US TSYS: TSYS WELL BID, NO VISIBLE MEANS OF SUPPORT

US TSY SUMMARY: Tsy continued to extend session highs midway through the second

half -- no visible means of support as participants struggled to come up with

cogent reason for the bid across many asset classes, not just Tsys. 

- Tsys did pare gains amid positive sounding China trade headlines from Pres

Trump (little substance but great deal very likely), Tsy Sec Mnuchin: CHINA HAS

AGREED TO BUY UP TO $1.2 TRILLION IN U.S. GOODS - CNBC (but China had made the

$1.2T commitment late last year); CNH/US$ climbed to new high of .1492 after Bbg

headline: "U.S., CHINA REACH FINAL AGREEMENT ON CURRENCY, MNUCHIN SAYS".

- Tsy futures volume inflated by ongoing/heavy March/June rolling ahead the Feb

28 first notice date. Very early month end buying, no deal-tied flow; March Tsy

options expire today, adding to volume trade. Curves reversed from earlier

flatter levels amid modest two-way.

- Not much of react to several Fed speakers on the day though Tsys climbed

higher across the curve on comment from Clarida re: yield curve control.

- Tsy cash/ylds: 2Y 100-00.62 (2.487%), 5Y 100-05 (2.464%), 10Y 99-24.5

(2.650%), 30Y 99-20 (3.018%).

US TSY FUTURES CLOSE: Higher but off top end of range, yield curves rebound,

update:

* 2s10s +0.028, 16.097 (14.817L/16.513H);

* 2s30s +1.106, 52.986 (50.027L/53.017H);

* 5s30s +1.706, 55.152 (52.266L/55.102H);

Current futures levels:

* Mar Ultra bonds up 26/32 at 160-23 (159-24L/161-08H)

* Mar 30-yr Bond futures up 22/32 at 146-15 (145-21L/146-25H)

* Mar 10-yr futures up 8.5/32 at 122-05.5 (121-27L/122-09H)

* Mar 5-yr futures up 6.5/32 at 114-21.5 (114-14.25L/114-23.5H)

* Mar 2-yr futures up 2.5/32 at 106-02 (105-31.38L/106-02.62H)

US TSY FUTURES: *** Late roll update -- heavy volume. June takes lead from March

later in month (first notice February 28). Volumes still running light, but

expect a sharp increase this week. March future's staggered expiration on March

20 for 10s, 30s and Ultras, and March 29 for 2s and 5s. %complete as of

Tuesday's close. Latest volume:

* TUH/TUM appr 538,600 from -3.88 to -3.38, -3.50 last; 28.2% complete

* FVH/FVM appr 970,400 from -4.75 to -4.00, -4.25 last; 23.3% complete

* TYH/TYM appr 989,700 from -10.50 to -9.50, -9.75 last; 21.8% complete

* USH/USM appr 79,900 from 19.75-20.25, 20.00 last; 10.3% complete

* WNH/WNM appr 200,300 from -1-7.75 to -1-6.25, -1-6.5 last; 21.7% complete

US EURODLR FUTURES CLOSE: Mostly higher, lead quarterly lagging. Current White

pack (Mar'19-Dec'19):

* Mar'19 -0.002 at 97.392

* Jun'19 +0.010 at 97.400

* Sep'19 +0.020 at 97.405

* Dec'19 +0.035 at 97.385

* Red pack (Mar'19-Dec'20) +0.040-0.050

* Green pack (Mar'20-Dec'21) +0.050

* Blue pack (Mar'21-Dec'21) +0.045-0.040

* Gold pack (Mar'22-Dec'22) +0.040-0.030

US DOLLAR LIBOR: Latest settles

* O/N +0.0053 to 2.3878% (+0.0048/wk)

* 1 Month -0.0056 to 2.4843% (+0.0040/wk)

* 3 Month -0.0048 to 2.6462% (-0.0366/wk)

* 6 Month +0.0018 to 2.7060% (-0.0477/wk)

* 1 Year +0.0030 to 2.8916% (-0.0144/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.39%, $886B

* Broad General Collateral Rate (BGCR): 2.37%, $463B

* Tri-Party General Collateral Rate (TGCR): 2.37%, $441B

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

25-Feb 0900 Fed VC Clarida, Dal Fed Pres Kaplan tour southern Dallas, TX.

