US TSYS: JAN FOMC MINUTES, SOMETHING FOR EVERYONE

US TSY SUMMARY: Tsy trade mildly weaker across the curve after the bell, near

midmorning lows tapped again after the Jan FOMC minutes; yld curves well off

steeper levels. Take away March/June roll trades and volume rather muted.

- Earlier two-way trade in lead-up to minutes, deal-tied selling, curve

steepeners, short covering in front end, earlier program and prop selling in

long end as equities near 3 month highs. Decent Tsy futures volume for midday

largely due to surge in March/June rolling. Better buying upside calls on net.

Despite reversal in short end post 3M LIBOR higher set, March Eurodollar futures

back higher.

- Bbg headline: "SEVERAL OFFICIALS SAW 2019 RATE HIKE IF ECONOMY STAYS ON TRACK"

lent to bounce in US$ index and fresh selling in Tsys, yld curves pared

steepening. Tsys held range, however. Note another Bbg headline that "MANY FED

OFFICIALS UNSURE WHAT RATE ADJUSTMENTS NEEDED THIS YR." Not surprising given

disruption of economic data flow due to longest US gov shutdown in history.

- Tsy cash/ylds: 2Y 99-31.88 (2.500%), 5Y 100-04.25 (2.469%), 10Y 99-25.5

(2.646%), 30Y 100-01 (2.998%).

US TSY FUTURES CLOSE: Trading weaker across the curve after the bell, near

midmorning lows tapped again after the Jan FOMC minutes; yld curves well off

steeper levels. Take away March/June roll trades and volume rather muted. Yield

curve update:

* 2s10s +0.220, 14.481 (13.990L/16.235H);

* 2s30s +0.420, 49.071 (48.072L/51.744H);

* 5s30s +0.224, 52.073 (51.063L/54.167H);

Current futures levels:

* Mar Ultra bonds down 7/32 at 161-12 (160-28L/162-05H)

* Mar 30-yr Bond futures down 6/32 at 146-21 (146-11L/147-05H)

* Mar 10-yr futures down 1.5/32 at 122-05.5 (122-04.5L/122-12H)

* Mar 5-yr futures down 1/32 at 114-20.25 (114-19.75L/114-23.75H)

* Mar 2-yr futures down .5/32 at 106-01.12 (106-01L/106-02.5H)

US TSY FUTURES: *** Late roll update -- in full swing. June takes lead from

March later in month (first notice February 28). Volumes still running light,

but expect a sharp increase this week. March future's staggered expiration on

March 20 for 10s, 30s and Ultras, and March 29 for 2s and 5s. %complete as of

Tuesday's close. Latest volume:

* TUH/TUM appr 375,400 from -3.88 to -3.50, -3.75 last; 14% complete

* FVH/FVM appr 268,100 from -4.50 to -4.00, -4.50 last; 10% complete

* TYH/TYM appr 321,300 from -10.25 to -9.50, -10.00 last; 7% complete

* USH/USM appr 22,100 from 19.75-20.0, 19.75 last; 3% complete

* WNH/WNM appr 82,200 from -1-8 to -1-7, -1-7.5 last; 7% complete

US EURODLR FUTURES CLOSE: Mildly higher aftyer the bell, short end near top end

of range, support out the strip evaporated post minutes. Current White pack

(Mar'19-Dec'19):

* Mar'19 +0.010 at 97.397

* Jun'19 +0.015 at 97.400

* Sep'19 +0.015 at 97.395

* Dec'19 +0.010 at 97.360

* Red pack (Mar'19-Dec'20) +0.010

* Green pack (Mar'20-Dec'21) +0.005

* Blue pack (Mar'21-Dec'21) steady

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

US DOLLAR LIBOR: Latest settles

* O/N +0.0066 to 2.3846% (+0.0016/wk)

* 1 Month -0.0011 to 2.4811% (+0.0008/wk)

* 3 Month +0.0221 to 2.6633% (-0.0195/wk)

* 6 Month -0.0424 to 2.6933% (-0.0604/wk)

* 1 Year -0.0169 to 2.8742% (-0.0318/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.40%, $941B

* Broad General Collateral Rate (BGCR): 2.37%, $471B

* Tri-Party General Collateral Rate (TGCR): 2.37%, $442B

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

21-Feb 0750 Atl Fed Pres Bostic, eco outlook/mon-pol, Atlanta, GA, audience Q&A.

