US TSYS: UNCONVINCING RISK ON AS EQUITIES MARCH HIGHER

US TSY SUMMARY: Tsys hold weaker levels across the curve, near mid-range on

light futures volume (TYM<920k), yld curves steeper but well off first half

highs. US$ index near lows (DXY -.110, 97.196); US equities making session highs

late (SPX +36.25, 2788.25).

- Disappointingly quiet FI trade to kick off the week -- not really a risk-off

move though equities are extending session highs late. Focus on Brexit talks as

PM May travels to Strasbourg to drum up support  w/EU's Juncker. Support in GBP

on "positive" talk headlines -- tempered on follow-up headlines walking back

positive tone.

- Tsys started day on back foot, taking cue from weaker EGBs. Better selling

across the curve after better than expected Jan retail sales--followed by dip

buying on down-revision for Dec number, a near wash. Two-way flow from props and

fast$, in front end, real$ sellers in 10s, swap-tied selling in 2s-5s, modest

deal-tied flow in the mix.

- Tsy cash/ylds: 2Y 100-01.25 (2.477%), 5Y 99-21.75 (2.442%), 10Y 99-27

(2.641%), 30Y 99-11.5 (3.032%).

US TSY FUTURES CLOSE: Very quiet start to the week. Tsys weaker after the bell

but near middle of session range amid very light volume (TYM<900k) --  Curves

mildly steeper/off highs, update:

* 2s10s +0.243, 16.383 (15.794L/17.800H);

* 2s30s +0.902, 55.381 (53.981L/56.628H);

* 5s30s +0.906, 58.896 (57.468L/59.770H);

Current futures levels:

* Jun Ultra bonds down 20/32 at 161-13 (160-30L/162-03H)

* Jun 30-yr Bond futures down 10/32 at 145-21 (145-11L/146-00H)

* Jun 10-yr futures down 4.5/32 at 122-20 (122-17L/122-25H)

* Jun 5-yr futures down 2.5/32 at 114-27.5 (114-26.25L/114-30.25H)

* Jun 2-yr futures down .75/32 at 106-05 (106-04.62L/106-06H)

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

range. Current White pack (Mar'19-Dec'19):

* Mar'19 -0.010 at 97.390

* Jun'19 -0.005 at 97.385

* Sep'19 -0.010 at 97.385

* Dec'19 -0.015 at 97.365

* Red pack (Mar'19-Dec'20) -0.025-0.030

* Green pack (Mar'20-Dec'21) -0.025-0.015

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

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

US DOLLAR LIBOR: Latest settles

* O/N +0.0034 to 2.3902% (+0.0020 last wk)

* 1 Month +0.0073 to 2.4988% (+0.0096 last wk)

* 3 Month +0.0116 to 2.6082% (-0.0019 last wk)

* 6 Month +0.0002 to 2.6792% (-0.0030 last wk)

* 1 Year +0.0054 to 2.8690% (-0.0154 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.39%, $954B

* Broad General Collateral Rate (BGCR): 2.36%, $468B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $454B

US SWAPS: Spds steady/mixed by the bell -- well off midday wides amid receiving

in 3s and 7s in second half, deal-tied unwinds. Front end lead move in first

half amid better rate paying in 2s-5s, receivers in 7s at 2.55975%. Latest spd

lelvels:

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

Mon 3:00    +0.31/12.25   -0.06/7.44     +0.10/2.00    +0.00/-19.75

12:30       +0.62/12.56   +0.38/7.88     +0.35/2.25    +0.12/-19.62

10:15       +0.81/12.75   +0.38/7.88     +0.22/2.12    +0.12/-19.62

Mon Open    +0.19/12.19   +0.12/7.62     -0.09/1.81    -0.31/-20.06

Mon 7:15    +0.00/11.94   -0.12/7.38     -0.15/1.75    -0.31/-20.06

Fri 3:00    +0.12/12.00   +0.12/7.62     +0.00/1.88    +0.19/-19.81

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

12-Mar 0600 Feb NFIB Small Business Index (101.2, --)

12-Mar 0830 Feb CPI (0.0%, 0.2%)

12-Mar 0830 Feb CPI Ex Food and Energy (0.2%, 0.2)

12-Mar 0845 Fed Brd of Govs' Brainard, "Just Economy" Conf, D.C, Q&A

12-Mar 0855 09-Mar Redbook retail sales m/m

12-Mar 1300 US TSY $24B 10Y note auction (9128286B1) 

PIPELINE: Gradual pick-up, $20-25B estimated for week

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

03/11 $1.25B #Oneok Inc. WNG 10Y +175, 30Y +223

03/11 $950m #Relx Capital 10Y +150

03/11 $600m #Dominion Energy 10Y +123, 30Y +158

03/11 $500M Kommunalbanken 2Y FRN L+4a

03/11 $Benchmark World Bank 5Y +7a

03/11 $Benchmark BB&T 3Y +60a, 10Y +125a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* total +60,000 Red Jun 85/87 call spds, 1.25/legged

* +25,000 Dec 77 calls 1.5 over the Sep 72 puts

* +10,000 Sep 68 puts, 0.5 vs. 97.36/0.05% earlier

* +18,000 Sep 67 puts, cab on screen

* +30,000 Dec 77 calls 3.75/splits vs. 97.375/0.14% vs.

* -30,000 Sep 72 puts, 2.5 vs. 97.39/0.18%

* 5,000 Sep 72 puts w/10,000 Sep 75 calls, 10.0 total

* 2,000 short Apr 76/77/78 call flys, 1.0

Block, 0903:01-:21ET and 0907:22-:47ET,

* total -40,000 short Sep 77/81 call spds, 6.0

* total +40,000 Green Sep 77/81 call spds, 8.0

* 2.0 net db conditional, bull curve (Reds/Greens) flattener

Block, 0856:58ET, adds to 20k block sale on Friday at 2.0

* +10,000 short Jul 71/73 put spds, 4.0

* -10,000 short Jul 76/78 call spds, 5.0

* 4,000 Red Sep'20 97.545

* +15,000 Dec/Red Mar'20 71/72 put spd strip, 7.0-6.75

* +10,000 Red Jun'20 85/87 call spds, 1.25

* 1,000 Jun 72/73 2x3 call spds, 4.0

Tsy options, Pit/screen:

* 4,500 TYJ 121.25/122 2x1 put spds, 3/64

* 2,000 TYJ 121.5/122.5 put spds, 29/64

* 3,500 TYJ 122.25/122.75 2x1 put spds, 0.0 on screen

* -3,000 TYJ 123.5 calls at 4/64 earlier

* +12,000 TYJ 121.5 puts, 2/64 -- lifts off/goes bid

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

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