US TSYS: TSYS STRONGER AHEAD FRI'S NFP/IMPORT TARIFF WATCHING

US TSY SUMMARY: Mildly higher on the day, off midday highs in the lead-up to

Friday's Feb payroll (+220k est), unemployment rate (4.1%) and avg hourly

earnings (0.2% est). On the political stage, waiting for Pres Trump to sign

import tariffs on metals.

- US% index rebound (DXY +.528, 90.165); equities stronger (emini +10.75,

2739.0); gold weaker (XAU -3.77, 1321.75); West Texas crude weaker again (WTI

-0.88, 60.27).

- Tsy opened lower, following ECB annc, long end leading/extending modest low

end of range. Rates rebounded more on mildly dovish ECB Draghi statements than

to domestic data (weekly claims +21k to 231k). ECB removed reference to

increasing size/duration of the APP in the press statement. Rates gradually

traded higher into midday, huge Bund short cover flow lifted EGBs, Tsys in tow.

- Decent deal-tied flow, good pick-up ahead typically quiet Friday's for

issuance; two-way trade/positioning ahead Fri's data. Heavier bullish option

trade, largely long put unwinds/buying calls.

Late ylds: 2Y 2.250%, 3Y 2.413%, 5Y 2.628%, 7Y 2.782%, 10Y 2.859%, 30Y 3.129%

US TSY FUTURES: Modestly higher across the curve, near middle of session range,

long-end outperforming. Relative quiet trade ahead Fri's Feb employ and AHE

data. Latest curve update:

* 2s10s -2.008, 60.865 (63.136H/59.993L);

* 2s30s -1.646, 87.691 (90.577H/86.374L);

* 5s30s +0.043, 49.999 (51.546H/48.706L);

Current futures levels:

* Jun Ultra bonds up 18/32 at 155-28 (155-00L/156-15H)

* Jun 30-yr Bond futures up 16/32 at 143-19 (143-00L/144-00H)

* Jun 10-yr futures up 5/32 at 120-06 (119-30.5L/120-10H)

* Jun 5-yr futures up 2.5/32 at 114-01.75 (113-30L/114-04H)

* Jun 2-yr futures up .25/32 at 106-08.25 (106-07.75L/106-09H)

US EURODOLLAR FUTURES CLOSE: Mixed by the bell, short end weaker/under pressure

with LIBOR's continued rise (3 Month +0.0142 to 2.0714%, +0.0462/wk).

Current White pack (Mar'18-Dec'18):

* Mar'18 -0.010 at 97.870

* Jun'18 -0.005 at 97.745

* Sep'18 +0.000 at 97.635

* Dec'18 +0.000 at 97.495

* Red pack (Mar'19-Dec'19) steady to -0.010

* Green pack (Mar'20-Dec'20) steady to +0.010

* Blue pack (Mar'21-Dec'21) +0.010-0.015

* Gold pack (Mar'22-Dec'22) +0.015-0.020

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0000 to 1.4469 (-0.0006/wk)

* 1 Month +0.0216 to 1.7395% (+0.0490/wk)

* 3 Month +0.0142 to 2.0714% (+0.0462/wk)

* 6 Month +0.0137 to 2.2592% (+0.0308/wk)

US SWAPS: Spds wider/on wides by the bell, parallel shift across the curve by

the bell. Move partially tied to deal-tied paying in shorts to intermediates,

receiver unwinds ahead Fri's Feb employ/hourly earnings data. Earlier, sources

reported decent real$ receiving 5s earlier, decent paying (appr $330k) 5y at

2.7775-2.7705%. Latest spread levels:

