US TSYS: QUIET 2-WAY, WEAKER CLAIMS/IMPORT$ UP 7TH STRAIGHT MO

US TSY SUMMARY: Tsys mildly lower to steady in the long end by the bell -- had

recovered off midday lows in second half, traded mildly higher in long end after

bounce in US$ lost momentum.

- Decent volume on quiet two-way trade (TYM appr 1.2M); US$ index mildly higher

(DXY +.428, 90.132; USD/Yen fell to 105.8 but bounced back to 106.2 late);

equities mildly weaker (emini -3.25, 2750.75); gold weaker (XAU -9.03, 1315.67);

West Texas crude little firmer (WTI +.25, 61.21).

- Generally quiet two-way flow on session, traded higher w/Gilts after strong

10Y auction in UK, gradually receding on stronger US$ into the second half.

Little react to wkly claims, just below est, -4k to 226k, vs the 228k exp while

Feb import price index rose for 7th straight month (Overall import prices +0.4%,

just above +0.3% exp, and +0.5% ex petro and +0.5% ex all fuels).

- Eurodlr futures traded weaker in short post 3M LIBOR set (+0.0325 to 2.1775%,

+0.0878/wk), EDH8 dropped 0.020 on appr 30k sales from 97.81 to 97.79. Swap spds

gapped tighter/spd curve steeper on decent front end receiving, flys in belly. 

- Late ylds: 2Y 2.278%, 3Y 2.421%, 5Y 2.615%, 7Y 2.752%, 10Y 2.819%, 30Y 3.053%

US TSY FUTURES: Finish mildly lower in the short end to steady out the curve,

generally quiet day with two-way flow and narrow range. Late curve update:

* 2s10s -1.687, 53.812 (55.865H/52.948L);

* 2s30s -1.892, 77.580 (80.044H/76.444L);

* 5s30s -0.094, 44.448 (45.550H/43.046L);

Current futures levels:

* Jun Ultra bonds steady at 157-31 (157-20L/158-14H)

* Jun 30-yr Bond futures down 1/32 at 144-27 (144-20L/145-08H)

* Jun 10-yr futures down .5/32 at 120-17 (120-12.5L/120-23H)

* Jun 5-yr futures down 1.25/32 at 114-04.75 (114-02.25L/114-09.25H)

* Jun 2-yr futures down 1/32 at 106-08.25 (106-07.25L/106-10H)

US EURODOLLAR FUTURES CLOSE: Short end under pressure all session since 3M LIBOR

gained another +0.0325 to 2.1775% (+0.0878/wk), levels mildly higher out the

strip on narrow range. Current White pack (Mar'18-Dec'18):

* Mar'18 -0.020 at 97.792

* Jun'18 +0.000 at 97.700

* Sep'18 +0.005 at 97.605

* Dec'18 +0.000 at 97.475

* Red pack (Mar'19-Dec'19) steady

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

* Blue pack (Mar'21-Dec'21) +0.010-0.015

* Gold pack (Mar'22-Dec'22) +0.015

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0000 to 1.4450 (-0.0019/wk)

* 1 Month +0.0218 to 1.8082% (+0.0579/wk)

* 3 Month +0.0325 to 2.1775% (+0.0878/wk)

* 6 Month +0.0206 to 2.3417% (+0.0731/wk)

* 1 Year at 2.6014

US SWAPS: Spds tighter across the curve by the bell, short end near lows after

gapping tighter midday on decent supportive flow w/Over $500M receiver in 2s at

2.57355% and $1B receiver in 5s 2.7517-2.7535%, appr $200M 2s4s5s fly, receiving

belly earlier. Second half saw flurry of flys: $223.4k 2Y-3Y-5Y Fly, paying the

belly, $295.2k 5Y-7Y-10Y Fly, receiving the belly, $242.8k 5Y-7Y-8Y Fly,

receiving the belly. In addition to more modest paying in intermediates:

* $170mln+ payer of USD 10Y at 2.8635%

* $240mln+ payer of USD 4Y at 2.737%

* $170mln+ payer of USD 7Y at 2.80222%

Latest spread levels:

