US TSYS: RISK-ON AS NATIONAL EMERGENCY CALLED BY PRES TRUMP?

US TSY SUMMARY: Tsys trading mixed after the bell -- near middle of range on

rather quiet trade for a "National Emergency" after Pres Trump annc'd his

intentions (and yet to sign a funding bill to keep US gov open). 

- Long end outperformed but scaled back in early trade on positive tone from

US/China trade headlines that made the rounds a few times (tariff ceasefire

deadline extension an option). Curves extended flatter amid moderate volume

(TYH<1M), March/June roll still rather muted. US$ index little weaker/off early

highs (DXY -.102, 96.876, 97.368H); equities on highs late (SPX +31.5, 2775.0).

- Quiet two-way trade, little react to early trade; fast$, trading acct selling

in long end on early trade headlines, real$ selling intermediates, better front

end receiving in second half.

- On tap for Tuesday, Fed Business Leaders Index, NAHB home builder index, 13-

and 26W bill auctions; Clev Fed Pres Mester, Eco-Forecast UoD Cntr for Eco Edu &

Entr, Q&A.

- Tsy cash/ylds: 2Y 99-30.75 (2.516%), 5Y 100-00.5 (2.495%), 10Y 99-20.5

(2.664%), 30Y 100-02 (2.996%).

US TSY FUTURES CLOSE: Trades mixed after the bell, not far from opening levels

with the long end outperforming. Yield curves near session flat, update:

* 2s10s -0.983, 14.411 (14.052L/16.828H);

* 2s30s -2.220, 47.573 (47.366L/50.706H);

* 5s30s -2.265, 50.035 (49.956L/52.409H);

Current futures levels:

* Mar Ultra bonds up 8/32 at 161-13 (160-22L/161-26H)

* Mar 30-yr Bond futures up 2/32 at 146-18 (146-03L/146-29H)

* Mar 10-yr futures down 4/32 at 122-01.5 (121-29L/122-08H)

* Mar 5-yr futures down 3.5/32 at 114-17.5 (114-15.75L/114-21.75H)

* Mar 2-yr futures down 1.38/32 at 106-00.38 (106-00.12L/106-01.88H)

US TSY FUTURES: *** Late roll update. 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. Latest volume:

* TUH/TUM appr 67,700 from -3.62 to -2.75, -3.50 last; 11% complete

* FVH/FVM appr 23,700 from -4.00 to -3.25, -3.75 last; 6% complete

* TYH/TYM appr 66,700 from -9.75 to -8.75, -9.50 last; 4% complete

* USH/USM appr <600 from 19.75-20.0, 19.75 last; 2% complete

* WNH/WNM appr 6,300 from -1-7.25 to -1-5.50, -1-6.5 last; 3% complete

US EURODLR FUTURES CLOSE: Steady in the short end to mildly weaker out the

strip, near middle of range on modest volume. Current White pack

(Mar'19-Dec'19):

* Mar'19 +0.000 at 97.355

* Jun'19 +0.000 at 97.360

* Sep'19 -0.005 at 97.350

* Dec'19 -0.010 at 97.325

* 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) -0.025-0.020

* Gold pack (Mar'22-Dec'22) -0.020-0.015

US DOLLAR LIBOR: Latest settles

* O/N +0.0043 to 2.3870% (+0.0013/wk)

* 1 Month -0.0010 to 2.4803% (-0.0238/wk)

* 3 Month -0.0110 to 2.6828% (-0.0149/wk)

* 6 Month +0.0097 to 2.7537% (+0.0119/wk)

* 1 Year -0.0107 to 2.9060% (-0.0297/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.39%, $862B

* Broad General Collateral Rate (BGCR): 2.36%, $458B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $432B

US SWAPS: Spds hold mostly tighter by the bell, narrow range all session amid

better rate receiving in 2s at 2.640% and 7s from 2.6140-2.6195%, and mixed flys

w/2s5s10s receiver and 5s7s10s payers earlier. Pick-up in receiving in 2s in

second half. Latest spd levels:

