US TSYS: MODEST RISK ON AHEAD SLEW OF EVENT RISK ON WEEK

US TSY SUMMARY: Tsys gradually see-sawed off early session lows, equities pared

gains as risk-on tone cooled ahead multiple event risks (Pres Trump/NK Kim

summit; 3-day Cohen testimony to Congress; w-day Fed Chair Powell testimony on

mon-pol, economy). Global equities firmed on US/China trade hopes after Pres

Trump extends March 1 tariff increase deadline (little in way of additional

specifics). 

- Heavy futures volume (TYH>2.8M) inflated as March/June roll surges ahead

Thursday's first notice date. Both 2- and 5Y note auctions stopped through (40B

2Y awarded a 2.503%; $41B 5Y awarded 2.489%). Appr $8B corp supply on day.

- On tap for Tuesday: December housing starts (1.261m est), building permits

(1.290m) and Case-Shiller Home Price Index; Conference Board's consumer

confidence. Treasury 52W bill and 7Y note auctions. Fed Chair Powell semiannual

monetary report to Congress.

- Tsy cash/ylds: 2Y 99-31.25 (2.510%), 5Y 100-02.25 (2.483%), 10Y 99-19

(2.670%), 30Y 99-12 (3.031%).

US TSY FUTURES CLOSE: Weaker across the curve, gradually recovering in second

half as equities pared gains/risk-on tone cooled. Yield curve update:

* 2s10s +0.338, 15.781 (15.177L/16.890H);

* 2s30s +0.347, 51.894 (51.380L/53.396H);

* 5s30s +0.246, 54.562 (53.513L/55.381H);

Current futures levels:

* Mar Ultra bonds down 13/32 at 160-08 (159-28L/160-22H)

* Mar 30-yr Bond futures down 8/32 at 146-05 (145-28L/146-15H)

* Mar 10-yr futures down 3/32 at 122-01.5 (121-29.5L/122-04H)

* Mar 5-yr futures down 2.5/32 at 114-18.75 (114-16.75L/114-20.5H)

* Mar 2-yr futures down 1.12/32 at 106-00.75 (106-00.38L/106-01.38H)

MONTH-END EXTENSIONS: *** Prelim 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................0.08........0.09........0.06

*Credit..................0.06........0.09........0.10

*Govt/Credit.............0.09........0.08........0.10

*MBS.....................0.05........0.07........0.08

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

*Long Govt/Credit........0.11........0.09........0.11

*Interm Credit...........0.05........0.08........0.08

*Interm Govt.............0.10........0.08........0.09

*Interm Govt/Cred........0.08........0.07........0.09

*High Yield..............0.04........0.08........0.05

US TSY FUTURES: *** Late roll update -- massive volumes. June taking lead from

March Thursday (first notice February 28). 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 1,051,000 from -4.12 to -3.62, -4.00 last; >45% complete

* FVH/FVM appr 1,408,600 from -4.75 to -4.25, -4.75 last; >30% complete

* TYH/TYM appr 1,803,000 from -11.00 to -10.25, -10.50 last; >38% complete

* USH/USM appr 354,000 from 19.75-20.50, 20.00 last; >31% complete

* WNH/WNM appr 346,300 from -1-7 to -1-5.75, -1-7 last; >45% complete

US EURODLR FUTURES CLOSE: Steady/mixed in short end, EDH outpaces as 3M LIBOR

continues to set lower. Mildly lower levels out the strip off session lows after

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

* Mar'19 +0.002 at 97.395

* Jun'19 +0.000 at 97.395

* Sep'19 -0.005 at 97.395

* Dec'19 -0.010 at 97.370

* Red pack (Mar'19-Dec'20) -0.015-0.010

* Green pack (Mar'20-Dec'21) -0.010-0.005

* Blue pack (Mar'21-Dec'21) -0.010-0.005

* Gold pack (Mar'22-Dec'22) -0.010-0.005

US DOLLAR LIBOR: Latest settles

* O/N +0.0008 to 2.3886% (+0.0048 last wk)

* 1 Month -0.0052 to 2.4791% (+0.0040 last wk)

* 3 Month -0.0076 to 2.6386% (-0.0366 last wk)

* 6 Month -0.0129 to 2.6931% (-0.0477 last wk)

* 1 Year -0.0085 to 2.8831% (-0.0144 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.40%, $894B

* Broad General Collateral Rate (BGCR): 2.37%, $463B

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

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

26-Feb 0830 Dec housing starts (1.256m, 1.261m)

