US TSYS: QUIET INSIDE-RANGE TRADE, TSYS REVERSE EARLY RISK-ON

US TSY SUMMARY: Rates finish mixed, well off first half highs with long end

outperforming; generally quiet session after opening weaker with a risk-on tone.

- US$ index weaker (DXY -.454, 89.626); equities firmer (emini +8.0, 2726.5);

gold stronger (XAU +14.45, 1334.59); West Texas crude little softer (WTI -0.06,

62.51).

- Tsys opened weaker w/EGBs, near bottom end of range on decent volume

(TYM>350k), carry-over risk-on tone at the moment amid headlines that N.Korea

can discuss de-nuclearisation if regime safety agreed.

- Tsys reversed early weakness, traded higher prior to weaker factory order data

-1.4%, just below the -1.3% exp, with durable goods orders rev up slightly to

-3.6%. Nondurable goods orders +0.8% on petro and coal products.

- Muted two-way trade from late morning on, Tsys paring gains in the second

half.

- Corporate issue highlight: $40B (vs. $120B book!) CVS 9-Part CVS Launched,

third largest issuance on record. 

Late ylds: 2Y 2.246%, 3Y 2.413%, 5Y 2.645%, 7Y 2.807%, 10Y 2.877%, 30Y 3.144%

US TSY FUTURES: Mixed after the bell, long end outperforming but well off first

half highs. Latest curve update:

* 2s10s -0.805, 63.092 (64.701H/61.669L);

* 2s30s -2.045, 89.080 (91.604H/87.842L);

* 5s30s -1.574, 48.966 (51.134H/48.498L);

Current futures levels:

* Jun Ultra bonds up 9/32 at 155-20 (154-24L/156-03H)

* Jun 30-yr Bond futures up 6/32 at 143-09 (142-22L/143-22H)

* Jun 10-yr futures down 1/32 at 120-00 (119-26.5L/120-07H)

* Jun 5-yr futures down 1.25/32 at 113-31 (113-28L/114-03.25H)

* Jun 2-yr futures down .5/32 at 106-08.25 (106-07.5L/106-09.75H)

US EURODOLLAR FUTURES CLOSE: Mildly lower across the strip, lower half of range

on moderate volume. Rather quiet trade ahead Wed's private ADP data. Front end

well offered most of session after 3M LIBOR higher set (+0.0124 to 2.0473%,

+0.0221/wk) picking up after last wk's late slowdown. Current White pack

(Mar'18-Dec'18):

* Mar'18 -0.017 at 97.892

* Jun'18 -0.015 at 97.760

* Sep'18 -0.010 at 97.645

* Dec'18 -0.015 at 97.500

* Red pack (Mar'19-Dec'19) -0.020-0.025

* Green pack (Mar'20-Dec'20) -0.025-0.030

* Blue pack (Mar'21-Dec'21) -0.025-0.015

* Gold pack (Mar'22-Dec'22) -0.020-0.010

US DOLLAR LIBOR: Latest settles, 

* O/N -0.0006 to 1.4469 (-0.0006/wk)

* 1 Month +0.0096 to 1.7113% (+0.0208/wk)

* 3 Month +0.0124 to 2.0473% (+0.0221/wk)

* 6 Month +0.0112 to 2.2405% (+0.0121/wk)

US SWAPS: Spds running wider by the bell, top end of range with long end leading

move, deal-tied flow in play, CVS $40B (vs. $120B Book!) 9-part jumbo pack

contributing to move. Otherwise mixed, two-way flow on modest volume. Latest

spread levels:

* 2Y  +0.25/27.56

* 5Y  +1.19/11.25

* 10Y +0.75/1.56

* 30Y +1.25/-17.50

PIPELINE: $40B CVS 9-Part CVS Launched, third largest issuance on record

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

03/06 #CVS 9-tranche details

* $1B 2yr FRN L+63

* $2B 2yr +90

* $1B 3yr FRN L+72

* $3B 3yr +95

* $6B 5yr +125

* $5B 7yr +145

* $9B 10yr +160

* $5B 20yr +180

* $8B 30yr +195

03/06 $1.5B *Oesterreichische Kontrollbank AG (OKB) 5Y +15

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

- Mar 07 02-Mar MBA Mortgage Applications (2.7%, --) 0700ET 

- Mar 07 Atlanta Fed Pres Bostic Fireside Chat, Broward Workshop, FL, Q&A.

