US TSYS: RATES GRIND HIGHER AFTER UNEXPECTED JAN ADP UP-RVSN

US TSY SUMMARY: Trades firmer after the bell, off early second-half highs but

gaining as equities look to test session lows (SPX -20.75, 2770.75). Rates had

pared gains after better than expected up-revision to Jan ADP (+300k vs. +213k;

Feb ADP more or less in line) with Tsys grinding higher past midday as risk-on

tone hit it's stride.

- Flow included Deal-tied hedging selling into strength as are swap-tied accts,

better buying in belly from prop accts, real$ and bank portfolios. Heavy

corporate and supra-sovereign issuance, $4.5B Dell Int distant second to $12B

Qatar 3-part issuance.

- Rather quiet midweek trade, steady bid ahead Friday's headline employment data

(+183k est). On tap for Thursday: February Challenger layoff plans; weekly

claims (225k est); Q4 non-farm productivity (f) (1.7%) and unit labor costs

(1.7%); January consumer credit ($16.8B).

- Tsy cash/ylds: 2Y 99-31.12 (2.512%), 5Y 99-14.25 (2.492%), 10Y 99-15 (2.684%),

30Y 98-23.5 (3.064%).

US TSY FUTURES CLOSE: Higher across the board, off highs, yield curves steeper

amid decent buying in intermediates most of day, update:

* 2s10s +0.155, 16.978 (16.367L/17.497H);

* 2s30s +1.429, 54.748 (53.157L/55.515H);

* 5s30s +1.743, 56.990 (55.085L/57.481H);

Current futures levels:

* Jun Ultra bonds up 21/32 at 160-09 (159-22L/160-20H)

* Jun 30-yr Bond futures up 16/32 at 144-29 (144-13L/145-04H)

* Jun 10-yr futures up 9.5/32 at 122-05.5 (121-28L/122-08H)

* Jun 5-yr futures up 5/32 at 114-19 (114-14.25L/114-20.75H)

* Jun 2-yr futures up 2/32 at 106-01.88 (106-00.12L/106-02.38H)

US EURODLR FUTURES CLOSE: Modestly higher across the board, upper half narrow

range. Current White pack (Mar'19-Dec'19):

* Mar'19 +0.010 at 97.400

* Jun'19 +0.010 at 97.385

* Sep'19 +0.015 at 97.375

* Dec'19 +0.020 at 97.340

* Red pack (Mar'19-Dec'20) +0.025-0.030

* Green pack (Mar'20-Dec'21) +0.035-0.025

* Blue pack (Mar'21-Dec'21) +0.025-0.030

* Gold pack (Mar'22-Dec'22) +0.030-0.035

US DOLLAR LIBOR: Latest settles

* O/N +0.0000 to 2.3906% (+0.0058/wk)

* 1 Month +0.0109 to 2.4917% (+0.0099/wk)

* 3 Month -0.0121 to 2.5945% (-0.0040/wk)

* 6 Month +0.0034 to 2.6881% (+0.0061/wk)

* 1 Year +0.0027 to 2.8863% (+0.0073/wk)

US TSYS: REPO REFERENCE RATES: (rate, volume) 

* Secured Overnight Financing Rate (SOFR): 2.38%, $956B

* Broad General Collateral Rate (BGCR): 2.36%, $467B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $450B

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

07-Mar 0730 Feb challenger layoff plans (18.6%, --)

07-Mar 0830 02-Mar jobless claims (225k, 225k)

07-Mar 0830 Q4 non-farm productivity (f) (2.3%, 1.7%)

07-Mar 0830 Q4 unit labor costs (f) (0.9%, 1.7%)

07-Mar 1030 01-Mar natural gas stocks w/w

07-Mar 1030 NY Fed VP Potter, Challenge/Opportunity Purchase Uncnvntnl Assets

07-Mar 1215 Fed Brd Gov mem Brainard, eco-outlook/mon-pol lecture 

07-Mar 1500 Jan consumer credit ($16.6B, $16.8B)