26-Feb 0830 Dec building permits (1.322m , 1.290m)

26-Feb 0830 Feb Philadelphia Fed Nonmfg Index (1.0, --)

26-Feb 0855 23-Feb Redbook retail sales m/m

26-Feb 0900 Dec FHFA Home Price Index (0.4%, --)

26-Feb 0900 Q4 FHFA Quarterly Home Prices (1.26%, --)

26-Feb 0900 Dec Case-Shiller Home Price Index (0.3, --)

26-Feb 1000 Fed Chair Powell semiannual monetary report to Congress

26-Feb 1000 Feb Richmond Fed Mfg Index (-2, --)

26-Feb 1000 Feb Conference Board confidence (120.2, 125.0)

26-Feb 1030 Feb Dallas Fed services index (-4.8, --)

26-Feb 1130 US TSY $26B 52W bill auction (912796SD2)

26-Feb 1300 US TSY $32B 7Y note auction (9128286F2)

PIPELINE: $1.25B CBA 2-part launched, $600M Ryder priced

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

02/25 $1.25B #Commonwealth Bank of Australia (CBA) $750M 5.25Y +88, $500M 5.25Y

FRN +82

02/25 $600M *Ryder 5Y +118

02/25 $2.5B #Lam Research $750M 7Y +120, $1B 10Y +135, $750M 30Y +185

02/25 $1.5B #Woodside Finance 10Y +185

02/25 $1B #Pacificorp $400M 10Y +85, $600M 31Y +115

02/25 $450M #Atmos WNG 30Y +112.5

02/25 $350M #RPM International 10Y +190

02/25 $300M #Regency Centers WNG 30Y +165

Eurodollar/Treasury Option Summary

     Eurodollar options, Pit/screen:

* 10,000 short Apr 73/76 call over risk reversals, 1.0 vs. 97.50/0.50%

Additional trades from earlier

* +3,000 Red Mar 66/68 3x2 put spds, 1.75

* +5,000 short Jun/Green Jun 75 put spds, 2.25 DB conditional flattener

* +5,000 short Dec/Green Dec 73 put strips, 29.5 (buyer EOZ 73/E2Z 71p strip at

22.5 earlier)

* +8,000 Dec 75/78 call spds, 5.5

* appr 19,000 Blue Jun 72/73/75/77 call condors on screen

Blocks, 1121:22ET, -20k total

* -10,000 Dec 72/75 strangles, 16.0 -- adds to -10k blocked earlier

* total +75,000 (pit and 25k Block) short Jul 76/78 call spds 1.0 over the short

Jul 71/73 put spds, 6.0 vs. 97.54/0.40%

Blocks, 0842:01-0843:35ET, checking direction

* total +25,000 short Jul 76/78 call spds, 7.0

* total -25,000 short Jul 71/73 put spds, 6.0

* 10,000 Red Sep'20 97.54

* Block, 10,000 Dec 72/75 strangles, 16.0 at 0839:32ET

* +10,000 short Dec 73/Green Dec 71 put strip, 22.5 total db

* +8,000 Jun 72/73/75 1x1x2 call trees, 6.5 net

* +11,500 Jun 73/75 1x2 call spds, 2.0 adds to 15k Block

* +10,000 Red Mar20 67/68 put spds, 1.0 vs. 97.41/0.05%

Block, 0803:49ET,

* +15,000 Jun 73/75 1x2 call spds, 2.0

Highlight screen trade

* >18,000 Green Mar 72 puts, 0.5

* 15,000 Green Mar 77 calls, 2.0

* 10,000 Dec 73/77 call spds

* 10,000 Red Jun20 91 puts, 8.5

Tsy options, Pit/screen:

* 4,500 TYJ 121.75/122.75 strangles, 27/64

* over 4,000 FVJ 114.25/115 strangles, 14/64

* Update, over -27,000 TYK 121/124 strangles, 25- to 23/64

* +30,000 FVK 111 puts, .5/64

* -3,000 TYJ 122.25 straddles, 53/64

* +5,000 TYJ 121/121.5 put spds, 5/64 vs. 121-30/0.10%

Latest trade scale seller ramps up the pressure, implieds resilient

* -25,000 TYK 121/124 strangles, 25- to 24/64

* +2,000 TYM 119.5/123.5 2x1 put spds, 1/26

* -700 USJ 143.5/145.5/147.5 iron flys 1x3, 14- to 13/64

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

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