US TSYS: FI SALE AS STRONG NFP GAIN OUTWEIGHS SMALL AHE MISS

US TSY SUMMARY: Small AHE miss +0.1498% vs. 0.2% exp gets overlooked in favor of

strong Feb jobs gain of +313k, well over +220k est. Early trade did prove choppy

as market digested the data/weighing headline data vs. finer details of

individual numbers. Front to intermediates rebounded back to steady briefly

before sellers gained traction, extending long end to new lows several times,

curves steepening.

- US% index eased slightly (-.101, 90.078) after making strong gains on Thu;

equities stronger (emini +40.5, 2784.75); gold firmed (XAU +1.23, 1323.20); West

Texas crude rebounded from Thu lows (WTI +1.95, 62.07).

- Decent two-way flow in post-data chop from fast$, real$ and bank portfolios in

2s-10s, prop and real$ selling in 10s-30s, option-tied selling/call buying, no

deal-tied flow on light late week issuance ($55B/wk priced, $40B due to CVS). 

- Little to no react to Fed speakers Evans and Rosengren on day, Evans status

quo, Rosengren may need more than 3 hikes in 2018. Fed media black-out begins

Saturday ahead FOMC on Mar 20-21.

Late ylds: 2Y 2.264%, 3Y 2.433%, 5Y 2.654%, 7Y 2.812%, 10Y 2.894%, 30Y 3.159%

US TSY FUTURES: Weaker across the curve, long end underperforming. Off-lows by

the bell, long end is coming under renewed selling w/strong performance in

equities (emini +40.0 at 2784.25). Latest curve update:

* 2s10s +2.426, 62.743 (62.947H/59.790L);

* 2s30s +2.779, 89.568 (89.899H/85.734L);

* 5s30s +1.759, 50.773 (51.018H/47.893L);

Current futures levels:

* Jun Ultra bonds down 28/32 at 154-31 (154-20L/156-02H)

* Jun 30-yr Bond futures down 17/32 at 143-00 (142-24L/143-23H)

* Jun 10-yr futures down 5.5/32 at 120-00 (119-26.5L/120-08H)

* Jun 5-yr futures down 3/32 at 113-30.5 (113-27.25L/114-02.5H)

* Jun 2-yr futures down .5/32 at 106-07.5 (106-06.5L/106-08.25H)

US EURODOLLAR FUTURES CLOSE: Lower across the strip, off low end of range after

modest position squaring/post-data profit taking. Current White pack

(Mar'18-Dec'18):

* Mar'18 -0.015 at 97.850

* Jun'18 -0.015 at 97.730

* Sep'18 -0.010 at 97.625

* Dec'18 -0.015 at 97.480

* Red pack (Mar'19-Dec'19) -0.025-0.035

* Green pack (Mar'20-Dec'20) -0.035-0.040

* Blue pack (Mar'21-Dec'21) -0.035-0.030

* Gold pack (Mar'22-Dec'22) -0.030

US DOLLAR LIBOR: Latest settles,

* O/N +0.0000 to 1.4469 (-0.0006/wk)

* 1 Month +0.0108 to 1.7503% (+0.0598/wk)

* 3 Month +0.0173 to 2.0887% (+0.0635/wk)

* 6 Month +0.0094 to 2.2686% (+0.0402/wk)

US SWAPS: Spds running mixed by the bell, spd curve flatter, 2Y spd at levels

not seen since early May 2017. Rather modest flow on day, carry-over paying in

2s and 5s, pre-auction hedging ahead Mon's 3- and 10Y note auctions. Long end

finally narrowing after decent corp supply this week ($55B on week, $40B tied to

CVS deal). OTC swaption vol lower. Latest spread levels:

