US TSYS: QUIET TSY RALLY AHEAD NEXT TUE'S MONPOL TESTIMONY

US TSYS SUMMARY: Tsys trading higher across the curve/off top of range w/ long

end outperforming. Heavy volume tied to March/June roll action -- otherwise avg

levels, generally quiet end to week. 

- US$ index mildly higher/near mid-range (DXY +.153, 89.890); equities stronger

(emini +27.25, 2738.75); gold weaker (XAU -2.83, 1329.38); West Texas crude

firmer, near top end of range (WTI +.81, 63.58). 

- Tsys opened w/carry-over bid from early London hours. Support started with

move in EGBs, particularly Gilts and Bunds post Euro CPI and German GDP data.

Follow-through buying/unwind of sharp mid-week sell-off. Early month-end

extension buying. Exogenous factor on back burner for some, China

take-over/seizure of Anbang Insurance Group, credit concerns asset liqdns, etc.

- Heavy futures volume tied to March/June roll action -- otherwise avg levels.

- Little to no reaction to multiple Fed speakers on day, same for MonPol report

ahead next Tue's semi-annual Mon/Pol testimony by Fed Chair Powell Tue (new

date) citing inflation remains low. Late ylds: 2Y 2.238%, 3Y 2.387%, 5Y 2.617%,

7Y 2.790%, 10Y 2.870%, 30Y 3.157%

US TSY FUTURES CLOSE: Higher across the curve/off top of range w/ long end

outperforming. Heavy volume tied to March/June roll action -- otherwise avg

levels. Latest curve update:

* 2s10s -4.306, 62.764 (67.769H/62.474L);

* 2s30s -4.102, 91.517 (96.811H/91.198L);

* 5s30s -1.045, 53.884 (56.022H/53.621L);

Current futures levels:

* Mar Ultra bonds up 1-10/32 at 156-00 (154-07L/156-06H)

* Mar 30-yr Bond futures up 30/32 at 144-02 (142-24L/144-08H)

* Mar 10-yr futures up 10/32 at 120-23.5 (120-08L/120-26.5H)

* Mar 5-yr futures up 5/32 at 114-12 (114-04.75L/114-14.25H)

* Mar 2-yr futures up 1/32 at 106-17.5 (106-16.25L/106-18.75H)

US TSY FUTURES: Late roll update, 10Y leading today's volume w/1.176M. 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 396k from 8.0 to 8.5;

* FVH/FVM appr 887k from 9.25 to 9.75;

* TYH/TYM appr 1.188M from 17.75 to 18.75;

* USH/USM appr 208k from 31.5 to 1-00.5;

* WNH/WNM appr 246k from 26.0 to 26.5;

US EURODOLLAR FUTURES CLOSE: Mostly higher, top end of range with short end back

under pressure in late trade. Current White pack (Mar'18-Dec'18):

* Mar'18 -0.007 at 97.920

* Jun'18 +0.005 at 97.760

* Sep'18 +0.015 at 97.650

* Dec'18 +0.035 at 97.520

* Red pack (Mar'19-Dec'19) +0.035-0.055

* Green pack (Mar'20-Dec'20) +0.060

* Blue pack (Mar'21-Dec'21) +0.060-0.055

* Gold pack (Mar'22-Dec'22) +0.060-0.055

US DOLLAR LIBOR: Latest settles, continued grind 

* O/N +0.0037 to 1.4481 (+0.0031/wk)

* 1 Month +0.0105 to 1.6312% (+0.0374/wk)

* 3 Month +0.0126 to 1.9562% (+0.0714/wk)

* 6 Month +0.0139 to 2.1819% (+0.0758/wk

US SWAPS: Spds running tighter across the curve, reversing early wides by midday

and extending move into the close. Note 10Y spd back near steady from +3.0 on

Wednesday. Pick-up in late week swappable supply ($12.3B priced on wk), cooling

of overnight repo levels and concerns over tighter credit conditions after China

Anbang Insurance Group seizure by the countries officials contributing to move.

