US TSYS: RATES SWOON, FOLLOW THROUGH SELLING POST JAN MINUTES

US TSY SUMMARY: Tsy weaker across the curve after the bell, near second half

lows. Weaker Gilts/Bunds helped get ball rolling earlier as did Carry-over/or

resumption of selling after yesterday's FOMC minutes that were deemed less

dovish than expected. Heavy corporate issuance (and $8B 30Y TIPS auction) added

additional pressure along w/option-tied hedging ahead Fri's March Tsy option

expiration. 

- Rolling will most likely continue unabated ahead Feb 28 first notice date But

current trade evaporating after London close -- and ahead Fri's head-line item.

Release of Fed's semiannual policy REPORT ahead of Chairman Powell's testimony

on Feb 26. That said .. DC colleagues don't think much will be drawn from the

report to Congress Fri, usually a dull recap of all FOMC has done last 6 mos.

- Note on swap spds, short end has narrowed back to 3-year lows, 2Y spd

currently -1.25 at 9.81, the 10Y spd nearly inverted again, also tied to

incoming swappable supply.

- Tsy cash/ylds: 2Y 99-30.25 (2.527%), 5Y 99-30.25 (2.510%), 10Y 99-13.5

(2.690%), 30Y 99-02 (3.047%).

US TSY FUTURES CLOSE: Trading weaker across the curve after the bell, just off

late session lows as late selling in Tsys spurred some buying in rates. Yield

curve update:

* 2s10s +1.228, 15.737 (13.764L/16.485H);

* 2s30s +2.122, 51.686 (48.620L/52.215H);

* 5s30s +0.973, 53.552 (51.237L/53.874H);

Current futures levels:

* Mar Ultra bonds down 1-16/32 at 159-25 (159-20L/161-16H)

* Mar 30-yr Bond futures down 28/32 at 145-23 (145-17L/146-25H)

* Mar 10-yr futures down 9/32 at 121-28 (121-25.5L/122-08H)

* Mar 5-yr futures down 5.25/32 at 114-15 (114-13.25L/114-21.75H)

* Mar 2-yr futures down 1.75/32 at 105-31.5 (105-31.12L/106-01.5H)

US TSY FUTURES: *** Late roll update -- heavy volume. June takes lead from March

later in month (first notice February 28). Volumes still running light, but

expect a sharp increase this week. March future's staggered expiration on March

20 for 10s, 30s and Ultras, and March 29 for 2s and 5s. %complete as of

Tuesday's close. Latest volume:

* TUH/TUM appr 538,600 from -3.88 to -3.38, -3.50 last; 28.2% complete

* FVH/FVM appr 970,400 from -4.75 to -4.00, -4.25 last; 23.3% complete

* TYH/TYM appr 989,700 from -10.50 to -9.50, -9.75 last; 21.8% complete

* USH/USM appr 79,900 from 19.75-20.25, 20.00 last; 10.3% complete

* WNH/WNM appr 200,300 from -1-7.75 to -1-6.25, -1-6.5 last; 21.7% complete

US EURODLR FUTURES CLOSE: Weaker across the strip, lower half relative narrow

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

* Mar'19 -0.005 at 97.392

* Jun'19 -0.010 at 97.390

* Sep'19 -0.010 at 97.385

* Dec'19 -0.015 at 97.345

* Red pack (Mar'19-Dec'20) -0.015-0.020

* Green pack (Mar'20-Dec'21) -0.020-0.025

* Blue pack (Mar'21-Dec'21) -0.025-0.020

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

US DOLLAR LIBOR: Latest settles

* O/N -0.0021 to 2.3825% (-0.0005/wk)

* 1 Month +0.0088 to 2.4899% (+0.0096/wk)

* 3 Month -0.0123 to 2.6510% (-0.0318/wk)

* 6 Month +0.0109 to 2.7042% (-0.0495/wk)

* 1 Year +0.0144 to 2.8886% (-0.0174/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.39%, $913B

* Broad General Collateral Rate (BGCR): 2.37%, $463B

* Tri-Party General Collateral Rate (TGCR): 2.37%, $440B

US SWAPS: Spds running tighter across the curve after the bell -- tightest

levels in 3 years in short end while 10Y back to near inversion again. Move

largely driven by heavy corporate issuance last couple weeks -- near $100B.

Latest Spd levels:

Time (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Thu 3:00    -1.50/9.56    -1.62/5.56     -1.38/0.94    -1.75/-19.88

12:45       -1.25/9.81    -1.38/5.81     -1.25/1.06    -1.38/-19.50

10:30       -1.06/10.00   -1.06/6.12     -1.06/1.25    -1.25/-19.38

Thu Open    -0.12/10.94   -0.19/7.00     -0.25/2.06    +0.00/-18.12

Wed 3:00    -0.69/11.00   -0.50/7.38     +0.00/2.31    +0.12/-18.12

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

22-Feb 1015 SF Fed Pres Daly, US MonPol Forum, Q&A NY 

22-Feb 1100 Q1 St. Louis Fed Real GDP Nowcast

22-Feb 1100 US Fed policy REPORT to Congress ahead Feb 26 semiannual testimony

22-Feb 1115 Q1 NY Fed GDP Nowcast

22-Feb 1200 US Fed VC Clarida, Fed's "Review of MonPol Strategies, Tools,

Comm's" Forum, NY

22-Feb 1330 US Fed VC Clarida, StL Fed Pres Bullard, and Phil Fed Pres Harker

panel on "Future of Federal Reserve's Balance Sheet", InterContinental NY

Barclay, audience Q&A.

22-Feb 1330 US Phil Fed Harker, balance sheet panel discussion, NY, Q&A

PIPELINE: Waiting on Boston Scientific 5-parter; $37B total priced on week

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

02/21 $4.3B #Boston Sci $850M 5Y, $850M 7Y, $850M 10Y, $750M 20Y, $1B 30Y +170

02/21 $2B *Sweden WNG 3Y +0.0

02/21 $1B *CSX 10Y $600M 10Y +120, $400M 30Y +148

02/21 $600M *Florida Power & Light 30Y +95

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

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