US TSYS: QUIET RATE SALE/US$ BOUNCE, EDH8 FUT'S/OPT'S EXPIRE

     QUIET RATE SALE ON US$ BOUNCE, EDH8 FUT'S/OPTS EXPIRE - 

US TSY SUMMARY: Tsys weaker by the bell, near early session lows, tracking EGBs

and rebound in US$ off lows. 

- US$ index rebounds/mildly higher (DXY +.084, 90.224); equities little higher

(emini +2.25, 2757.25); gold weaker (XAU -3.27, 1313.01); West Texas crude

stronger, bouncing midday on Venezuela output drop chatter (WTI +1.11, 62.30). 

- Quiet session overall, little react to second/third-tier data, position

squaring, profit taking on curve flatteners ahead next wk's FOMC policy annc,

.25bps hike expected Wed.

- Swap spds at/near session wides by the bell/spd curve flatter w/short end

reversing Thu's move. Better front paying in 2s and 5s late and sporadic

flatteners in second half, deal-tied flow in the mix.

- Eurodlr futures Lower across strip, near low end of range. While long end

underperformed, short end came under heavy pressure around midday. Front

quarterly EDH8 expires, EDM8 and EDU8 hammered to new session lows ahead next

wk's FOMC.

- Late ylds: 2Y 2.291%, 3Y 2.443%, 5Y 2.643%, 7Y 2.780%, 10Y 2.846%, 30Y 3.080%

US TSY FUTURES: Trading weaker by the bell, near early session lows, drifting in

narrow range after initial sell-off after the open, tracking EGBs. Otherwise

quiet, little react to second/third-tier data, position squaring, profit taking

on curve flatteners ahead next wk's FOMC policy annc, .25bps hike expected Wed.

Curve recovering, update:

* 2s10s +0.996, 55.128 (56.777H/52.119L);

* 2s30s +1.350, 78.519 (80.450H/74.746L);

* 5s30s +0.323, 43.507 (45.099H/41.986L);

Current futures levels:

* Jun Ultra bonds down 17/32 at 157-12 (157-05L/158-21H)

* Jun 30-yr Bond futures down 12/32 at 144-14 (144-08L/145-11H)

* Jun 10-yr futures down 5/32 at 120-11 (120-08.5L/120-19.5H)

* Jun 5-yr futures down 3.75/32 at 114-00.5 (113-31.5L/114-05.75H)

* Jun 2-yr futures down .25/32 at 106-07.5 (106-07L/106-08.75H)

US EURODOLLAR FUTURES CLOSE: Lower across the strip, near low end of session

range. While long end underperformed, it was the short end that came under heavy

pressure around midday. Front quarterly EDH8 expires, EDM8 and EDU8 hammered to

new session lows ahead next wk's FOMC. Current White pack (Mar'18-Dec'18):

* Mar'18 -0.017 at 97.777

* Jun'18 -0.030 at 97.670

* Sep'18 -0.025 at 97.580

* Dec'18 -0.020 at 97.455

* Red pack (Mar'19-Dec'19) -0.020-0.035

* Green pack (Mar'20-Dec'20) -0.035-0.040

* Blue pack (Mar'21-Dec'21) -0.040-0.035

* Gold pack (Mar'22-Dec'22) -0.040-0.030

US DOLLAR LIBOR: Latest settles,

* O/N +0.0012 to 1.4462 (-0.0007/wk)

* 1 Month +0.0139 to 1.8221% (+0.0718/wk)

* 3 Month +0.0242 to 2.2017% (+0.1120/wk)

* 6 Month +0.0219 to 2.3636% (+0.0950/wk)

* 1 Year at 2.6145

     US SWAPS: Spds at/near session wides by the bell/spd curve flatter w/short

end reversing Thu's move. Better front paying in 2s and 5s late and sporadic

flatteners in second half, deal-tied flow in the mix. Earlier supportive flow

included flurry of flattener/steepener unwinds (2s9s and 3s vs 4s and 5s) on

good size as well as carry-over fly action (appr $200k 2s3s5s and $500M 3s4s5s).