Early flow included paying in 2s at 2.5057% and 5s at 2.7575%, small 2s4s

flattener, $97.8k DV01 5Y-10Y steepener. Latest spread levels:

* 2Y  -1.00/24.69

* 5Y  -1.00/10.50

* 10Y -1.00/0.50

* 30Y -1.38/-18.75

PIPELINE: No new issuance Friday, $12.3B Priced/Wk

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

$8.05B priced Thursday

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

Potential upcoming issuance in the near term:

Chatter, Bank of England 3Y 

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

- Feb 26 StL Fed Pres James Bullard on U.S. Economy/MonPol, 34th Annl NABE

Eco/Pol Conf, Washington, audience Q&A. 0800ET

- Feb 26 Jan new home sales (625k, 647k) 1000ET

- Feb 26 Jan bldg permits revision (1.396m, --) 1000ET

- Feb 26 Feb Dallas Fed manufacturing index (33.4, --) 1030ET

- Feb 26 US TSY TO SELL $51.000 BLN 13W BILL, SETTLE MAR 01, 1130ET

- Feb 26 US TSY TO SELL $45.000 BLN 26W BILL, SETTLE MAR 01, 1130ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +20,000 long Green Mar 58/63 2x1 put spds, 3.5 vs/ 97.115/0.10%

* -5,000 Green Apr 72/75 1x2 call spds, 2.25 legged

* -5,000 short Mar 75/Green Mar 72 call strip, 7.0

* Corrects/update +210,000 Apr 76 puts w/May 75/76 put spds, 1.5 total

* 10,000 short Jun 71/78 3x1 put spds, 41.0

Block, 1336:23ET

* +10,000 Blue Mar 71 calls, 6.5 vs.

* -10,000 Blue Mar 67/70 put spds, 3.0

* 60,000 Red Jun'19 72 puts, 17.5 vs.

* 31,500 Red Dec'19 72 puts, 33.0

* Update, total -40,000 Green Apr 66 puts, 0.5

* 5,000 Jun 76/80 put over risk reversals, 0.0

* 5,000 Mar 77/78 2x1 put spds, 1.0

* +5,000 Green Apr 71 straddles, 22.5

* +2,500 Dec 68/71/73 put flys, 5.0

* 1,000 long Green Jun 71 straddles, 71.5

Repeats Block:

* -10,000 short Jun 80 calls, 1.0 vs. 97.30/0.10% 

* +10,000 Jun 80/82 1x2 call spds, 0.75

Blocks, also in pit

* -10,000 short Jun 80 calls, 1.0 vs. 97.30/0.10% at 0849:56ET

* +10,000 Jun 80/82 1x2 call spds, 0.75 at 0849:15ET

* 15,000 May 75/76 put spds, 0.75

* +5,000 May 78/81 put spds, 1.5

* Update, total +40,000 Apr 78/81 call spds even vs. short Apr 77 calls

* +30,000 Apr 78/81 call spds even vs. short Apr 77 calls

* -5,750 short Jun 73/76 put spds, 18.5 vs. 97.31/0.24%

* 3,000 Mar 80/81 call spds, 0.5

Block, 0737:12ET

* -10,000 Jul 76 puts, 7.5 vs.

* +20,000 Jul 80 calls, 1.25 vs.

* -7,000 EDU8, 97.635

Tsy options, Pit/screen:

* 1,500 TYJ 121.5/122.5/126.5 call flys, 3/64

* 2,400 wk1 TY 120/120.5 call over risk reversals, 2/64 vs. 120-09

* +4,000 TYJ  121 calls, 20/64

* +2,000 TYJ/wk3 TY 120.5 straddle spds, 8/64 net

Earlier wing buyers

* +26,000 USJ 133 puts, 2/64

* +24,200 FVK 110 put

* 5,000 TYM 124/126 call spds, 5/64 vs. 120-24/0.10%

* 2,000 TUM 106.7/107.2 call spds, 3/64 earlier

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

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