US TSYS: TSYS -- QUIET DESCENT AHEAD MIDWEEK FOMC

US TSY SUMMARY: Not much change from midday -- Tsys trading mostly weaker across

the board (WNM -- Jun Ultra-bonds outperforming). Yld curves pared early

steepening (5s30s made new 13M highs), amid very light futures volume

(TYM<850k). US$ index well off early session lows (DXY -.078, 96.517); equities

firmer/off midmorning highs (SPX +6.25, 2836.0).

- Generally quiet start -- central bank watch in the week ahead with the FOMC

policy announcement on Wednesday, BoE, Norges and SNB on Thursday. 

- Earlier mkt moves on UK Speaker Bercow comments re: would block third Brexit

round of voting: equities sold off, US$ rebounded and Tsys drew moderate buying

from program and fast$ accts. Decent deal-tied hedging in 3s-10s and 30s. EDH

Eurodollar futures expired 97.367 w/3M LIBOR set +0.0074 to 2.6326%, Jun'19

futures new lead quarterly under pressure after midday.

- On tap for Tuesday: Redbook retail sales; Jan factory new orders; FOMC meeting

day one of two.

- Tsy cash/ylds: 2Y 100-02.62 (2.454%), 5Y 99-26.25 (2.412%), 10Y 100-06.5

(2.600%), 30Y 99-23 (3.013%).

US TSY FUTURES CLOSE: Mildly weaker for the most part (WNM bucks move), near

middle of relative narrow range on very light volume (TYM<850k). Curves flatter.

Update:

* 2s10s -0.206, 14.523 (14.011L/15.994H);

* 2s30s -1.402, 55.800 (55.195L/58.456H);

* 5s30s -1.447, 60.065 (59.498L/62.353H);

Current futures levels:

* Jun Ultra bonds up 4/32 at 162-04 (161-17L/162-10H)

* Jun 30-yr Bond futures down 3/32 at 146-03 (145-27L/146-09H)

* Jun 10-yr futures down 4/32 at 122-27 (122-26L/123-01)

* Jun 5-yr futures down 2/32 at 115-00 (114-31.25L/115-03.5H)

* Jun 2-yr futures down .75/32 at 106-06.88 (106-06.38L/106-08.25H)

US EURODLR FUTURES CLOSE: Mildly weaker across the strip -- near middle of

narrow range. Current White pack (Jun'19-Mar'20):

* Jun'19 -0.015 at 97.385

* Sep'19 -0.010 at 97.410

* Dec'19 -0.015 at 97.395

* Mar'20 -0.015 at 97.480

* Red pack (Jun'20-Mar'21) -0.010-0.015

* Green pack (Jun'21-Mar'22) -0.010-0.005

* Blue pack (Jun'22-Mar'23) -0.010-0.005

* Gold pack (Jun'23-Mar'24) -0.010-0.005

US DOLLAR LIBOR: Latest settles

* O/N -0.0007 to 2.3896% (+0.0035 last wk)

* 1 Month +0.0060 to 2.4877% (-0.0098 last wk)

* 3 Month +0.0074 to 2.6326% (+0.0286 last wk)

* 6 Month -0.0011 to 2.6706% (-0.0073 last wk)

* 1 Year -0.0229 to 2.8176% (-0.0231 last wk)

     US TSYS: REPO REFERENCE RATES: (rate, volume) 

* Secured Overnight Financing Rate (SOFR): 2.46%, $940B

* Broad General Collateral Rate (BGCR): 2.43%, $456B

* Tri-Party General Collateral Rate (TGCR): 2.43%, $434B

US SWAPS: Well off early wides by the closing bell, swappable incoming supply

has weighed on spds, decent issuance in 3s-10s and 30s after dearth of supply

late last week. Latest spd levels:

Time (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Mon 3:00    -0.94/11.12   -0.31/6.56     -0.31/1.44    +0.25/-22.25

1:30        -0.69/11.38   -0.31/6.56     -0.25/1.50    +0.38/-22.12

12:00       -0.31/11.75   +0.06/6.94     +0.06/1.81    +0.31/-22.19

9:30        +0.25/12.31   +0.19/7.06     +0.06/1.81    +0.12/-22.38

Mon Open    +0.31/12.38   +0.25/7.12     +0.12/1.88    +0.12/-22.38

Mon 7:30    +0.56/12.62   +0.06/6.94     +0.00/1.75    +0.12/-22.38

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

19-Mar 0855 16-Mar Redbook retail sales m/m

19-Mar 1000 Jan factory new orders (0.1%, 0.2%)

