US TSYS: TSYS/EQUITYS BOUNCE ON QUIET HEAVY DATA DAY, PPI +.4%

US TSYS SUMMARY: Rates holding mostly higher into the close on decent volume

(TYH>1.59M), curves flatter/off lows. Certainly quietest day of wk despite large

flurry of data, not a good sign for an active Fri w/traders eyeing exits heading

ahead extended holiday weekend, Chinese New Year holiday's to temper next wk's

volume.

- Tsys pared gains after $7B 30Y TIPS auction, 2bps tail, awarded 1.003% rate

vs. 0.995% bid. Prior to auction, Tsys receded as US$ bounced vs. Yen on back of

Nikkei headlines "Japan Is Said to Consider Wakatabe for Senior BOJ Post:

Nikkei" Wakatabe has advocated for bolder monetary easing.

- Data, Wkly claims +7k to 230K vs. 280k est, PPI +.4%, inflation exp tempered

by Jan IP dip to -.1% vs. +.2% est.

- Flow included fast$ buyers in 10s, bank buying 30s post IP, fast- and real$

sellers in 10s near highs, mixed curve flow included 2s10s steepeners fading

move, 5s10s flatteners. Heavy option volume hedging quarterly rate hikes w/front

end well offered.

- Late ylds: 2Y 2.184%, 3Y 2.402%, 5Y 2.642%, 7Y 2.826%, 10Y 2.899%, 30Y 3.148%

US TSY FUTURES CLOSE: Trading mixed after the bell, long end outperforming but

well off midday highs. Latest curve update:

* 2s10s -2.210, 71.234 (74.113H/69.958L);

* 2s30s -3.234, 96.198 (99.434H/93.405L);

* 5s30s -2.433, 50.411 (52.265H/48.124L);

Current futures levels:

* Mar Ultra bonds up 25/32 at 156-04 (155-03L/156-29H)

* Mar 30-yr Bond futures up 17/32 at 143-29 (143-04L/144-11H)

* Mar 10-yr futures up 2/32 at 120-12.5 (120-01L/120-18H)

* Mar 5-yr futures up 0.25/32 at 114-06.25 (113-31.5L/114-09.75H)

* Mar 2-yr futures down .5/32 at 106-16.5 (106-14.5/106-17.5H)

US EURODOLLAR FUTURES CLOSE: Steady mixed by the close, short end under pressure

all session. Current White pack (Mar'18-Dec'18):

* Mar'18 -0.015 at 97.980

* Jun'18 -0.015 at 97.785

* Sep'18 -0.010 at 97.655

* Dec'18 -0.015 at 97.520

* Red pack (Mar'19-Dec'19) -0.015-0.025

* Green pack (Mar'20-Dec'20) -0.025-0.010

* Blue pack (Mar'21-Dec'21) steady vs. +0.010

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

US SWAPS: US SWAPS: Spds running wider by the close, well off mid-session highs.

Spds     

receded as Tsys pared gains in second half. Modest flow included 2-way deal-tied

hedging, carry-over spd curve flattening intermediates vs long end. Fast$ payer

in 2s late. Latest spread levels:                                               

* 2Y  +0.25/27.88                                                               

* 5Y  +0.50/10.12                                                               

* 10Y +0.06/1.56                                                                

* 30Y +0.19/-16.12

PIPELINE: $2.25B Daimler Fin 4-part launched, Peco priced

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

02/15 $2.25B #Daimler Finance 5-tranche

* $550M 3Y fix +65

* $400M 3Y FRN +45

* $675M 5Y fix +75

* +625M 10Y +85

02/15 $350M *Peco Energy WNG 30Y FMB +77

02/15 $Benchmark, General Dynamics CSRA deal

Potential upcoming issuance in the near term:

Chatter, 3M (MMM) A1/AA-

Chatter, Bank of New Zealand (BZLNZ) A1/AA-

Chatter, KeyBank 

Chatter, Fifth Third Bank (FITB) A3/A

Chatter, State Street Corp (STT) A1/A

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

- Feb 16 Jan imports price index (0.1%, 0.6%) 0830ET

- Feb 16 Jan exports price index (-0.1%, --) 0830ET

- Feb 16 Jan housing starts (1.192m, 1.225m) 0830ET

- Feb 16 Jan building permits (1.300m, 1.300m) 0830ET 

- Feb 16 Feb NY Fed Business Leaders Index (18.1, --) 0830ET

- Feb 16 Feb Michigan sentiment index (p) (95.7, 95.0) 1000ET

- Feb 16 Q4 e-commerce retail sales (3.6%, --) 1000ET

- Feb 16 Q4 Advance NSA Service Revenue (+1.2%, --) 1000ET

- Feb 16 Q1 St. Louis Fed Real GDP Nowcast 1100ET

- Feb 16 Q1 NY Fed GDP Nowcast (3.3%, --) 1115ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 13,000 Jun 75/76 put spds, 0.75

