US TSYS: LATE MONTH END EXTNSN SUPPORT, FED POWELL 2.0 THU

US TSY SUMMARY: Tsys climbed steadily through session, futures at/near late

session highs on decent if not heavy month-end extension buying (>150k TYM last

10 minutes trade; >60k FVM), Block buy +23,602 FVM 113-30.25, buy through -29.75

offer post time.

- US$ index higher (DXY +.305, 90.660); equities lower (emini -16.5, 2730.5,

DJIA -194.0, 25215.9); gold little softer (XAU -0.87, 1317.43); West Texas crude

making new session lows late (WTI -1.51, 51.50).

- Relative quiet rate rally on day, limited to no react to data, (Chicago PMI

miss 61.9 in Feb vs. 64.0 est), 4Q GDP rev down to +2.5% SAAR, as expected. 

- Rates followed Gilts higher early after EU releases draft EU Brexit withdrawal

agreement putting pressure on PM May's govt.

- Strong bounce front EDH8 Eurodlr futures post 3M LIBOR set (+0.0110 to

2.0172%, +0.0610/wk) mkt anticipated higher set after Fed chair Powell's hawkish

Q&A session post testimony. Round 2 w/Fed Chair Powell testimony to Senate Thu,

may see repeat of Wed's move if Powell reiterates hawkish tone.

- Late ylds: 2Y 2.254%, 3Y 2.412%, 5Y 2.647%, 7Y 2.799%, 10Y 2.868%, 30Y 3.128%

US TSY FUTURES: Higher into the close/new session highs amid late flurry month

end extension buying (>150k TYM last 10 minutes trade; >60k FVM). Latest curve

update:

* 2s10s -2.537, 60.581 (63.613H/60.398L);

* 2s30s -2.765, 86.791 (89.746H/86.381L);

* 5s30s -1.959, 47.810 (49.945H/47.373L);

Current futures levels:

* Jun Ultra bonds up 1-8/32 at 155-28 (154-23L/155-31H)

* Jun 30-yr Bond futures up 27/32 at 143-13 (142-17L/143-15H)

* Jun 10-yr futures up 7/32 at 120-00.5 (119-21.5L/120-02H)

* Jun 5-yr futures up 2.75/32 at 113-29.5 (113-23.25L/113-30.25H)

* Jun 2-yr futures down .25/32 at 106-07.25 (106-05.75L/106-07.75H)

US EURODOLLAR FUTURES CLOSE: Higher across the strip, at/near session highs with

Golds outperforming. Current White pack (Mar'18-Dec'18):

* Mar'18 +0.012 at 97.885

* Jun'18 +0.005 at 97.725

* Sep'18 +0.000 at 97.605

* Dec'18 +0.000 at 97.465

* Red pack (Mar'19-Dec'19) +0.010-0.030

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

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

* Gold pack (Mar'22-Dec'22) +0.040-0.045

US DOLLAR LIBOR: Latest settles, 

* O/N -0.0050 to 1.4425 (-0.0056/wk)

* 1 Month +0.0058 to 1.6700% (+0.0388/wk)

* 3 Month +0.0110 to 2.0172% (+0.0610/wk)

* 6 Month +0.0125 to 2.2237% (+0.0418/wk)

US SWAPS: Spds running mildly tighter by the bell, off low end narrow range.

Decent two-way deal-tied flow on day: US$750mln+ 5Y switch around

2.77914%-2.76734%, US$500mln receiver 2Y at 2.545%.

Mixed curve flow includes: US$97.7k DV01 5Y-10Y STEEPENER, US$89.2k DV01 2Y-3Y

STEEPENER, US$95k DV01 3Y-7Y STEEPENER, US$180.7k DV01 2Y-20Y FLATTENER.

Latest spread levels:

* 2Y  -0.31/27.94

* 5Y  -0.69/10.94

* 10Y -0.31/1.44

* 30Y -0.38/-17.88

PIPELINE: $1.5B ERBD priced, $1B Occidental launched, Boa and Mizuho up soon

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

02/28 $1.5B *European Bank for R&D (EBRD) 5Y +7

02/28 $1B #Occidental Petroleum 30Y +110

02/28 $750M #Ford Motor Credit, 3Y fix/FRN

02/28 $500M #Travelers Cos Inc 30Y +95

02/28 $500M Keybank 5Y +85a

02/28 $Benchmark SoCal Edison 3-part, 3Y +50-55/10Y +80-85/30Y +100-105

02/28 $Benchmark Bank of America 3-part, 6NC5 fix/FRN, 11NC10

02/28 $Benchmark Mizuho 3-part 5Y fix/FRN, 10 fix

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

- Mar 01 Feb NA-made light vehicle sales SAAR (12.8m, 12.9m) 