07-Mar 1630 06-Mar Fed weekly securities holdings

PIPELINE: $4.5B Dell Int distant second to $12B Qatar 3-part issuance

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

03/06 $750M *Berkshire Hathaway Finance 30Y Tap +115

03/06 $500M *Delta Air Lines $425m 5Y 1st lien +70, $75m 5Y 2nd lien +90

03/06 $500M *Cimarex 10Y +170

03/06 $525M *Entergy Louisiana WNG 31Y +117

03/06 $400M *Public Srvc Co of Colorado WNG 30Y +103

03/06 $12B #Qatar $2B 5Y +90, $4B 10Y +135, $6B 30Y +175

03/06 $4.5B #Dell Int $1.5B 5Y +160, $1.75B long 7Y +235, $1.75B long 10Y +270

03/06 $350M #KeyBank Ntnl Assn WNG 10Y +125

03/06 $Benchmark Marriott Int 2Y FRN, 5Y

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +7,500 short Jul 76/77 call spds 1.0 over the short Jul 71/72 put spds

* -5,000 Jun 72 puts, 0.75 vs. 97.385/0.10%

* +10,000 Dec 76/78 call spds, 2.5

* -5,000 short Jun/Blue Jun 77 call spds, 1.0 net, Blue Jun sold over,

Reds/Blues steepener

Block, 1107:43ET,

* 10,000 long Green Mar'21 90/100 1x2 call spds, 3.5

* +3,000 long Green Mar'21/Long Green Sep'21 90/97 1x2 call spd strip, 6.5

* over 3,000 Dec 73 straddles,25.5

* 2,000 Jun/Sep 73 straddle spds, 8.0

Earlier flow includes

* -6,000 Jun 75 calls, 0.75

* 4,000 short Jun 68/70/71/72 put condors, 2.0

* 2,500 short Sep 68/70/71/72 put condors, 2.5

* 2,500 short Sep 71/72 put spds, 2.5

* over +10,000 short Mar 75/76 call spds, 0.5 earlier

* +10,000 short Mar 75 calls 1.0

* -4,000 Dec 71/73 3x2 put spds, 14.5 vs. 97.37/0.33%

* -2,500 Green Mar 75 straddles, 8.5

* +2,500 Dec 72 puts, 7.0

* +7,000 Sep 71/72 put spds, 0.75

* 2,500 Dec 73/77 1x2 call spds, 4.5

* 2,500 Dec 73/75 1x2 call spds, 3.0

* 3,500 Sep 70/71 2x1 put spds, 0.0

* +1,500 short Mar/short May 73 straddle spd, 11.5 net/May over

* +10,000 Sep 100 calls on screen earlier

* 10,000 Jun 95 calls, 0.5

* 10,000 short Jun 80/83/85 2x1x1 call trees, checking price

Tsy options, Pit/screen:

* 4,900 FVK 115.5 calls, 6/64 vs. 114-18

* 1,250 TYJ 123/123.5 call spds, 3/64

* 1,000 USJ 146/148 call spds, 18/64

Large screen trade

* -50,000 FVK 116 calls, 3/64 -- apparently legging call spd after screen buy of

50k FVK 114.5 calls at 26.5, implieds recede after second leg hit

* +50,000 FVK 114.5 calls, 26.5 (.54% delta -- helping keep underlying well

bid/at session high of 114-13.75)

* >+80,000 TYK 122.5/124.5 call spds, 22- to 23/64

* +13,600 FVM 112.5/113.5 put spds on screen at 6.5/64 last few minutes, appr

20k total

* 3,500 FVM 113.5/114.25 2x1 put spds, 4.5 vs. 114-15.25

* +4,000 TYJ 120.5/121.5 2x1 put spds, 6/64

* +1,200 TYJ 122 straddles, 44/64

* +1,250 FVM 112.5/116.25 call over risk reversals, 1/64 vs. 114-15.5

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

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