 3:00    +0.31/12.25   -0.06/7.44     +0.10/2.00    +0.00/-19.75

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

13-Mar 0700 08-Mar MBA Mortgage Applications (-2.5%, --)

13-Mar 0830 Feb Final Demand PPI (-0.1%, 0.2%)

13-Mar 0830 Feb PPI ex. food and energy (0.3%, 0.2%)

13-Mar 0830 Feb PPI ex. food, energy, trade (0.2%, --)

13-Mar 0830 Jan durable goods new orders (1.2%, -0.5%)

13-Mar 0830 Jan durable new orders ex transport (0.1%, 0.1%)

13-Mar 1000 Mar Atlanta Fed inflation

13-Mar 1000 Jan construction spending (-0.6%, 0.3%)

13-Mar 1030 08-Mar crude oil stocks ex. SPR w/w (7.07m bbl, --)

13-Mar 1300 US TSY $16B 30Y bond auction (912810SF6)

PIPELINE: $12.1B priced so far, waiting on another $4.6B

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

03/12 $5B *Bank of America $2.25B 6NC5 +105, $2.75B 31NC30 +135

03/12 $4.5B *World Bank 5Y +6

03/12 $1.25B *SunTrust Bank 5Y +80

03/12 $600m *American International Group (AIG) WNG 10Y +168

03/12 $750M *Kommunalbanken 2Y FRN L+4

03/12 $1.25B #American Tower $650M 5Y +103, $600M 10Y +148

03/12 $1.1B #Southern California Edison $500M 10Y +165, $600M 30Y +190

03/12 $750m #ANZ New Zealand 5Y +110

03/12 $500m #Ameriprise Financial WNG 3Y +68

03/12 $1B MuniFin WNG 5Y +16a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: (March expires Fri)

* +10,000 Blue Mar 76 calls, 3.0

* -5,000 Green Mar 77 calls, cab

* -3,000 long Green Dec 60/76 3x1 put spds, 30.5

* +5,000 May 73 puts, 1.75

* -4,000 Sep 72 puts, 2.0

* -5,000 Red Jun'20 90 calls, 1.0

* -10,000 long Green Jun 60 puts, 1.5/Block

* +5,000 Dec 72/75 call spds, 11.5

* +10,000 Green Jul 77/80/81 call flys, 4.25

* +7,000 short May 70/72 put spds, 1.0

* 3,000 Green Mar 77 calls, cab

* +7,000 Dec/Red Mar'20 68/70 put spd spd, 0.5 net/Reds over

* +15,000 Dec 68/70/71 put flys, 1.0

* 11,000 (6k on screen) short Jun/Green Jun/Blue Jun 75 2x1x1 put trees, 1.0 net

* 3,000 Dec 73 straddles, 23.5

* +10,000 Red Jun'20 85/87 call spds, 1.25 earlier

* +16,000 short Mar 73 puts, 0.5

* +5,000 Jun 72/73/75 1x3x3 call flys, 5.0

* +2,500 Jun 72/73 2x1 put spds, vs. Jun 75 calls, 0.75 net

Modest overnight trade included

* 5,000 Mar 73 calls

* 2,500 Dec 70/71 2x1 put spds

Tsy options, Pit/screen:

Large screen trade last couple minutes

* Update, appr -90,000 TYK 123.5/124.5 call spds at 11/64

* +2,000 TYJ 122.75 calls, 20/64

* 2,000 FVM 113/113.5/114 put trees, 1.5/64

* 2,000 TYJ 121.5/122 put spds, 2/64 vs. 122-22 earlier

* +4,000 TYJ/TYK 123 call spds, 17/64 -- adds to earlier screen buy

* -1,750 USK 143/149 strangles, 34/64

screen trade -- closer

* >-40,000 TYK 123/125 call spds, 23/64 vs 122-24 -- spd bought last week

Thursday at 24

* appr -15,000 TYM 120.5/124.5 strangles, 21- to 20/64

* -1,500 TYM 120.5/124.5 strangles, 21/64

* -1,000 TYM 122.5 straddles, 1-30/64

* -3,000 TYK 129 calls, 1/64

* 12,800 TYJ/TYK 123 call spds, 17/64

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

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