US TSYS: TSYS BEAR STEEPEN ON JAN FOMC MINUTES: "FURTHER" INCR

US TSYS SUMMARY: Words matter -- and in the case of the Jan FOMC it's the

addition of "further" to gradual hikes that hammered rates later in session.

Move over Tsy supply, make room for the FOMC minutes. Emini rallied to session

high of 3746.75 (+32.75), before reversing gains late (-20.0, 2694.0), gold

lower as well (XAU -4.43, 1324.71).

- US$ index, DXY turned negative (-.120 to 89.596) briefly post auction, adding

to Tsy sell-off/extending session lows in long end, short end reversing initial

gains. Post minutes bid in short end on large Block buy of +14.6k TUH at 106-16.

- Sources report heavy long end selling/futures and cash, banks, props, real$,

stops triggered as well w/30Y yld tapping 3.2314% in late trade, revisiting Jun

'15 highs; 10Y taps 2.9537% level not see since late Dec '13.

- Heavy roll volume in futures from March to June ahead next wk Wed's first

notice date (June futures go "top step" on Feb 28). Heavy Eurodollar futures

selling, rate hike% climbs >75% for second hike at Jun FOMC. $35B 5Y auction on

screws 2.658%

- Late ylds: 2Y 2.274%, 3Y 2.441%, 5Y 2.684%, 7Y 2.865%, 10Y 2.945%, 30Y 3.221%

US TSY FUTURES CLOSE: Jan FOMC minutes wording change, adding "further" to

gradual increases hammers rates. Short end enjoyed brief bid following large 2Y

block buy reversed gains as long end made new session lows, curves rebounding as

ylds made new multi-year highs. Latest curve update:

* 2s10s +0.520, 67.189 (67.556H/61.621L);

* 2s30s +1.642, 94.735 (95.455H/87.702L);

* 5s30s +3.300, 53.965 (54.737H/48.966L);

Current futures levels:

* Mar Ultra bonds down 1-28/32 at 154-01 (153-27L/156-12H)

* Mar 30-yr Bond futures down 1-10/32 at 142-18 (142-14L/144-06H)

* Mar 10-yr futures down 11.5/32 at 120-04 (120-02L/120-19.5H)

* Mar 5-yr futures down 5.5/32 at 114-01.25 (114-00.25L/114-08.75H)

* Mar 2-yr futures down .75/32 at 106-15 (106-14.5L/106-16.5H)

US EURODOLLAR FUTURES CLOSE: Lower across the strip, heavy sell pressure in

Whites through Greens as futures price in increased probability of quarterly

rate hikes (March 21 96%; June 13 85% according to MNI PINCH model). Plenty of

downside in futures as model only showing chance of third hike at either the Aug

or Sep meetings in the low to mid-teens. Current White pack (Mar'18-Dec'18):

* Mar'18 -0.040 at 97.905

* Jun'18 -0.040 at 97.715

* Sep'18 -0.045 at 97.595

* Dec'18 -0.055 at 97.450

* Red pack (Mar'19-Dec'19) -0.060-0.080

* Green pack (Mar'20-Dec'20) -0.080-0.085

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

* Gold pack (Mar'22-Dec'22) -0.080-0.075

US DOLLAR LIBOR: *** Latest settles,

* O/N +0.0000 to 1.4450 (+0.0000/wk)

* 1 Month +0.0069 to 1.6025% (+0.0087/wk)

* 3 Month +0.0159 to 1.9197% (+0.0349/wk)

* 6 Month +0.0169 to 2.1455% (+0.0394/wk)

PIPELINE: $2.35B total High-grade issuance priced Wednesday

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

02/21 $1.4B *Boeing 4-part, $350M each: 5Y, 10Y, 20Y and 30Y

02/21 $500M *Mastercard 10Y +62, 30Y +77

02/21 $450M *Ryder System Inc. 5Y +78

02/21 $Benchmark, Bank Nederlandse Gemeenten NV (BNG) 2Y MS+4 

Potential upcoming issuance in the near term:

