US TSYS: RISK-OFF RATE RALLY, STEEL TARIFF INTENT HITS EQ'S

US TSY SUMMARY: Strong finish for rates, Tsy futures made new session highs as

equities made new lows following steel/aluminum tariff intentions by US Pres

Trump, Europe and Canada headlines planning countermeasures, spurring late

risk-off move.

- US$ index reversed gains on tariff items (DXY -.310, 90.303 vs. 90.932H);

equities lower but off lows (emini 2681.0 late vs. 2658.5L); gold weaker (XAU

-0.96, 1317.42); West Texas crude little weaker (WTI -0.24, 61.40).

- Choppy session with several round trips in rates from steady to broadly higher

in long end. Tsys actually pared early gains post data w/inflation at 1.5%,

equities pare losses/rates reverse post consumer confidence rally move after

ISM, construction spending data, focus back to Fed chair Powell as he made

second Mon/Pol testimony.

- Powell states can't be "too aggressive" in tightening policy w/inflation still

below target, Dudley adds four hikes WOULD be gradual. Heavy two-way flow prop

and real$ selling in 10s, 30s earlier, bank and real$ 2-way in belly-long end

- Late ylds: 2Y 2.214%, 3Y 2.360%, 5Y 2.581%, 7Y 2.738%, 10Y 2.810%, 30Y 3.089%

US TSY FUTURES: Strong finish for rates, Tsy futures made new session highs as

equities made new lows following steel/aluminum tariff intentions by US Pres

Trump, Europe and Canada headlines planning countermeasures if do spurred

risk-off move. Latest curve update:

* 2s10s -1.247, 59.408 (60.838H/58.004L);

* 2s30s +0.436, 87.458 (88.695H/84.653L);

* 5s30s +2.618, 50.694 (52.187H/47.050L);

Current futures levels:

* Jun Ultra bonds up 1-08/32 at 157-04 (155-13L/157-09H)

* Jun 30-yr Bond futures up 29/32 at 144-11 (143-06L/144-18H)

* Jun 10-yr futures up 16.5/32 at 120-18 (120-00.5L/120-23H)

* Jun 5-yr futures up 11/32 at 114-08.75 (113-28.5L/114-12H)

* Jun 2-yr futures up 3.25/32 at 106-10.75 (106-07L/106-11.5H)

US EURODOLLAR FUTURES CLOSE: Broadly higher on heavy volume, at/near session

highs by the bell. Short end progressively bid after 3M LIBOR rise slowed,

Green/Blues outpace late. Current White pack (Mar'18-Dec'18):

* Mar'18 +0.052 at 97.937

* Jun'18 +0.070 at 97.795

* Sep'18 +0.085 at 97.690

* Dec'18 +0.090 at 97.560

* Red pack (Mar'19-Dec'19) +0.095-0.100

* Green pack (Mar'20-Dec'20) +0.105-0.110

* Blue pack (Mar'21-Dec'21) +0.110-0.100

* Gold pack (Mar'22-Dec'22) +0.095-0.085

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0037 to 1.4462 (-0.0019/wk)

* 1 Month +0.0162 to 1.6862% (+0.0550/wk)

* 3 Month +0.0073 to 2.0245% (+0.0683/wk)

* 6 Month +0.0012 to 2.2249% (+0.0430/wk)

US SWAPS: Spds held tighter in late trade, off session lows. Aside from modest

deal-tied flow, late mixed flow included

* $65.3k DV01 2Y-5Y FLATTENER

* $250k DV01 5Y-10Y STEEPENER

* $191.4k 2Y-3Y-10Y Fly, paying the belly

* $187.6k 2Y-5Y-6Y Fly, receiving the belly. Latest spread levels:

* 2Y  -2.50/25.88

* 5Y  -0.88/10.19

* 10Y -0.81/0.75

* 30Y -1.50/-19.50

PIPELINE: $1.75B Nationwide Building Society launched earlier

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

03/01 $1.75B #Nationwide Bldng Soc ($1B 6NC5, $750M 11NC10)

-

Potential upcoming issuance in the near term:

Chatter, United Overseas Bank (UOB)

Chatter, Korea Resources (KORESC)

Chatter, Aegon NV (AEGON)

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

- Mar 02 Feb ISM-NY current conditions (72.5, --) 0945ET 

- Mar 02 Mar Michigan sentiment index (f) (99.9, 99.3) 1000ET 

- Mar 02 Q1 St. Louis Fed Real GDP Nowcast (+2.74%, --) 1100ET 

- Mar 02 Q1 NY Fed GDP Nowcast (+3.1%, --) 1115ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 20,000 short Jun 71/73 2x1 put spds, 6.0

* 10,000 Blue Jun 75/Blue Sep 76 call spds, 1.0

* 20,000 Aug 75 puts, 2.75 vs. 97.655/0.24%

* +5,000 Sep 73/75 2x1 put spds, 1.5

* +10,000 Red Jun 70/72/73 put trees, 2.0 vs. 97.315/0.15%

* -5,000 Green Mar 68/71/73 put trees, 17.0 vs. 97.16/0.38%

* -5,000 May 76/77 put spds 1.75 over the May 77 calls

* +5,000 May 76 puts, 1.0

* +5,000 Sep 71/72 put spds, cab

* +2,500 Jun 76/77/78 put trees, 7.25

* -3,000 Sep 76/77/78 call trees, 1.5

* -4,000 short Sep 72/Blue Sep 70 straddle spds, 8.5

* -2,000 short May 73 straddles, 22.0

* -5,000 Green Mar 71 puts, 5.0

* Update, total +15,000 short Dec 72/77 call spds, 13.5 vs.

* total -15,000 Blue Dec 71/75 call spds, 13.0

below includes 10k Block at 0953:10

* total +20,000 short Jun 70/72 put spds 0.5 over short Jun 75 calls

* +5,000 Jun 78/short Jun 76 call spds, 0.5 EON over

* -10,000 Mar 78 puts, 1.0 adding to earlier Block sales

* +5,000 short Sep/short Apr 1x2 call spds, 3.0

* +5,000 May 77/78 1x2 call spds, 1.75

* +2,000 Green Sep 63/66 put spds, 3.0

* +2,000 Green Sep 65/67 put spds, 4.0

* +5,000 Apr 75 puts and +10,000 May 75 puts both at 0.25 pre-data

Blocks, 0745:26-0746:19ET adds to -17k blocked earlier

* another 12,000 Mar 78 puts, 1.0

Blocks, 0716:34-0727:53ET

* total -17,000 Mar 78 puts from 1.25-1.0

Block, 0657:16ET

* +36,900 Sep 75 puts, 4.0

* +36,900 Dec 72 puts, 3.5

Tsy options, Pit/screen:

* 20,000 TYJ 118 puts, 2/64 on screen 40.5k total

* 1,000 FVJ 114/114.75 1x2 call spds, 9.5/64

* 1,000 TYM 120.5 straddles, 2-3/64

* 3,000 wk1 120/120.25 call over risk reversals, 2/64 vs. 120-05.5/0.68%

Block, 0827ET

* 8,000 TYJ 119/119.5 put spds, 6/64 vs. 120-13.5

* 1,800 TYJ 119 puts, 8/64 vs. 120-11/0.14%

* 2,500 TYK 118.5 puts, 12/64

* 1,000 FVJ 112.5/113 put spds, 1.5/64

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

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