US TSYS: QUIET REBOUND FOR RATES AFTER MIDWK SALE/HEAVY VOLUME

US TSYS SUMMARY: Generally quiet rebound in rates after Wed's heavy sell-off,

levels off first half highs by the close.

- US$ index weaker/near session lows (DXY -.223, 89.777); equities higher but

well off midday highs (emini +9.0, 2707.75 vs. 2731.0H); gold higher (XAU +6.22,

1330.75); West Texas crude firmer on drop in EIA inventory lvls (WTI +0.91,

62.59).

- Little to no  market react to various Fed speakers on day, Fed Williams,

Mester and Rosengren t separate events Friday.

- Tsys held steady/higher levels after $29B 7Y auction tailed slightly at 2.839%

rate vs. 2.832% WI (previous $28B 7Y stopped through to 2.565%).

- Swap spds tighter across the curve, short end leading move all session while

intermediates make good second half attempt to catch up on back of decent

swappable issuance on day.

- Ongoing heavy March/June roll activity, near 1M total in both FVH/FVM and

TYH/TYM rolls late.

- Late ylds: 2Y 2.254%, 3Y 2.417%, 5Y 2.659%, 7Y 2.837%, 10Y 2.921%, 30Y 3.206% 

US TSY FUTURES CLOSE: Higher across the curve by the closing bell, well off

session highs to near mid-range on day, generally quiet rebound following Wed's

sharp sell-off. Ongoing heavy March/June roll activity. Latest curve update:

* 2s10s -1.726, 66.267 (68.284H/64.401L);

* 2s30s -0.135, 94.899 (95.737H/91.807L);

* 5s30s +1.556, 54.845 (55.349H/52.337L);

Current futures levels:

* Mar Ultra bonds up 13/32 at 154-18 (154-05L/155-11H)

* Mar 30-yr Bond futures up 13/32 at 143-03 (142-21L/143-19H)

* Mar 10-yr futures up 5/32 at 120-11.5 (120-03L/120-15.5H)

* Mar 5-yr futures up 3.5/32 at 114-06.25 (114-00.5L/114-07.75H)

* Mar 2-yr futures up 1.25/32 at 106-16.5 (106-15L/106-16.75H)

US TSY FUTURES: Late roll update, big jump in volume today. Next week

Wednesday's first notice date (June futures go "top step" on February 28). March

future's staggered expiration on March 20 for 10s, 30s and Ultras, and March 29

for 2s and 5s. Latest volume:

* TUH/TUM appr 522k from 8.25 to 8.75;

* FVH/FVM appr 997k from 9.25 to 9.75;

* TYH/TYM appr 925k from 18.25 to 19.25;

* USH/USM appr 199k from 31.75 to 1-00.25;

* WNH/WNM appr 239k from 25.25 to 25.75;

US EURODOLLAR FUTURES CLOSE: Higher across the strip by the close, nearly

recovering from Wed's sell-off. Heavy short end volume, EDH8>450k, higher

despite 3M LIBOR surge (+0.0239 to 1.9436%). Current White pack (Mar'18-Dec'18):

* Mar'18 +0.017 at 97.925

* Jun'18 +0.050 at 97.750

* Sep'18 +0.030 at 97.635

* Dec'18 +0.030 at 97.495

* Red pack (Mar'19-Dec'19) +0.030-0.040

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

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

* Gold pack (Mar'22-Dec'22) +0.040-0.050

US DOLLAR LIBOR: Latest settles, continued grind higher, Front end Eurodollar

futures sold

* O/N -0.0006 to 1.4444 (-0.0006/wk)

* 1 Month +0.0182 to 1.6207% (+0.0269/wk)

* 3 Month +0.0239 to 1.9436% (+0.0588/wk)

* 6 Month +0.0225 to 2.1680% (+0.0619/wk)

US SWAPS: Spds tighter across the curve, short end leading move all session

while intermediates make good second half attempt to catch up on back of decent

swappable issuance on day. Decent earlier flow included rate payer 5Y at

2.7755%, receiver 2s at 2.5125%, small 5s7s spd curve flattener, $190.6k

2Y-5Y-10Y Fly, receiving the belly, $215.2k 3Y-5Y-7Y Fly, paying the belly. OTC

swaption vol grinding lower across te surface, ongoing heavy low delta put

volume in listed options. Latest spread levels:

