US TSYS: TSY YIELDS RISE ON THE NEW FED POWELL SHOW

US TSY SUMMARY: Choppy day for markets, Tsys lower/off lows after trading higher

early -- as are equities. Fed chair Powell's inaugural semi-annual Mon/Pol

testimony head-fake as rates bounced on document release, mkt was leaning more

towards hawkish or discounting dovish statement.

- Early opinion of Powell as Yellen 2.0, w/eye toward cautious policy tightening

as inflation remains slow to rebound, suggesting economy soft-patch. No hurry

here (but short end remains anchored -- March hike a go). On bounce, sources

noted fast$, prop buying on lows. Note, swap curve continues to flatten, short

end gapping wider following another higher 3M LIBOR set (+0.0220 to 2.0062%,

+0.0500/wk) LOIS widening as well.

- Hawkish Q&A bore out original opinion, however, w/Powell saying incoming data

suggests strengthening economy, confident "inflation getting stronger". Rates

reversed bounce, made new session lows, better real$ and bank selling long end,

fast$ and props buying lows. Heavy futures volume ahead June taking top step Wed

- Late ylds: 2Y 2.262%, 3Y 2.423%, 5Y 2.664%, 7Y 2.832%, 10Y 2.899%, 30Y 3.166% 

MONTH-END EXTENSIONS: ***UPDATED. Bloomberg-Barclays US month-end index

extensions compared to the average increase for the past year and the same time

in 2016.

*.....................Projected...1Y Avg Incr..Last Feb

*US Tsys.................0.12........0.06........0.02

*Agencies................0.06........0.09........0.26

*Credit..................0.10........0.04.......-0.02

*Govt/Credit.............0.10........0.05........0.01

*MBS.....................0.08........0.07........0.26

*Aggregate...............0.10........0.05........0.07

*Long Govt/Credit........0.11........0.01........0.05

*Interm Credit...........0.08........0.04........0.06

*Interm Govt.............0.09........0.04........0.05

*Interm Govt/Cred........0.09........0.04........0.05

*High Yield..............0.05........0.00.......-0.02

US TSY FUTURES CLOSE: Lower across the curve but recovering late. Choppy session

after rallying post Mon/Pol testimony document release that appeared less

hawkish than anticipated. Alas, hawkish Q&A session bore out original opinion.

Latest curve update:

* 2s10s +0.224, 63.868 (65.399H/62.515L);

* 2s30s -2.042, 90.669 (94.837H/90.018L);

* 5s30s -3.884, 50.258 (55.216H/49.662L);

Current futures levels:

* Mar Ultra bonds down 14/32 at 155-19 (154-26L/156-19H)

* Mar 30-yr Bond futures down 18/32 at 143-21 (143-06L/144-17H)

* Mar 10-yr futures down 13/32 at 120-13.5 (120-08L/120-28.5H)

* Mar 5-yr futures down 8.75/32 at 114-05.25 (114-02.25L/114-14.75H)

* Mar 2-yr futures down 2/32 at 106-15.75 (106-14.75L/106-18.75H)

US TSY FUTURES: Latest roll update, volume decent but tapering off ahead

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 401K from 7.5 to 8.25; 8.25 last

* FVH/FVM appr 688K from 9.25 to 10.25; 10.0 last

* TYH/TYM appr 930K from 18.0 to 19.25; 19.0 last

* USH/USM appr 107K from 1-00.25 to 1-00.75; 1-00.5 last

* WNH/WNM appr 96K from 26.25 to 26.75; 26.75 last

US EURODOLLAR FUTURES CLOSE: Lower across the strip/just off session lows by the

bell w/Greens underperforming all session. Current White pack (Mar'18-Dec'18):

* Mar'18 -0.015 at 97.872

* Jun'18 -0.015 at 97.725

* Sep'18 -0.035 at 97.605

* Dec'18 -0.045 at 97.470

* Red pack (Mar'19-Dec'19) -0.050-0.075

* Green pack (Mar'20-Dec'20) -0.085

* Blue pack (Mar'21-Dec'21) -0.080-0.070

* Gold pack (Mar'22-Dec'22) -0.070-0.060

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0000 to 1.4475 (-0.0006/wk)

* 1 Month +0.0162 to 1.6642% (+0.0330/wk)

* 3 Month +0.0220 to 2.0062% (+0.0500/wk)

* 6 Month +0.0101 to 2.2112% (+0.0293/wk)

US SWAPS: Spds running wider across the curve by the bell, short end off early

wides w/spd curve flipping from flatter to steeper by midday, around time Tsys

pared post Fed chair comment lows. Mixed flow in the front end to intermediates

w/better paying out the curve by real$, deal-tied flow in the mix. Latest spread

levels:

