US TSYS: TSYS OFFERED ON QUIET START TO WK, MAR/JUN ROLL P/U

US TSYS SUMMARY: Relative quiet start to week, rates trading lower all session,

off lows late after absorbing a lot of Tsy supply: 1M, 3M, 6M and 2Y supply. US$

index higher (DXY +.615, 89.715); equities sharply weaker after holding around

steady around midday (emini -23.0, 2712.0); gold sharply lower (XAU -17.50,

1329.09); West Texas crude little firmer (WTI up .22, 61.90). 

- Decent two-way flow in Tsys, large duration weighted flattener:               

* -26,929 TUH 106-15.75, sell through -16 bid at post time, -37,405 total       

* +22,301 FVH 114-05, buy through -04.5 offer at post time, +30,975 total

- Swap spds mostly tighter, long end leading move for much of the session. Light

deal-tied flow, pre-auction short setting to start off week. Modest front end

rate paying noted earlier. OTC swaption vol weaker.

- Heavy Eurodollar option trade, continued better buying low delta puts to hedge

for underlying pricing in increased chances of quarterly rate hikes.

- Late ylds: 2Y 2.219%, 3Y 2.406%, 5Y 2.643%, 7Y 2.814%, 10Y 2.888%, 30Y 3.152%

US TSY FUTURES CLOSE: Modestly weaker by the bell, off intra-day lows/near

middle of session range on moderate volume (inflated by Mar/Jun roll action),

otherwise, a quiet start to week. Latest curve update:

* 2s10s -1.646, 66.486 (71.279H/66.130L);

* 2s30s -0.867, 92.928 (94.334H/91.308L);

* 5s30s +0.597, 50.671 (51.095H/47.651L);

Current futures levels:

* Mar Ultra bonds down 14/32 at 156-01 (155-15L/156-29H)

* Mar 30-yr Bond futures down 10/32 at 143-29 (143-14L/144-15H)

* Mar 10-yr futures down 2.5/32 at 120-16 (120-05L/120-21H)

* Mar 5-yr futures down 2.75/32 at 114-07 (114-00.25L/114-10.25H)

* Mar 2-yr futures down 1.25/32 at 106-16 (106-14/106-17.5H)

US EURODOLLAR FUTURES CLOSE: Mostly lower, Greens underperforming all session.

Front end selling after 3M LIBOR continued to set higher. Current White pack

(Mar'18-Dec'18):

* Mar'18 -0.010 at 97.955

* Jun'18 -0.020 at 97.775

* Sep'18 -0.025 at 97.665

* Dec'18 -0.030 at 97.540

* Red pack (Mar'19-Dec'19) -0.030-0.040

* Green pack (Mar'20-Dec'20) -0.040-0.025

* Blue pack (Mar'21-Dec'21) -0.020-0.005

* Gold pack (Mar'22-Dec'22) -0.005 to +0.010

US SWAPS: Spds mostly tighter by the close, long end leading move for much of

the session. Light deal-tied flow, pre-auction short setting to start off week.

OTC swaption vol weaker. Latest spread levels:

* 2Y  -0.44/26.75

* 5Y  +0.00/10.00

* 10Y -0.50/1.38

* 30Y -1.19/-16.44

PIPELINE: Slow start to week

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

02/20 $400M *Snap-On Inc, 30Y +95

02/20 $1B Sprint 8NCL Sr Notes, 7.75$a

02/20 $Benchmark, Bank Nederlandse Gemeenten NV (BNG) 2Y MS+5 area Wednesday

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 21 17-Feb Redbook retail sales m/m (-1.1%, --) 0855ET 

- Feb 21 Phil Fed Pres Harker, Edward Jones Dean's Breakfast: Eco Outlook, StL,

Q&A. 0900ET 

- Feb 21 Markit Mfg Index (flash) (55.5, --) 0945ET 

- Feb 21 Markit Services Index (flash) (53.3, --) 0945ET 

- Feb 21 Jan existing home sales (5.57m, 5.62m) 1000ET 

- Feb 21 $15B US Tsys 2Y Reopen FRN note auction 1130ET 

- Feb 21 $35B US Tsys 5Y note auction 1300ET 

- Feb 21 Fed Reserve minutes from January 30-31 FOMC, 1400ET 

- Feb 21 Minn Fed President Kashkari participation/moderated Q&A in Minneapolis,

Q&A. 2015ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +8,000 short Jun 71/73 2x1 put spds, 5.5

* +8,000 Jun 76/80 put over risk reversals, cab

* -3,000 Blue May 67/72 call over risk reversals, 1.5

* +10,000 Apr/Jun 78 call spds, 1.5

* +10,000 Green Mar 76/77 call spds, cab

* +10,000 Mar 80/81 put spds, 11.5

Block, 1430:45ET

* +10,000 short Jun 71/73 2x1 put spds, 5.5 net vs. 97.33/0.10%

* +11,000 Mar 80/81 put spds, 11.5 vs. 97.95

* -12,000 Apr 77 puts, 3.5

* 4,000 Green Apr 71/72/73 call trees, 1.5

Block, 1100:30ET, adds to 10k earlier/+20k total call strip

* +10,000 Red Dec'19 82 calls, 4.0 vs. 97.145/0.08% w/

* +10,000 short Mar 82 calls, 5.0 vs. 97.12/0.10%

* +30,000 Aug 72/73/75  put flys, 1.5 vs. 97.66/0.10%

* +5,000 Jun 73/Sep 71/Dec 66 put strips, 0.75

* +5,000 Jul 73/75/76 put flys, 3.5

Block, 0933:30ET,

* 10,000 Red Dec'19/Green Mar'20 82 call spds, 1.0 vs. 97.145/0.08% and

97.12/0.10% respectively

* +10,000 Green Apr 68 puts, 3.5 vs. 97.12/0.10%

* 2,000 short Mar 75 straddles, 15.5

* 2,000 Dec 71/72 2x1 put spds, 0.5

Block, 0825:40ET,

* +30,000 Mar 70 puts, 3.5

* +10,000 Mar'19 70 puts, 3.5

* 10,000 Jul 75/76 2x1 put spds, 2.75

* 3,500 short Apr 72/Blue Jun 76 1x2 put spds, 3.5

Earlier screen trade highlights

* +40,000 Blue Jun 66 puts, 5.5

* 30,000 short Jun 72/73 put spds vs. short Jun 75 calls

* 8,600 short Jun 73/75/76 call trees

* 10,700 short Apr 71 puts

Block, 0722:40ET, adds to 16.5k Blocked earlier, 30k total w/screen trade 

* 10,000 short Apr 72/73 put spds 4.5 over the 75 short Apr calls, vs.

97.285/0.40%

Tsy options, Pit/screen:

* +1,200 FVH 113.25/113.5/113.75 put trees, 0.5/64

* over +7,000 FVH 113.5/113.75/114 put trees, 3/64

* +/-3,000 TYJ 120.75 conversions, 0.0

* +4,000 TYH 122 calls, cab-7

* 2,800 TYM 118 puts, 25/64 vs. 120-12.5/0.22%

* Update, total +18,200 wk1 FV 114.2/wk2 FV 114.5 call spds, .5- to 1/64

* total over 48,500 FVJ 114.5 from 8.5- to 10.5/64 on screen

* Update, total +11,200 wk1 FV 114.2/wk2 FV 114.5 call spds, .5/64

* +6,200 wk1 FV 114.2/wk2 FV 114.5 call spds, .5/64

* -1,100 TYJ 120 straddles, 1-18/64

* +3,000 TYH 119.7 puts, 3/64 vs. 120-12 earlier

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

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