* 2Y  -1.75/29.62

* 5Y  -1.12/14.25

* 10Y -0.75/3.62

* 30Y -0.62/-14.38

PIPELINE: $1.5B Lloyds launched

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

03/15 $1.5B #Lloyds Banking Group Plc 10Y +160

03/15 $300M #AvalonBay Communities Inc 30Y +130

03/15 $Benchmark Nissan Motor Acceptance Corp. 3Y Fxd +85a, 3Y FRN L equiv, 5Y

+95-100

-

$3.5B Priced Wednesday

03/14 $2B *African Development Bank 3Y MS-1

03/14 $1.5B *McDonalds, $500M 5Y +75, $500M 10Y +100, $500M Tap of 4.45% +140

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

- Mar 16 Feb housing starts (1.326m, 1.287m) 0830ET 

- Mar 16 Feb building permits (1.377m, 1.320m) 0830ET 

- Mar 16 Mar NY Fed Business Leaders Index (15.9, --) 0830ET 

- Mar 16 Feb industrial production (-0.1%, +0.4%) 0915ET 

- Mar 16 Feb capacity utilization (77.5%, 77.8) 0915ET 

- Mar 16 Mar Michigan sentiment index (p) (99.7, 99.0) 1000ET 

- Mar 16 Jan JOLTS job openings level (5.811M, --) 1000ET 

- Mar 16 Jan JOLTS quits rate (2.2%, --) 1000ET 

- Mar 16 Q1 St. Louis Fed Real GDP Nowcast (+3.37%, --) 1100ET 

- Mar 16 Q1 NY Fed GDP Nowcast (+2.8%, --) 1115ET

     Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen: reminder, March futures/options expire Friday

* 16,000 Blue Mar 71 calls, 1.0 vs. 97.10/0.30%

Block, 1156:40ET

* 10,000 short Apr 73 calls, 4.0 w/

* 10,000 short Jun 73 calls, 8.0 Vs.

* 7,000 EDM9, 97.28

* 5,000 Apr 76/77 call spds 6.5

* 5,000 Jun 76/77 call spds 6.0

* 12,500 short Dec/Blue Dec 76 call spds, 0.0 net on conditional flattener

* 5,000 Jun 75/76 put spds, 2.5

* 2,500 Red Mar'19 67/70/72 put flys, 4.5

* -5,000 short Dec 72/77 2x3 call spds20.0 vs. 97.145/0.40%

* +5,000 Blue Jun 65/70 put spds, 9.5 vs. 97.085/0.35%

Block, 1028:12ET, +25k total last few minutes

* Another +10,000 short Mar 73 puts, 1.0 vs. 97.385/0.25%

Block, 1021:34ET with another +5k in pit

* +10,000 short Mar 73 puts, 1.0 vs. 97.385/0.25%

* -5,000 short May 76 call w/short Jun 67/71 put spds, 5.5

* +10,000 Dec 70 puts, 1.5 vs. 97.445/0.10%

* +5,000 Jun 77/78/80 call flys, 1.75

Recent Block, 0924ET

* 10,000 short Mar 73 puts, 1.5 vs. 97.375/0.50%

* 7,000 short May 71/73 put spds, 9.0

* +12,000 Apr 76 puts, 1.75

* 15,000 Apr 75 puts, 0.75

* +10,500 short May 71/73 strangles, 9.0

* -10,500 short May 71/72 strangles, 13.5

* +5,000 short Aug/short Sep 68/70 put spd strip vs.

* -5,000 short Aug/short Sep 75/76 call spd strip, 1.5 net debit

Block, 0812:03ET, +31k total

* another +16,000 Mar 77 puts, cab, still offered

Tsy options, Pit/screen:

* -2,500 TYJ 120/120.25 put spds, 5/64

* -2,500 TYJ 121/121.5 call strip, 11/64

* 2,000 TYM 118.5/120 3x2 put spds, 38/64 vs. 120-19.5/0.20%

* 2,700 TYJ 120/120.5/121 put flys, 9/64

* -1,500 TYK 119.5/121.5 strangles, 29/64

* +1,500 FVJ 114/115 1c3 call spds, 15.5

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

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