* 10,000 Blue Jun 72 calls, 9.5 vs. 97.01/0.28%

* 8,000 Jun 73 puts, 1.0 vs. 97.655

Block, 1225:15, adds to 40k earlier Block

* 14,028 Jun 76/77 put spds, 3.25 vs. 97.80/0.25

Blocks, 1142:00-1142:09ET

* total 40,000 Jun 76/77 put spds, 3.25 vs. 97.80/0.25%

* +15,000 (screen/pit) Jul 73 puts, 1.0

* +30,000 Green Apr 66/68 put spds, 3.00 vs. 97.125/0.15%

Another +10k Apr 76 puts Blocked at 0.5, +20k total

Blocks, 1034:41ET

* +10,000 Apr 76 puts, 0.5, more on screen

* 10,000 short Apr 71/72 put spds, 5.0 vs. 97.325/0.18% vs.

* 10,000 Green Jun 76 puts, 5.5 vs. 97.115/0.20% and

* 8,000 Green Mar 70 puts, 5.0

* 30,000 short Mar 73/75/76 put flys, 3.0

* 30,000 Green Jun 67 puts 1.5 over short Apr 71/72 put spds vs. 97.11/0.20%

* 17,000 Jun 75/76/77 put flys, 2.5

* 57,000 short Jun 70/72 put spds, 7.5 vs.

* 57,000 short Jun 75/77 call spds, 4.0 vs. 97.31/0.44%

* +25,000 Red Mar19 78/81/83/85 call strip, 9.0 (10k Blocked at 0922:44)

* 37,500 Red Sep'19 65/67 put spds

Blocks,

* 20,000 Jun 80/82 1x2 call spds, 0.75 net, 0919:20ET,

* 20,000 short Jun 80 calls, 1.0, 0919:15ET

* 20,000 long Green Mar'20 61/65 2x1 put spds, 0.5

* +10,000 Red Sep 65/67 2x1 put spds, 4.25

* -10,000 Sep 77/78 2x1 put spds 6.5

* 5,000 Jun 75/76/77 put flys, screen

* 5,000 Green Jun 68/71 put spds 2.5 over Green Jun 73 calls vs. 97.105/0.50%

* -75,000 Sep 77/80 2x1 put spds 4.5 mostly pre-data, still bid

* +8,000 Jun 78/80 call spds, 2.0

* +2,500 Apr 77/78 put spds, 8.5

* +4,000 Green Jun 71 straddles, 35.5

Block, 0820:04ET, ongoing, 45k total from 3.0-3.5

* 15,000 short Mar 73/75 put spds 3.5 over the short Mar 75 calls,

Pre-open Block recap:

* total 12,500 short Mar 73/75 put spds 3.5 over short Mar 75 calls at 0653ET

* total 17,500 short Mar 73/75 put spds 3.0 over short Mar 75 calls at

0547-0546ET

* 7,500 short Mar 73/75 put spds 5.5 over short Mar 76 calls vs 97.42/0.44% at

0603ET

* total +25,000 short Jun 71/73 put spds 3.5 over the short Jun 75 calls, mostly

uncovered, 5k vs. 97.33/0.59% from 0315-0335ET

* -5,000 Sep 76/77/78 call trees, 2.0 vs. 97.61/0.05% at 0349ET

* +10,001 Green Mar 71 puts, 8.5 at 0306ET

* 6,000 Green Apr 75 calls, 2.0 at 0521ET

Tsy options, Pit/screen:

* 6,000 TYM 118/119.5 put spds 8/64 over the TYM 122 calls

* +3,000 TYH 119.7/120/120.25 put trees, 0.0

* +3,700 TYH 121 calls, 7/64 vs. 120-13/0.23%

* 1,500 TYH 120.5 puts vs. 3,000 TYJ 119 put spds, 23/64 net

* 2,000 TYM 121 straddle  17/64 over the TYM 119.5 straddle

Block recap:

* 10,000 TYJ 118 puts, 15/64, 0656ET

* 15,000 TYH 119.7/120/120.5 put trees, 5/64 vs 20,000 TYJ 118.5 puts, 24/64,

0432ET

* 5,000 TYJ 119 puts, 36/64 vs. 120-03/0.90% vs. 5,000 USH 142.5 puts, 34/64,

0248ET

* total 10,000 TYH 119.5/120.5 3x1 put spds, 6/64 net, 0243-0241ET

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

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