* 2Y  +1.06/30.00

* 5Y  +0.69/13.56

* 10Y -0.31/2.69

* 30Y -0.44/-16.19

PIPELINE: $9.45B priced Thursday, $55B on week, $40B tied to CVS deal

No new supply issued Friday

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

03/08 $2.35B *Bank of America Perpnc 10 fix-FRN 5.875%

03/08 $1.5B *John Deere Capital $400M 3Y fix+48/+500M FRN +24/$600M 7Y +67

03/08 $1.25B *Province of Alberta Canada, 10Y +45

03/08 $1B *Transcontinental Gas Pipeline $400M 10Y +120, $600M 30Y +150

03/08 $1B *Export Dvlp Canada 5Y +10

03/08 $1B *Sysco $500M 7Y +85, $500M 30Y +135

03/08 $500M *Kommunalbanken FRN 3/2021 Tap L+4

03/08 $550M *Edison Int 10Y +128

03/08 $300M *Apollo Management hldngs WNG 30Y +200a

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

- Mar 12 Feb ETI (106.93, --) 1000ET

- Mar 12 Feb BLS state payrolls (168.8k, --) 1000ET

- Mar 12 Mar NY Fed expectations survey 1100ET

- Mar 12 US Tsys $51B 3M bill auction 1130ET

- Mar 12 US Tsys $45B 6M bill auction 1130ET

- Mar 12 US Tsys $28B 3Y note auction 1300ET

- Mar 12 US Tsys $21B 10Y note auction re-open 1300ET

- Mar 12 Feb Treasury budget balance ($49.2b, -$223.0B) 1400ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

Block, 1353:45ET

* 10,000 short Jun 77/80 call spds, 0.5

* 12,500 Red Sep'19 66/72 3x2 put spds, 39.0 vs. 6,750 EDU9, 97.19

* 10,000 Green Apr 66 puts, 0.5 vs. 97.115/0.03%

Additional trades from earlier include

* -15,000 short Dec 75 calls 0.5 over the short Dec 67/70 put spds

* +10,000 short Jun 70/71 put spds 1.00 over the short Jun 75/76 call spds --

adds to earlier Blocks

* +5,000 short Sep 77/78 call strip, 6.0

Block, 1126:01ET, adds to mid-week Block buys

* +10,000 Dec 71/72 put spds, 2.5

* 15,000 short Jun 70/72 put spds, 9.0

* 20,000 Green Sep 70 puts, 18.0 vs. 97.07/0.44%

* 7,950 Red Jun'19 73 calls, 18.5 vs. 97.28/0.42 vs. Green Sep 72 calls, 14.5

vs. 91.105/0.40%, likely another steepener after a global macro bought over

30,000 Red Jun/Green Jun 73 call spd/steepeners at 12.5 Thu.

Block, 1033:00ET

* 10,000 Red Mar'19 68/73 put spds, 16.0 vs. 97.37/0.35%

Block, 1004:38ET, still offered

* +10,000 short Apr 73 calls, 3.5

* 10,000 Green Sep 72 calls 14.5

* 5,000 Green Mar 70/Green Apr 66 put spd

* +5,000 short Sep 77/78 call strip, 6.0

Latest Block, 0919:58ET, another 10k put spd bought over, 1.0 net, 20k total

* +10,000 short Jun 70/71 put spds, 4.0 vs.

* -10,000 short Jun 75/76 call spds, 3.0 vs. 97.28/0.22%

Block, 0855:14ET, put spd bought over, 1.0 net

* +10,000 short Jun 70/71 put spds, 4.0 vs.

* -10,000 short Jun 75/76 call spds, 3.0 vs. 97.275/0.22%

* +15,000 Green Mar 72/73 call spds, 0.5

* -10,000 Apr 76 puts, 0.75

* +1,0000 short Apr 77 calls, 0.5

* +3,000 Red Jun'19 76/78 put spds, 4.5

* -30,000 Jun 77/78 2x1 put spds, 1.25 vs. 97.73 to .735

Block, 0757:45ET, ongoing buyer

* +6,750 Apr 80 calls, 0.5, adds to +10k earlier

Block post, 0703:45ET, remains well offered

* +10,000 Apr 80 calls, 0.5, ongoing buyer

Tsy options/Pit/screen:

* 4,000 TYM 118/119.5 3x2 put spds bought at 40/64 vs. 119-28.5 recently

* -4,000 TYJ 120 straddles, 50/64 and

* over -2,000 TYM 120 straddles from 1-53 to 1-54/64

* -2,700 TYK 120 straddles, 1-20/64

* -2,100 TYM 119.5/120.5 strangles, 1-24/64

* -2,000 TYJ 120 puts, 27- to 28/64

* 1,500 TYK 119 puts, 18/64 vs. 119-30.5

* 1,250 TYJ/TYK 118 put spds, 6/64

* 1,000 FVM 114 straddles, 1-7/64

* +5,000 wk3 TY 119.25/119.75 put spds

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

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