0800ET 

- Mar 07 Feb ADP private payrolls (234k , --) 0815ET 

- Mar 07 Q4 non-farm productivity (f) (-0.1%, -0.1%) 0830ET 

- Mar 07 Q4 unit labor costs (f) (2.0%, 2.1%) 0830ET 

- Mar 07 Jan trade balance (-$53.1B, -$55.1B) 0830ET 

- Mar 07 Mar help-wanted online ratio (1.34, --) 1000ET 

- Mar 07 02-Mar crude oil stocks ex. SPR w/w (3.02m bbl, --) 1030ET 

- Mar 07 Federal Reserve Beige Book for upcoming FOMC, DC 1400ET 

- Mar 07 Jan consumer credit ($18.4B, $17.8B) 1500ET 

- Mar 07 Feb Treasury Allotments (final) 1500ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

Block posts, 1450:03-1456:36ET

* total 20,993 Mar 77 calls, 14.0

* +6,500 Apr 76/77 2x1 put spds, 2.75

* +6,000 Dec 72/73/75 put flys, 2.0 vs. 97.48/0.10%

* +4,000 short Sep 70/72 put spds, 10.5 vs. 97.245/0.20%

* +4,000 Green Apr 70/73 put over risk reversals, 1.5 vs. 97.145/0.50%

* +2,000 Jun 77/Dec 75 straddle spds, 14.5

* total +9,000 Jul 75/76 put spds cab over the Jul 77 calls

* total -15,000 Jun 77/80 2x1 put spds, 13.0

* -60,000 green Jun 67/68 put spds, 2.5 w/

* -20,000 Green Apr 66/70 2x1 put spds, 4.5, 12.0 total -- primarily an unwind

of package/strip buy on Feb 22 to 28 on various levels, ratios and strikes

Earlier flow includes

* -10,000 Blue Dec 66/67 put spds, 3.5

* total +8,000 Jun 75/76 put spds, 1.25 on screen

* -10,000 Blue Dec 66/67 put spds, 3.5

* total +8,000 Jun 75/76 put spds, 1.25 on screen

* +20,000 short Jun 70 puts, 2.5

* -16,000 Dec 81 calls, 1.5 vs. 97.525

* -2,500 Green Apr 68/71 call spds, 17.0

* -2,500 Mar 80 calls, cab

* 5,600 Jun 75/76 put spds,

* -2,500 Sep 75/Dec 72/Red Mar 70 put strip, 11.0 total credit

* total -15,000 Jun 77/80 2x1 put spds, 13.0

* total -5,000 Apr 77 straddles, 9.0

* -7,000 Jun 77/80 2x1 put spds, 13.0

* -5,000 Apr 77 straddles, 9.0

Overnight highlights include

* +10,000 Jun 78/80 call spds, 1.5

* +16,000 short Dec 63/68 put spds 2.0 over short Dec 77 calls

Tsy options, Pit/screen, pretty slim:

* 5,500 FVM 112.5/113.5 put spds, 15/64

Overnight trade highlights

* over +3,000 TYJ 122 calls, 3/64

* over +13,000 TYJ 119.5 puts, 22- to 23/64, part tied to 119/120.5 strangles

26/64

* +3,300 TYK 118.5 puts, 15/64 vs. 119-27.5 to -28

* over 2,000 TYM 118/122 risk reversals, 0.0

* over 2,000 TYM 131 calls

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

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