US TSYS: HEAVY MONTH END FI SALE

US TSY SUMMARY: Thursday's trade a BIG let-down after Wednesday's active

session, very quiet on net -- though month end flow saw heavy selling into the

bell, curves bending off flatter levels most of session. Futures gaining last

few minutes as selling evaporates. Equities sliding (SPX -12.0, 2783.0); US$

index mildly higher (DXY +.044, 96.198).

- Much lighter option flow on day, but tone remains bearish for second day as

opposed to call buyers fading the move in the underlying.

- Rates opened bid but reversed direction/traded lower all session after GDP

+2.6; PMI 64.7 -- highest since Dec 2017. Little react to several Fed speakers

towing the line (on net). Mkts remain sensitive to US/China trade headlines.

- On tap for Friday: NA-made light vehicle sales throughout the session; January

personal income (0.3% est); Dec current dollar PCE (-0.1%); February Markit Mfg

Index; March Michigan sentiment index (f) (95.8 est); February ISM Manufacturing

Index (56.6, 55.5).

- Tsy cash/ylds: 2Y 99-30.62 (2.520%), 5Y 99-10 (2.521%), 10Y 99-04 (2.722%),

30Y 99-09.5 (3.086%).

US TSY FUTURES CLOSE: Extending session lows after the bell amid heavy month end

selling (after brief uptick on +15k FVM Block buy). Yld curves well off flatter

levels, 2s10s cracking 20.0 first time since Feb 4.0, update:

* 2s10s +2.099, 20.344 (17.164L/20.526H);

* 2s30s +0.825, 57.388 (53.539L/58.150H);

* 5s30s -1.039, 57.329 (54.907L/60.132H);

Current futures levels:

* Jun Ultra bonds down 1-1/32 at 159-10 (159-08L/161-02H)

* Jun 30-yr Bond futures down 21/32 at 144-08 (144-06L/145-12H)

* Jun 10-yr futures down 11/32 at 121-28 (121-27L/122-15H)

* Jun 5-yr futures down 5.75/32 at 114-16 (114-14.75L/114-27H)

* Jun 2-yr futures down 2.12/32 at 106-02.5 (106-01.88L/106-06.62H)

MONTH-END EXTENSIONS: FINAL Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2018; TIPS 0.09Y; Govt inflation-linked, 0.11Y

*.....................Projected...1Y Avg Incr..Last Year

*US Tsys.................0.12........0.08........0.12

*Agencies................0.07........0.09........0.06

*Credit..................0.07........0.10........0.10

*Govt/Credit.............0.10........0.09........0.10

*MBS.....................0.04........0.06........0.08

*Aggregate...............0.08........0.08........0.10

*Long Govt/Credit........0.11........0.10........0.11

*Interm Credit...........0.06........0.08........0.08

*Interm Govt.............0.09........0.08........0.09

*Interm Govt/Cred........0.08........0.08........0.09

*High Yield..............0.02........0.07........0.05

US EURODLR FUTURES CLOSE: Much like prior session, futures at/near lows across

the strip, lead quarterly mildly high. Current White pack (Mar'19-Dec'19):

* Mar'19 +0.002 at 97.400

* Jun'19 -0.010 at 97.390

* Sep'19 -0.020 at 97.385

* Dec'19 -0.030 at 97.350

* Red pack (Mar'19-Dec'20) -0.040-0.055

* Green pack (Mar'20-Dec'21) -0.050-0.040

* Blue pack (Mar'21-Dec'21) -0.040-0.035

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

US SWAPS: Spds running mostly wider, 5y bucking move as it slips back to late

Dec'18 levels. Though mildly wider now, short end still at 3-year lows currently

(2Y chopped around sub 5.0 lvls late 2015/early 2016 before starting rise in

Spring of 2016 to >35.0 by end of 2016). Decent two-way position over last

couple hours includes payer in 2s at 2.61809% and receiving in 5s at 2.577%

after flurry of flys: 3s4s7s, 3s5s10s, 2s5s10sand 2s7s10s all paying in the

belly. Current spds levels

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

12:00       +0.19/9.12    -0.62/5.00     +0.06/0.69    +0.69/-20.69

10:45       -0.19/8.75    -0.31/5.31     +0.25/0.88    +1.12/-20.25

9:30        -0.06/8.88    -0.12/5.50     +0.31/0.94    +0.88/-20.50

Thu Open    +0.19/9.12    +0.25/5.88     +0.25/0.88    +0.25/-21.12

Wed 3:00    -0.25/8.31    -0.06/5.31     -0.12/0.31    -0.75/-21.75

US DOLLAR LIBOR: Latest settles

* O/N -0.0055 to 2.3827% (-0.0051/wk)