Latest spread levels:

* 2Y  +2.25/32.25

* 5Y  +0.88/15.38

* 10Y +0.38/4.38

* 30Y +0.50/-13.50

PIPELINE: $4B Russia issuance

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

03/16 $4B Russia $1.5B 11Y, $2.5B 2047 Tap

-

$2.65 Priced Thursday

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

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

03/15 $850M *Nissan Motor Acceptance Corp. 3Y Fxd +77, 3Y FRN +87, 5Y +130

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

- Mar 19 Feb Kansas City Fed LMCI 1100ET

- Mar 19 Atlanta Fed Pres Bostic participation armchair chat Comm Reinvestment

Act at "National Interagency Community Reinvestment Conf" Miami, audience Q&A.

0940ET

- Mar 19 US Tsy $51B 3-Month Bills auction 1130ET

- Mar 19 US Tsy $45B 6-Month Bills auction 1130ET

US EURODLR OPTIONS: Reminder, lead March Eurodollar futures and options expire

Friday (technically, futures and front Mar options expire Mon morning at 6:00 am

ET while Red through Purple midcurves expire at 5:00 pm ET Fri). Despite

significant position unwind effort to avoid pin risk this wk, a massive amount

of open interest remains. Final OI coming into session according to CME Group

Data below:

-- Mar quarterly OI: 3,963,830 (2,507,941 calls, 1,455,889 puts);

-- Mar 1yr midcurve (Red) OI: 2,744,224 (1,656,641 calls, 1,087,583 puts);

-- Mar 2yr midcurve (Green) OI: 2,268,305 (1,218,237 calls, 1,050,068 puts);

-- Mar 3yr midcurve (Blue) OI: 1,265,867 (735,565 calls, 530,302 puts);

-- Mar 4yr midcurve (Gold) OI: 241,989 (157,933 calls, 84,056 puts);

That's a total of 10,484,215 options (3,963,830 in front Mar, 6,520,385 total

midcurves) coming off the sheets.

Eurodollar/Treasury Option Summary

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

* total 40,000 Jul 77/82 calls vs. Green Jul 76 calls, even net/package

* 15,000 Jul 77/82 calls vs. Green Jul 76 calls, even net/package

Block, 1249:12ET

* +10,000 Sep 75/76 put spds, 6.5 vs. 97.575/0.20%

* total -30,000 Dec 75/77 call spds 1.5 over the Dec 72 puts vs. 97.45

* +25,000 Apr 75/76 2x1 put spds, 1.5

Block, 1123:22ET

* 10,000 short Mar 73 puts, 1.0 vs. 97.37

* over 30,000 Jun 73 puts, 0.5 pit/screen

* +25,000 long Green Jun 60/62 put spds, 3.75/legged

* +5,000 Dec 73/73/75 put trees, 1.5 vs. 97.49

* +7,000 Dec 70/71/72 put flys, 1.0 vs. 97.50/0.10%

* +13,500 Jun 75/76 3x1 put spds, cab

* over +/-10,000 Green Mar 70 combos, 0.0

* +/-5,000 Green Mar 70 combo, 0.0 -- March futures/options expire

* +5,000 Blue Apr 72 calls, 3.0 vs. 97.085/0.23%

* 5,000 Dec 71 puts, 2.5 vs. 97.465/0.10%

* 5,000 Jun 77/78 call spds, 3.0 vs. 97.695/0.20%

Block, 0833:06ET, adds to +5k in pit

* +15,000 Apr 77/78 1x2 call spds, 1.25

Tsy options, Pit/screen:

* +3,200 TYJ 120/120.5 put over risk reversals, 0.0 vs. 120-08.5

* 2,000 TYM 117/118.5 put spds, 10/64 vs. 120-12.5/0.10%

* -3,250 TYM 120.5 straddles, 1-44/64

* total +4,400 USM 141 puts, 44/64

* 1,700 TYM 121 calls, 39/64 vs. 120-15.5

* 1,000 TYJ 120.25 puts, 14/64 vs. 12-12.5

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

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