- Mar 01 24-Feb jobless claims (222k, 226k) 0830ET 

- Mar 01 Feb personal income (0.4%, 0.3%) 0830ET 

- Mar 01 Feb current dollar PCE (0.4%, 0.2%) 0830ET 

- Mar 01 Feb total PCE price index (0.1%, --) 0830ET 

- Mar 01 Feb core PCE price index (0.2%, 0.3) 0830ET 

- Mar 01 Feb Markit Mfg Index (final) (55.9, --) 0945ET 

- Mar 01 25-Feb Bloomberg comfort index 0945ET 

- Mar 01 Fed chair Powell mon/pol testimony to Senate Banking Comm 1000ET

- Mar 01 Feb ISM Manufacturing Index (59.1, 58.9) 1000ET 

- Mar 01 Jan construction spending (0.7%, 0.3%) 1000ET 

- Mar 01 23-Feb natural gas stocks w/w (-124Bcf, --) 1030ET 

- Mar 01 28-Feb Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 10,000 Sep 73/76 put spds, 9.5 vs. 97.595/0.40%

* +10,000 Green Mar 70 puts, 3.0

* +15,000 short Apr 70/71/72 put flys, 3.0 vs. 97.25/0.10%

* +5,000 short Apr 71 puts, 3.0 vs. 97.25/0.10%

* -4,000 Jul/Sep 75/76 call spd strip, 12.0 covered

* -2,500 Red Mar'19 73/76 strangles, 26.0

* +2,000 Red Mar'19 75/Red Jun'19 72 straddle strip, 79.5

* -2,500 Apr 77 straddles, 9.0

* +12,500 Green Jun 66/67 put spds, 2.0 vs. 97.075/0.10%

* +2,000 Green Apr 71 straddles, 21.5

* +3,000 long Green Mar 61/68 3x1 put spds, 9.0

* -8,000 Blue Jun 72/Blue Sep 71 call strip, 35.5 covered

Blocks,

* +10,500 short Jun 71/73 2x1 put spds, 6.5 vs. 97.245/0.05%, 1056:01ET

Package at 1054:37ET, checking direction

* 10,250 Red Dec'19 72 puts, 35.0 vs. 97.135/0.56%

* 20,500 Red Jun'19 72 puts, 20.0 vs. 97.275/0.48%

* -8,000 Sep 73/76 put spds, 9.5 vs. 97.595/0.40%

* +4,000 short Sep 75 calls, 7.5 vs. 97.205

* +3,000 Dec 71/72/76/77 put condors, 7.5 vs. 97.445/0.10%

* -5,000 Red Jun'19 70/71/72/73 put condors, 2.0 vs. 97.25/0.10%

* +2,500 Blue Sep 62/63/67 put flys, 6.0

* +15,000 Red Dec'19 61/65 2x1 put spds, 2.5 looking for more offers as acct

likely rolls-down position on spd

* -15,000 Green Jun 73 puts, 34.5, adds to Block sale at 33.5

* BLOCK -18,000 Green Jun 73 puts, 33.5, was 34.0 bid at post time of 0847ET

* 2,000 long Green Sep 70 straddles, 79.0

* 2,000 Red Mar'19 71/73 3x2 put spds vs. Red Mar'19 78 calls (x2), 6.0 net

* 3,500 Sep 76/77/78 call trees, 1.5

Contributing to the decent screen volume by the open

* screen, 10,000 Jun 77/78/80 call flys

* screen, 12,000 Jun 77/78 2x1 put spds

* screen, 4,000 Green Mar 71/72/73 call flys

Block, 0747:02

* +8,000 Red Mar'19 68 puts, 2.0

Recapping overnight Blocks,

* +25,000 Aug 72/73 put spds, 1.0 vs. 97.585/0.10% 0541-0554ET

* +45,000 Jul 73/75 put spds even vs. Jul 77 calls vs. 97.585/0.45% 0539-0554ET

* +5,000 Mar 70/72 3x2 put spds vs. -Mar 80 calls (x2), 5.5 net, 0237ET

* +5,000 Mar 71/73 3x2 put spds vs. -Mar 78 calls (x2), 11.5 net, 0237ET

* +10,000 short Apr 80/81/82 put trees, 4.5 vs. 97.215/0.10%, 0228ET

Tsy options, Pit/screen:

* 1,750 TYJ 118/119 3x2 put spds, 15/64 vs.

* 1,750 wk3 TY 118.7/119.5 3x2 put spds, 18/64

* Screen, 28,000 TYM 121.5 calls, 28-29

* 1,250 TYJ 121/121.5 1x2 call spds, 2/64

* total -6,000 FVJ 113.75

* Update, over 6,000 FVJ 113.75 straddles, 45/64

* Update, total 7,600 FVJ 114.5 calls, 8/64

* 1,000 TYJ 119/119.5 2x1 put spds, 4/64

* +4,500 FVJ 114.5 calls, 8/64

* -2,000 TUJ 106.5/106.7 call spds, 1.5/64

* 1,800 TYJ 119.5/122.5 strangles, 26- to 27/64

* 1,100 TYM 121 calls, 35/64 vs. 119-27.5

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

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