19-Mar 1000 Jan factory orders ex transport (-0.6%, --)

19-Mar      FOMC policy meeting, in Washington

PIPELINE: $1B Target 10Y priced

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

03/18 $1B *Target 10Y +78

03/18 $3.5B #GlaxoSmithKline Capital $1.5B 3Y fix +50, $1B 5Y +70, $1B 10Y +90

03/18 $1.5B #BNP Paribas PerpNC5 6.625%

03/18 $750M #SEB (Skandinaviska Enskilda Banken) 3Y +68

03/18 $700M #Louisville Gas/Kentucky Utilities WNG 26Y, 30Y

03/18 $400M #Kansas City Power $ Light WNG 30Y +115

03/18 $2.75B ADT 5NCL, 7NCL, 8NCL

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

Block, 1410:45ET

* total 20,000 Apr 73 calls, 2.5

* +7,500 Jul 71 puts, 0.5

* -4,000 Reed Jun 68 puts, 2.5

* +4,000 Red Jun 78/80 call spds, 2.5

* +40,000 short Jul 67/70 put spds on screen, 0.5

* 7,000 short Jun 71/73 2x1 put spds 1.0 over short Jun 80 calls

* 3,250 Sep 72/73/75 call flys, 5.0

* 3,000 Green Apr 73/75 put strips, 2.5 vs. 97.66/0.10%

Additional first-half trades

* +10,000 Sep 70/71 2x1 put spds, 0.0

* +5,000 Red Jun 77/82 call spds, 8.5

* >19,000 Jul 76/78 call spds, 1.0

* +2,500 Dec/Mar'20/Red Jun'20 68 put strips 4.25-4.50

* Update, total +20,000 short Sep 77/81 call spds, 6.5 w/Green Sep 77/81 call

spds, 8.5, adds to recent Block

* +10,000 short Sep 77/81 call spds, 6.5 w/Green Sep 77/81 call spds, 8.5, adds

to recent Block

* Update, total 8,500 short May 73 puts, 2.5 vs. 97.545

Latest Blocks, flurry of call spd crosses

* 10,000 short Sep 77/81 call spds, 7.0 vs.

* 10,000 Green Sep 77/81 call spds, 9.0 at 0928:10ET

* 10,000 Red Sep'20 77/80 2x1 call spds, 2.0 net/2-leg over at 0909:20ET

* -3,000 Jul/Aug/Sep 73 call strip, 22.0

* -5,000 short May 73 puts, 2.5 vs. 97.545

* +5,000 Jul 71 puts, 0.5

Block, 0747:32ET

* +5,000 short Apr 73 puts, 1.5 vs. 97.535/0.15%

Tsy options, Pit/screen:

* +8,000 TYK 122.5 puts, 23/64

* 17,800 TYM 125.5 calls, 9/64

on screen -- 40k total

* another 10,000 TYK 122.5/123.5 call spds, 29/6

* 2,000 TYJ/TYK 122 put spds, 11/64

* 1,000 TYJ 123.25/123.75/124.25 call flys, 4/64 vs. 122-30

* +5,000 USJ 143/149 put over risk reversals, 0.0 vs. 146-06/0.04% earlier

on screen

* 30,000 TYK 122.5/123.5 call spds, 29/64

on screen

* +25,000 TYJ 123.25 calls, 6/64, pushes total call volume to 38,500

* 3,000 TYJ 122.75 calls, 18/64

* -2,000 TUK 106.25 straddles, 15.5

* 5,000 TYJ 123/123.5 call spds, 6/64 earlier

* 5,000 FVM 115.5 calls, 17- to 16.5/64

* -2,750 FVM 114 puts, 7.5/64 vs. 115-00.2

* -1,500 TYM 123 straddles, 1-28/64

Overnight trade recap

* >31,000 TYM 122 puts, 1/64 last

* >12,000 TYM 123 calls, 13/64 last (10k Blocked late Sunday at 11-12)

* >18,000 FVM 114.75 puts, 2/64 last (30k Blocked late Sunday at 2.5)

* >24,000 FVM 115.25 calls, 4.5/64 last

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

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