* 2Y  -1.62/25.50

* 5Y  -1.44/11.00

* 10Y -1.00/1.62

* 30Y -0.94/-17.31

PIPELINE: Decent late week issuance                                

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

02/22 $1B total *PPG Ind $300M 5Y +60, $700M 10Y +85               

02/22 $400M *PACCAR Fncl Corp 3Y, +55a                             

02/22 $2.75B #BNP Paribas, $1.5B 5Y +90, $1.25B 15NC10 +150        

02/22 $2B #American Express $1.6B 5Y fix +77, $400M FRN L+65       

02/22 $1.4B #Deutsche Bank $1B 5Y fix +135, $400M FRN L+123        

02/22 $500M #Bank of New Zealand (BNZ) 5Y +85                      

02/22 $Benchmark, Bank Nederlandse Gemeenten NV (BNG) 2Y MS+4      

Potential upcoming issuance in the near term:                      

Chatter, Bank of England 3Y

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

- Feb 23 Q1 St. Louis Fed Real GDP Nowcast (2.27, --) 1100ET

- Feb 23 Boston Fed pres Rosengren w/NY Fed pres Dudley discuss "Skeptical View

of the Impact of the Fed's Balance Sheet" in New York, 1015ET

- Feb 23 Federal Reserve Board to release the MonPol Report to Congress, DC,

1100ET

- Feb 23 Q1 NY Fed GDP Nowcast (3.1, --) 1115ET

- Feb Clev Fed Pres Mester participation Rev. Objectives for MonPol, NY, Q&A,

1330ET

- Feb 23 Feb Treasury Allotments (p) 1500ET

- Feb 23 SF Fed Pres Williams on "Outlook on Economy and Implications for

MonPol", LA, Q&A, 1540ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* -8,000 Jun 80/81 put spds, 11.75/legged

* -10,000short Jun 70/72 put spds, 8.5

* -5,000 May 75/76/77 put trees w/short May 67/68/70 put trees, 5.0

* Update, total +15,000 Red Mar'19 72/73 put spds 3.0 over the 80 calls, adds to

10k Block

* +5,000 Red Mar'19 66/68/71 put flys, 3.5 vs. 97.38/0.10%

* +4,000 Aug 72/73/75 call flys, 2.0

* +10,000 Mar 77 puts, cab

* +10,000 Jun 71/73 2x1 put spds, 6.0

Block, 1115:04ET,

* +10,000 Red Mar'19 72/73 put spds 3.0 over Red Mar 80 calls

* +10,000 short Jun 75 calls, 5.5

* -7,500 Red Dec 65/70 2x1 put spds, 7.5

* +4,000 Mar 77/78 2x1 put spds, 1.25

* +2,500 Green Mar 67/70 2x1 put spds, 1.0

* Update, total +12,000 long Green Jun'20 57/63 2x1 put spds, 5.0 vs.

97.06/0.10%

Block, 0915:00ET,

* +10,000 Red Dec'19 80/82 call spds, 2.0 vs. 97.12/0.20%

* +10,000 more in pit

* +10,000 long Green Jun'20 57/63 2x1 put spds, 5.0 vs. 97.06/0.10%

* +10,000 Jun 75 calls, 5.5

* Update, total -37,000 short Mar 76 calls even vs. +Green Mar 73/76 call spds

* -20,000 Jun 78/Green Jun 70 put spds, 3.75 net credit on conditional bear

curve steepener

* 30,000 short Mar 76 calls even vs. Green Mar 73/76 call spds

* +3,000 Red Mar'19 66/68/71 put flys, 3.5

* +3,000 Jun 76/80 put over risk reversals, 1.0

* +5,000 Mar 78/80 put spds, 8.5

Block, 0738:23ET -- adds to prior Blocks, 42,500 total from 2.75-3.0

* 10,000 Red Mar'19 70/72 1.5x2 put spds vs. Red Mar'19 80 calls, 3 net

Tsy options, Pit/screen:

* +75,000 FVM 106 puts at cab-7 (new strike) after buying 74,049 FVM 105.5 puts

at same level Wed (OI at 74,648). Not a hale-Mary, just a fund filling hole in

risk profile associated with 4.53% rate over relatively short life-span of

option (June 5Y options expire May 25).

* 2,000 TYJ 120 calls, 33/64 vs. 119-25.5/0.44%

* 5,000 TYJ 120.5 calls, 21/64 on screen, 24k total

* 2,000 TYH 121 puts, 42/64 earlier

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

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