25-Feb 1000 Fed VC Clarida, Dal Fed Pres Kaplan, comm listening session, TX.

25-Feb 1000 Dec wholesale inventories (0.3%, 0.2%)

25-Feb 1000 Dec wholesale sales (-0.6%, --)

25-Feb 1030 Feb Dallas Fed manufacturing index (1.0, --)

PIPELINE: $7.9B Priced Thursday, $37B total for week

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

02/21 $4.3B *Boston Sci $850M 5Y, $850M 7Y, $850M 10Y, $750M 20Y, $1B 30Y +170

02/21 $2B *Sweden WNG 3Y +0.0

02/21 $1B *CSX 10Y $600M 10Y +120, $400M 30Y +148

02/21 $600M *Florida Power & Light 30Y +95

Eurodollar/Treasury Option Summary

     Eurodollar options, Pit/screen:

* +5,000 Blue May 77/80 call spds, 3.25

* +4,000 Green May/Green Sep 75 straddle spds, 14.0

* 3,000 Red Dec 75/Blue Dec 68 call spds, 30.5 db, conditional flattener

Block, 1126ET, adds to earlier pit buy of 20k at

1.25 and another 5k at 1.5 just now

* +10,000 Jul 73/75 1x2 call spd w/Jun 76 calls, 1.5 total

* +20,000 Dec 75/78 call spds, 5.5 vs. 97.375/0.0%

* 10,000 Jul 73/75/76 call flys on screen

* +5,000 May 75/76 call spds 0.25 over May 72 puts

* total -50,000 short Jun 68/70/71 put strip, 3.0 vs. 97.50/0.22%

* +3,000 Blue Jun 77/80 call spds, 3.5 vs. 97.52/0.15%

Earlier trades include

* +2,500 short Jun 77/81 1x3 call spds, 0.5

* +5,000 long Green Mar 77 calls, 25.5 vs. 97.535/0.40%

* +5,000 short Jun/Green Jun 72/75 put spd spd, 2.0 net db bear curve flattener

* +10,000 Mar 75/76 1x2 call spds, cab

* +10,000 Jun 75/76/77 call flys, .75 vs. 97.405/0.05%

* 4,000 Dec 75/78 1x2 call spds, 2.0

* +20,000 Jul 73/75 1x2 call spds w/ Jun 76 calls, 1.25 total

Tsy options, Pit/screen: Quiet for a major quarterly expiration (March)

* -3,000 TYM 124.5 calls, 15/64

* +4,500 TYH 122 puts, 2/64 earlier

* +2,000 TYJ 121.5/123 call over risk reversals, 1/64 vs. 122-08/0.47%

* sellers 2,000 USJ 147 calls, 35 last

Reminder, March opts expire today, large number 10- and 5yr options coming off.

Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) are auto-exercised. ATM/OI

recap, FINAL levels coming into session according to CME Group data:

*              Calls      Puts      Total  Nearest-the-Money Strike Totals

* Mar 30yr   347,763   329,980    677,743  145.50 w/ 12,707 (5,899c, 6,808P)

*                                          146.00 w/ 35,375 (21,995c, 13,380P)

*                                          146.50 w/ 12,483 (8,049c, 4,434P)

* Mar 10yr 1,106,455 1,063,339  2,169,794  121.75 w/ 49,666 (12,348c, 37,318p)

*                                          122.00 w/ 97,092 (54,343c, 42,749p)

*                                          122.25 w/ 55,166 (40,814c, 14,352p)

* Mar 5yr    345,923 1,136,167  1,482,090  114.25 w/ 73,159 (24,593c, 48,566p)

*                                          114.50 w/ 40,087 (22,269c, 17,818p)

*                                          114.75 w/ 38,507 (29,094c, 9,413p)

* Mar 2yr     53,261    91,304    144,565  105.88 w/ 7,526 (2,768c, 4,758p)

*                                          106.00 w/ 10,665 (5,012c, 5,653p)

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

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