* 2Y  +0.88/28.19

* 5Y  +0.75/11.62

* 10Y +1.31/1.62

* 30Y +1.88/-18.12

PIPELINE: Upsized to $2.1B Anthem 2-part Launched                           

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

02/27 $1.5B *FMS Wertmanagement 5Y +10                                      

02/27 $1.05B #Chevron Phillips Chemical (CPCHEM) $500M 5Y +65, $550M 10Y +85

02/27 $2.1B #Anthem 2-part, $1.25B 10Y +120, $850M 30Y +140                 

02/27 $600M #Marsh & McLennan 30Y +103                                      

02/27 $Benchmark European Bank for R&D (EBRD) 5Y +9a for Wednesday

-

Potential upcoming issuance in the near term:

United Overseas Bank (UOB); 

Korea Resources (KORESC); 

Aegon NV (AEGON)

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

- Feb 28 23-Feb MBA Mortgage Applications (-6.6%, --) 0700ET 

- Feb 28 Q4 GDP (2nd) (2.6%, 2.5%) 0830ET 

- Feb 28 Q4 GDP Price Index (2.4%, 2.4%) 0830ET 

- Feb 28 Feb ISM-Milwaukee Mfg Index (63.40, --) 0900ET 

- Feb 28 Feb MNI Chicago PMI (65.7, 64.0) 0945ET 

- Feb 28 Jan NAR pending home sales index (110.1, --) 1000ET 

- Feb 28 23-Feb crude oil stocks ex. SPR w/w (-1.62m bbl, --) 1030ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* -15,000 short Mar 76/80 put spds, 37.0 vs. 97.39/0.10%

* -5,000 Green Apr 78 calls,0.5 vs. 97.145

Block, 1343:56ET

* +30,000 short Sep 68 puts, 5.5

* -15,000 short Sep 75/77 call strip, 10.0 vs.

* -12,450 EDU9 97.19

Block, 1205:25ET

* +10,000 long Green Mar 80 calls, 9.0vs. 97.16/0.12%

Block, 1147:10ET, 4.0 net/package

* 7,500 Red Mar 70/72 3x2 put spds, 11.0 vs.

* 15,000 Red Mar'19 78 calls, 3.5

* 11,000 Green May 68 puts, 6.0 on screen

* +10,000 Red Mar'19 68/70 put spds, 2.0

* +10,000 Red Mar'19 71/72 put spds, 5.0

* +25,000 Sep 73/75 put spds, 3.5 vs. 97.60 to -.605

* +5,000 Dec 70/72 put spds 3.75 legged

* +8,000 Dec 68 puts, 0.5

* -7,000 Blue Jun 72 calls, 9.5

* +18,000 Red Sep 65/67 2x1 put spds, 1.5

Repeats Block, 1.5 total/strip

* +10,000 short Mar 76 calls, 0.5 w/

* +10,000 short Apr 77 calls, 1.0

Block, 1053:12ET,

* 10,000 short Mar 76 calls, 0.5

* 10,000 short Apr 77 calls, 1.0

Block, 1039ET,

* 10,000 short Jun 70/72 put spds, 8.0 vs.

* 10,000 short Jun 75 calls, 6.5

* 10,000 Jul 75/76 2x1 put spds, 2.5

* -20,000 short Jun 70/72 put spds 3.5 over the short Jun75/77 call spds

* -20,000 Jul 80 calls vs. +Sep 73 put combo, 0.0, locals

* +10,000 Sep 75 puts, 4.0

* -16,000 Jul 80 calls, 1.0

* +20,000 Sep 73/Jul 80 put over combo, 0.0

* +4,000 short Apr 70/72 put spds, 5.0 vs. 97.31

Block, 0919ET

* +30,000 Sep 73/75 put spds, 3.0 vs. 97.61/0.10%

* +4,000 short Sep 65/68/70/71 put condors, 1.0

* +5,000 short Apr 70/71 put spds, 1.5 vs. 97.315

* -7,800 Mar 78 puts, 3.0

Block, 0847:45

* +23,000 Apr 80 calls, 0.50

* +5,500 Jun 76/77/78 put trees, 7.5

* 4,750 short Mar 75 calls, 2.5

Salient overnight screen trade:

* 57,250 Blue Jun 66/67 put spds

Tsy options, Pit/screen:

* over +25,000 TYM 108 puts, cab-7

* over +8,000 USM 180 calls, cab-7

* over +5,000 FVM 105.25 puts, cab-7

* total 37,000 (7k screen) FVK 106.7 puts, .5/64

* 3,000 TYJ 124 calls, 2/64

* -3,150 TYJ 120.5 straddles, 1-22/64

* +6,600 TYM 121/122 call spds vs. -TYM 118.5 puts, 16.0 net credit

* 4,200 TYK 126.5 calls, 2/64 vs. 120-10

* -5,000 TYJ 118 puts, 3/64

* +1,000 USJ 144 calls, 48/64

* +3,000 TUK 106.6 calls, 4.5 earlier

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

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