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

Fri 3:00    -0.31/13.69   -0.50/8.56     -0.31/2.81    +0.62/-17.00

10:00       -0.12/13.88   -0.19/8.88     -0.12/3.00    +0.38/-17.62

Fri Open    -0.25/13.75   -0.31/8.75     -0.12/3.00    +0.38/-17.62

Fri 7:45    +0.00/14.00   -0.19/8.88     +0.06/3.19    +0.38/-17.62

Thu 3:00    -0.12/13.50   +0.81/8.81     +0.50/2.88    -0.69/-18.38

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

19-Feb 0830 Feb NY Fed Business Leaders Index (0, --)

19-Feb 0850 Cl Fed Pres Mester, Eco-Forecast UofD Cntr for Eco Edu & Entr, Q&A

19-Feb 1000 Feb NAHB home builder index (58, --)

19-Feb 1130 US TSY $45B 13W bill auction (912796QH5)

19-Feb 1130 US TSY $39B 26W bill auction (912796SE0)

PIPELINE: No new issuance after $16.85B priced Wednesday, $46.25B on week

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

Issuance grinds to halt Thursday, after biggest placement of year in 3 days

Hear chatter Aramco shopping banks for futures issuance

-

$16.85B priced Wednesday, $46.25B on week

02/13 $5B *ATT $3B 10Y +170, $2B 20Y +220

02/13 $2.8B *Tyson $800M 7Y +145, $1B 10Y +165, $1B 30Y +230

02/13 $1.5B *Goldman Sachs 5Y +112.5

02/13 $1.5B *Boeing WNG $400M 5Y +47, $400M 10Y +67, $400M 20Y +77, $300M 40Y

+102

02/13 $1.05B *Welltower $500M 5Y +117, $550M 10Y +147

02/13 $3B *EIB WNG 3Y +3

02/13 $2B *Export Development Canada 5Y +9

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

* +4,000 Jun 71/72 2x1 put spds, 0.5

* +10,000 Red Jun'20 67/71 put spd w/Red Sep'20 67/71 put spd, 13.0

* -10,000 Sep 71/72 put spds, 3.0 

* 5,000 Mar 73/May 75 call spds, 0.0/May over

* +2,500 Blue Dec 68 puts, 4.5

* +3,000 short Jun/Green Jun 72/75 put spd spd, bear steepener, 2.0 net db

* 8,000 Dec/Blue Dec 90 2x1 call spds, 0.0

Note, with US/China trade headlines appearing more positive on the surface,

option accts are tentatively looking at buying Sep downside puts around current

levels to hedge return of rate hike chances for September. Option volume has

been more mixed the last couple weeks, but still favors buying upside calls.

* +15,000 Green Mar 72/73 put spds, 1.5 vs. 97.50/0.10%

* +10,000 Jul 73/75/76 1x3x2 call flys, cab net/wings over

* +4,000 Mar 73/75 call spds, 1.0

Tsy options, Pit/screen:

* 1,600 FVH 114.25 puts, 1/64 vs. 114-17.7

* 1,100 FVJ 115/115.5 call spds on screen, 6.5/64

* +4,000 TYJ 125.5 calls, 2/64 earlier

* +27,400 TYJ 127.5 calls, 1/64 -- opener, OI only 4,225 coming into session

Block, 1012:48ET,

* 13,090 TYH 122.5 calls, 3/64

* 12,955 TYJ 123 calls, 16/64

* +12,000 TYJ 125/125.5 call strip, 4/64

* Earlier buyer 2,500 TYJ 125 calls at 2/64

* Update, over 15,000 TYJ 121/124 strangles sold at 11/64

* -3,500 short Jun 75 straddles, 26/64

* 2,000 short Apr 73/75/76 put flys, 3.0

* 2,00 Sep/short Sep 71/72 put spd spds, 0.0

* total 11,500 TYJ 121/124 strangles, 12- to 11/64 vs. 122-07/0.05

* total 3,700 FVH 114.75/115 call spds, 2.564 vs. 114-18.75/0.10%

* 2,000 TYJ 121/124 strangles, 12/64 vs. 122-07/0.05

* 3,700 FVH 114.75/115 call spds, 2.564 vs. 114-18.75/0.10%

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

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