Chatter, Bank of England 3Y 

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

- Feb 22 16-Feb MBA Mortgage Applications (-4.1%,--) 0700ET

- Feb 22 17-Feb jobless claims (230k, 230k) 0830ET

- Feb 22 18-Feb Bloomberg comfort index (57.0, --) 0945ET

- Feb 22 Jan leading indicators (0.6%, 0.6%) 1000ET

- Feb 22 16-Feb natural gas stocks w/w (-194Bcf, --) 1030ET

- Feb 22 16-Feb crude oil stocks ex. SPR w/w (1.84m bbl, --) 1100ET

- Feb 22 Feb Kansas City Fed Mfg Index (16, --) 1100ET

- Feb 22 Atl Fed Pres Bostic, Banking Outlook Conf in Atlanta, Q&A 1210ET

- Feb 22 $29B US Tsys 7Y note auction 1300ET

- Feb 22 21-Feb Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

Block, 1250:18ET

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

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

* 4,000 Jun 76/78 strangles, 4.5

* +25,000 short Mar 71 puts, 0.5, adds to 17k on screen

Block, 1115:30ET

* 10,000 short Sep 80 calls, 2.0

* 5,000 Red Mar 70/71 put spds, 3.0 vs. 97.375

* 5,000 Sep 76/77/78 put trees, 0.0 vs. 97.625/0.37%

* +7,000 Green Sep 68/70/71 put trees, 6.5

* -5,000 Green Mar 71/72/73 put trees, 2.5

Block, 1011:48ET

* +28,000 Aug 72/73/75 put flys, 2.0

Block, 0952:43ET

* 10,000 long Green Mar'20 72 puts, 39.0

* 40,000 long Green Dec'20 55 puts, 5.0

Block, 0909-0918ET

* total 64,500 long Green Jun'20 81 calls, 8.5 vs. 97.12/0.12%

* 15,000 Mar 78/80 put over risk reversals, 0.75 vs. 97.915/0.44%

* 4,000 short Mar 75/77 call spds, 2.0 vs. 97.40

* Block total 20,000 long Green Jun'20 81 calls, 8.5 vs. 97.12/0.12%

Block, 0902:30ET

* 10,000 long Green Jun'20 81 calls, 8.5 vs. 97.12/0.12%

* +15,000 Aug 72/73/75 put flys, 1.75

* +6,000 Jun 76/77 put spds, 5.0

* 5,500 Sep 73/76 put spds, 8.5 vs. 97.62/0.10%

* 5,000 Green Mar 70/71/72 put trees, 5.0

* 5,000 short Sep 65/68 1x2 put spds, 9.5

* 3,000 Dec 68/70/71/72 put condors, 2.0 vs. 97.465/0.10

Recapping heavier overnight trade (>350k) including Blocks 

* +50,000 Blue Jun 65/66 put spds -- likely roll-down of 66/70 put spd bought at

8.0 early in month

* 30,000 Mar 78 puts, 1.25-1.50

* 10,000 short Jun 70/71/72 put flys

* 10,000 short Apr 75 calls vs. 20,000 short Mar 77 calls

* 5,000 Sep 73 and 75 puts

* -4,600 Green Jun 71 straddles, 32.5-32.0

Blocks,

* 5,000 Sep 73/76 put spds, 8.5, 0753ET

* +5,000 Jun 80/82 call spds, 1.0 vs. 97.745/0.10%

* +10,000 Green Jun 76/78 call spds, 1.0 vs. 97.04/0.06%, 5041ET

* 5,000 short Apr 72/73 put spds, 7.0 vs. short Apr 75/77 1x2 call spd, 1.5,

0607ET

Tsy options, Pit/screen:

* 1,500 FVM 111/112/113 put trees, 6/64

* 1,000 FVJ 112.7/113.25 put spds, 5/64

* 2,000 TYH 120.25/120.5 put spds, 6/64

* -1,500 TYJ 120 straddles, 1-13/64

Screen trade heading into the pit open

* 10,000 TYH 120 puts, 2- to 3/64

* -4,000 TYJ 119 puts, 15/64

* 4,000 TYJ 120 puts, 39/64

* 10,000 FVH 114 puts, 2/64

* 5,000 FVM 112.5/113 2x1 put spds

0406ET Block, 

* 3,750 FVH 113.5/113.75/114 put trees, 15/64

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

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