21-Feb 0830 16-Feb jobless claims (239k, 229k)

21-Feb 0830 Feb Philadelphia Fed Mfg Index (17.0, 14.0)

21-Feb 0830 Dec durable goods new orders (0.7%, 2.0%)

21-Feb 0830 Dec durable new orders ex transport (-0.4%, 0.2%)

21-Feb 0945 Feb Markit Mfg Index (flash) (54.9, --)

21-Feb 0945 Feb Markit Services Index (flash) (54.2, --)

21-Feb 1000 Jan existing home sales (4.99m, 4.98m)

21-Feb 1000 Jan leading indicators (-0.1%, 0.2%)

21-Feb 1030 15-Feb natural gas stocks w/w

21-Feb 1100 15-Feb crude oil stocks ex. SPR w/w (3.63m bbl, --)

21-Feb 1300 US TSY $8B 30Y TIPS auction (912810SG4)

21-Feb 1630 20-Feb Fed weekly securities holdings

PIPELINE: $15.65B Priced today, $29B since yesterday!

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

02/20 $5B *KFW 3Y +2

02/20 $4.5B *Lily $1.15B 10Y +75, $850M 20Y +90, $1.5B 30Y +100, $1B 40Y +120

02/20 $1B *Council Dvlpmnt Bnk of Europe (COE) WNG 5Y +8

02/20 $1B *Prudential Financial 31Y +137

02/20 $1.5B *BNG Bank 5Y +16

02/20 $800M *Mitsubishi UFJ lease $300M 3Y +95, $500M 5Y +110

02/20 $750M *Weyerhaeuser 10Y +225

02/20 $600M *SP Group 10Y +83

02/20 $500M *CBS WNG 10Y +167

On tap for Thursday:

02/20 $2B Sweden WNG 3Y +2a

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* +40,000 Red Mar 90 calls, 1.0

* -5,000 Red Mar 73/78 call spds, 14.0

* +10,000 Red Mar 80/85 1x2 call spds, 1.0

* +5,000 short Jul 80/81 call strips, 7.0

* +6,000 short Mar 75/76 1x2 call spds, 0.5

* >+20,000 Mar 73 straddles, 4.25

Block, 0933:46ET,

* -37,410 Sep 71/72 put spds, 2.0 ongoing unwind (160k traded yesterday, OI

-55-65k in each strike)

### POV: BETTER UPSIDE INSURANCE BUYING

Latest trade, bought heavily (appr 70k) earlier in month at 1.0 

* +30,000 Dec 73/75/76/78 call condors on screen, 1.5. While there are

intermittent call and call spd sales, better trade continues to center on buying

upside insurance, hedging end of Fed tightening cycle. Focus on today's late Jan

FOMC minutes, though will be a while before US gov shutdown effect gives the Fed

a clearer picture of economy. Though yld curves have exhibited choppy moves,

theme appears to be towards steepening (ongoing 10s/ultra Blocks) -- while

incoming Tsy supply is keeping short end anchored to a degree.

* -10,000 Jul 72/73/75 call flys, 4.25, hearing closer/more to go

* +16,500 Apr 75/76 1x2 call spds, cab pit/screen

Block, 0748:15-0754:03ET, ongoing buyer

* total +10,000 Jun 73/75 1x2 call spds, 1.75 -- bought in good size (>50k)

earlier in month from 0.75-1.25

* +9k EDM9 97.50/97.625 1x2 call spreads, cab

Tsy options, Pit/screen:

Post minutes trade, note March options expire Friday

* -3,500 TYH 122.5 calls from 3- to 2/64

* -1,000 TYH 122.5 straddles 8.5/64

* -1,000 FVM 114.75 straddles, 1-1.5/64

* -10,000 TYK 121/124 strangles, 26/64

* TYM 122.5 straddle trades 1-44/64

* 4,500 USM 141/146/150 2x1x4 iron flys, 33/64

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

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