* 2Y  +0.94/29.19

* 5Y  +0.94/12.81

* 10Y +0.88/2.75

* 30Y +0.94/-16.06

PIPELINE: Cleaning Up Supply Calendar Ahead Friday's Data

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

03/08 $1.25B *Province of Alberta Canada, 10Y +45

03/08 $1B *Export Dvlp Canada 5Y +10

03/08 $500M *Kommunalbanken FRN 3/2021 Tap L+4

03/08 $2.35B #Bank of America Perpnc 10 fix-FRN 5.875%

03/08 $1.5B #John Deere Capital $400M 3Y fix+48/+500M FRN +24/$600M 7Y +67

03/08 $1B #Transcontinental Gas Pipeline $400M 10Y +120, $600M 30Y +150

03/08 $550M #Edison Int 10Y +128

03/08 $300M #Apollo Management hldngs WNG 30Y +200a

03/08 $1B #Sysco $500M 7Y +85, $500M 30Y +135

-

Potential upcoming issuance in the near term:

Chatter, United Overseas Bank (UOB)

Chatter, Korea Resources (KOR

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

- Mar 09 Feb nonfarm payrolls (200k, 220k) 0830ET 

- Mar 09 Feb private payrolls (196k, 195k) 0830ET 

- Mar 09 Feb unemployment rate (4.1%, 4.1%) 0830ET 

- Mar 09 Feb average hourly earnings (0.3%, 0.2%) 0830ET 

- Mar 09 Feb average workweek, all workers (34.3hrs, 34.4) 0830ET 

- Mar 09 Chicago Fed Pres Evans on CNBC in post-data reaction 0840ET

- Mar 09 Jan wholesale inventories (0.4%, --) 1000ET 

- Mar 09 Jan wholesale sales (1.2%, --) 1000ET 

- Mar 09 Q1 St. Louis Fed Real GDP Nowcast (3.45%, --) 1100ET 

- Mar 09 Q1 NY Fed GDP Nowcast (3.0%, --) 1115ET 

- Mar 09 Chicago Fed Pres Evans, Manhattan Institute Shadow Open Market Comm, NY

with audience Q&A. 1245ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

Late trade, 20k short Apr put spds blocked/add to pit trade

* +35,000 short Apr 70/71 put spds, 1.5

* -10,000 Jun 77/80 2x1 put spds, 13.0

* +15,000 short Apr 70/71 put spds, 1.5

* -10,000 short Apr 71/75 call over risk reversals, 0.5

Earlier vol trades

* -4,000 Green May 71 straddles, 25.5

* -4,000 Blue Jun 70/71 strangles, 26.5

Latest trade, more conditional Red/Green curve steepeners, +80k total * +30,000

Red Jun'19/Green Jun'20 73 call spds, 12.0-12.5 net debit for the conditional

bull curve steepener Other recent trade includes

* +25,000 long Green Jun 57/62 2x1 put spds, 2.75 legged

* total -25,000 Apr 76 puts, 0.75

* -10,000 Mar 78 puts, 1.5

* +5,000 Apr 81 calls, cab, ongoing short cover

* +5,000 short Mar 72/73 put spds 2.0 over the short Mar 75 calls, adds to +10k

overnight Block

Block posts, 0855:26-0903:35ET, adds to +25k pit and +40k Blocked earlier

* another +20,000 Jun 78 calls, 3.0 vs. 97.745/0.20%, +85k total

* -10,000 Jun 76/77/78 iron flys, 8.5

* 2,500 Red Dec'19 62/65 put spds, 4.0

* 4,000 short Jun 77/Blue Jun 75 call spds, 1.5

Block post, 0755:04ET

* 20,000 Jun 78/80 call spds, 1.75

Prior Block recap:

* total +10,000 short Mar 72/73 put spds 2.0 over the short Mar 75 calls

(0547-0623ET)

Tsy options, Pit/screen:

* 3,000 TYJ 118 puts, 2/64 vs. 120-00.5

Block post, 1348:00ET

* 26,843 TYJ 119.5 puts, 11/64 vs. 120-06/0.26%

* +6,000 TYJ 122.5 calls, 2/64

* +5,000 TYK 119 puts, 19-20

* +2,000 FVM 112.25/113.25/114.25 2/3/1 put flys, 3.5

* +5,000 wk3 TY 121 calls, 7

* +2,000 wk3 FV 113/113.5 2x1 put spds, 1.5

* +2,000 wk1 FV 114 puts, 5.5

Block post, 0749:06-0751:57ET

* total 10,000 wk2 TY 119.7 puts, 8/64, still offered

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

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