US TSYS: TSY YLDS BOUNCE, REVERSE THU'S MOVE, QUIET END OF WK

US TSY SUMMARY: Quiet end to a hectic week, rates opened mildly weaker and

continued to extend session lows into midday, off lows by the bell. Fed speakers

quiet after Fed chair Powell's inaugural Mon/Pol testimony, data calendar

limited. No word from WH after late Thu's metals tariff intentions while Canada,

Europe continued to outline defensive positions.

- US$ index continued to slip lower (DXY -.352, 89.972); S&P futures near steady

while DJIA fell 180.0 to 24,428; Gold firmer (XAU +5.13, 1322.05); West Texas

crude firmer/off lows (WTI +.38, 61.37).

- Flow sporadic, waves of selling across the curve, fast$ joining real$ and bank

portfolio selling in 5s, 10s and 30s, long end extending new session lows into

midday.

- Eurodlr futures progressively weaker across the strip, short end outperforming

but well off early session highs. Renewed bid in short end after 3M LIBOR set,

pace of higher sets slowing, spurring short-covering. Note, probability for rate

hike at March FOMC remains around 95%.

- Late ylds: 2Y 2.240%, 3Y 2.396%, 5Y 2.628%, 7Y 2.787%, 10Y 2.859%, 30Y 3.132%

US TSY FUTURES: Weaker across the curve but well off midday lows, long-end

underperforming, unwinding prior session's risk-off rally. Latest curve update:

* 2s10s +2.148, 61.556 (62.469H/57.838L);

* 2s30s +1.757, 88.809 (90.296H/85.682L);

* 5s30s +0.226, 50.433 (52.448H/49.514L);

Current futures levels:

* Jun Ultra bonds down 1-0/32 at 156-01 (155-12L/157-14H)

* Jun 30-yr Bond futures down 25/32 at 143-18 (143-05L/144-20H)

* Jun 10-yr futures down 12.5/32 at 120-07 (120-02.5L/120-22.5H)

* Jun 5-yr futures down 7/32 at 114-03 (114-00.5L/114-12.75H)

* Jun 2-yr futures down 2/32 at 106-09.25 (106-08.25L/106-12.25H)

US EURODOLLAR FUTURES CLOSE: Progressively weaker across the strip, short end

outperforming but well off early session highs. Renewed bid in short end after

3M LIBOR set, pace of higher sets slowing, spurring short-covering. Note,

probability for rate hike at March FOMC remains around 95%. Current White pack

(Mar'18-Dec'18):

* Mar'18 +0.002 at 97.940

* Jun'18 +0.000 at 97.795

* Sep'18 -0.015 at 97.675

* Dec'18 -0.025 at 97.530

* Red pack (Mar'19-Dec'19) -0.035-0.040

* Green pack (Mar'20-Dec'20) -0.040-0.060

* Blue pack (Mar'21-Dec'21) -0.060-0.065

* Gold pack (Mar'22-Dec'22) -0.065-0.070

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0013 to 1.4475 (-0.0006/wk)

* 1 Month +0.0043 to 1.6905% (+0.0593/wk)

* 3 Month +0.0007 to 2.0252% (+0.0690/wk)

* 6 Month +0.0035 to 2.2284% (+0.0465/wk)

US SWAPS: Spds running mixed by the close, off early narrows with the spd curve

gradually steepening in the second half. Light two-way in the short end, light

steepeners vs 10s, fast$ and bank rate paying in the long end. No new deal-tied

flow. Latest spread levels:

* 2Y  -0.44/25.56

* 5Y  -0.31/9.75

* 10Y +0.00/0.88

* 30Y +0.50/-18.25

PIPELINE: No New Issuance Fri, $34.75B priced On Wk vs. $12.3B last Wk

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

$1.75B Priced Thursday

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 05 Feb Markit Services Index (final) (55.9, --) 0945ET

- Mar 05 Feb ISM Non-manufacturing Index (59.9, 58.8) 1000ET

- Mar 05 US Tsy $51B 3M bill auction, 1130ET

- Mar 05 US Tsy $45B 6M bill auction, 1130ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +5,000 Sep 68/72 put spds, 12.5

* -2,500 short Jun 68/71 put spds, 3.5

* +3,500 Green Sep/Green Dec 77 call spds, 2.0/E2Z over

* +25,000 short Sep 68/72 put spds, 12

* Update, over +75,000 Dec 71/72 put spds, 2.0 vs. 97.515 to .52/0.10%

Note, while front Mar'18 futures may be rebounding as LIBOR rise slows down,

probability of hike at the Mar 21 FOMC still near 95%. Meanwhile, option trading

accounts remain much better buyers of downside puts to get ahead of further rate

hikes being priced into quarterly futures through the end of 2019. Dealer

opinions vary from 3-4 hikes in 2018, and 2-4 more hikes in 2019 (Bank of

America estimates a total of 9 hikes by the beginning of 2020).

Block post, 0948:49

* +10,000 short Jun 70/72 put spds, 6.0 vs. short Jun 75 calls, 8.5

* +10,000 Sep 72/75 put spds, 2.5 vs. 97.69/0.10%

* -3,500 Apr 81 calls 0.5 over short Jun 78/80/82 call trees

* +5,000 Dec 73 puts, 6.5

* +8,000 Red Mar'19 68/71 put spds, 4.0 vs. 97.43/0.10%

* -80,000 Mar 80 puts, 5.5

* 10,000 Dec 71/72 put spds, 2.0 vs. 97.515/0.10%

* 15,000 Apr 77 puts, 2.25 vs. 97.81/0.30%

Adding to late overnight screen trade

* 50,250 Blue Jun 65/67 put spds

Block trades...Latest post at

0853:55-0856:01ET, buying the 3x2 spd at 1.0/E3M over

* total 108,726 short Jun 81 calls, 1.0 vs.

* total 72,484 Blue Jun 78 calls, 2.0,

Blocks, 0850:11, repeats 20k in pit, 40k total

* +20,000 Jun 77/78 call spds, 5.5

Tsy options, Pit/screen:

* 2,000 FVM 111/112/113  2x1x1 put trees, 4/64 net

* 2,500 TYJ 119.5/120 put spds, 10 vs. 120-14.5/0.13%

* +10,000 TYM 119 puts, 32- to 33/64

* 2,000 TYJ 120.5 straddles, 1-10/64

* +5,000 TYJ 119.5 puts, 16/64 vs. 120-10.5/0.13%

* 3,000 TYJ 120/121 strangles on screen, 44/64

Block post at 0908:25ET adds to earlier, 70k total w/another 5-10k in pit

* another 30,000 TYJ 119.5/120 put spds, 11/64 vs. 120-11.5/0.12%

Blocks, 0843:05ET adds to 30k block

* another 10,000 TYJ 119.5/120 put spds, 9/64 vs. 120-17.5/0.13%

Follow up with separate futures Block, 0845:13

* -7,000 TYM 124-14, bid at post time, 120-11.5 last

* +4,000 TYJ 119/120 put spds, 9/64

* 3,100 TYJ 119.5 puts, 13/64 vs. 120-15.5

Blocks, 0840:11ET

* 30,000 TYJ 119.5/120 put spds, 10/64 vs. 120-16/0.12%

Blocks,

* +19,664 wk1 TY 120.75 calls, 6/64 at 0718:06ET

* +4,916 wk2 TY 120.75 calls, 20/64 at 0717:24ET

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

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