* 1 Month +0.0011 to 2.4903% (+0.0060/wk)

* 3 Month -0.0110 to 2.6151% (-0.0311/wk)

* 6 Month +0.0007 to 2.6857% (-0.0203/wk)

* 1 Year -0.0017 to 2.8648% (-0.0268/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.37%, $898B

* Broad General Collateral Rate (BGCR): 2.37%, $454B

* Tri-Party General Collateral Rate (TGCR): 2.37%, $434B

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

01-Mar  -   Feb NA-made light vehicle sales SAAR (7.1m, --)

01-Mar 0830 Jan personal income (0.2%, 0.3%)

01-Mar 0830 Dec current dollar PCE (0.4%, -0.1%)

01-Mar 0830 Dec total PCE price index (0.2%, --)

01-Mar 0830 Dec core PCE price index (0.1%, 0.2%)

01-Mar 0945 Feb Markit Mfg Index (final) (53.7, --)

01-Mar 1000 Mar Michigan sentiment index (f) (110.0, 95.8)

01-Mar 1000 Feb ISM Manufacturing Index (56.6, 55.5)

01-Mar 1045 NY Fed VP Stiroh, Policy Efficiency in Supervision, NY

01-Mar 1100 Q1 St. Louis Fed Real GDP Nowcast

01-Mar 1115 Q1 NY Fed GDP Nowcast

01-Mar 1315 Atl Fed Pres Bostic, eco outlook/mon-pol, NABE conf DC, Q&A

PIPELINE: $5.9B to price on day, $21B/wk, $104.25B/Month!

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

$5.9B priced Wednesday, $21B for week

02/27 $1B *Brooklyn Union Gas $550M 10Y +117, $450M 30Y +142

02/27 $1B *Rockwell Automation 10Y +110a, 30Y +140a

02/27 $2B *CDP Fncl 3Y +23

02/27 $500M *Stanley Black & Decker WNK 7Y +85

02/27 $500M *Travelers WNG 30Y +107

02/27 $400M *Verisk 10Y +150

02/27 $500M *Zions Bancorporation 3Y +90

Eurodollar/Treasury Option Summary

     Eurodollar options, Pit/screen:

* -20,000 Green Mar/Blue Mar 76 call spds, 1.0cr steepener

* +28,000 short Jul 67/70 put spds, 1.0 on screen

* +19,000 Blue Mar 71/73 put spds, 1.0 on screen

* +5,000 Green Mar 73/75 2x1 put spds, 1.5 

* +15,000 Sep 70/71 2x1 put spds, 0.0

* -10,000 Dec 75 calls,3.0

* +4,000 Blue Dec 75 straddles, 44.0

* +20,000 Red Mar 80/85 call spds, 3.5 vs. 97.45/0.10%

* +5,000 Jun 72/73/75 1x1x2 call trees, 7.5

* -2,000 short Apr 75/Green Mar 76 straddle strip, 28.5

* -4,000 Blue Jun 77/80 call spds, 3.0

* 10,000 Sep 70/71 2x1 put spds, 0.0

* -10,000 Jul 75 calls, 3.0

* 20,000 Jul/Aug 71 put spds, 0.5

* 8,000 short Apr 73/76 put over risk reversals, 0.5 vs. 97.48/0.10%

* 7,500 Green Sep 75/76 4x5 call spds, 7.5, vs. 97.56/0.10%

Block, 0823ET

* +13,000 short Sep 81 calls, 4.5

* -13,000 Blue Sep 81 calls, 3.0

Tsy options, Pit/screen:

* +5,000 TYM 121.5 puts, 39/64

* +10,000 wk1 US 139.5 puts, cab-5

* 1,000 USJ 144/145.5/147 1x3x2 call flys, 6/64 net

* +3,000 TYJ 120.75/121.25 put spds, 5/64

* -7,000 FVJ 113.75/114.75 strangles on day at 12.5

* +2,000 FVJ 113.75/114/114.25 put trees, 1/64

* +1,500 TYM 122/123 strangles, 1-16/64

* 3,300 TYK 121.5 puts, 27/64 vs. 122-01.5

* 4,000 FVK 113.75/114.25 2x1 put spds, 0.0 earlier

* 1,500 TYJ 121.5 puts, 11/64 vs. 122-04

* 1,000 TYJ 121.25/123.25 put over risk reversals, 1/64 vs. 122-06/0.35%

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

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