US TSYS: YLD CURVES SURGE STEEPER, HEAVY FI SALES ABROAD

US TSY SUMMARY: Weaker across the curve/off late session lows on moderate

volumes (Mar/Jun roll tapering off). Yield curves surge steeper -- largest move

since Jan 30 when FOMC left rates on hold. Not much react to day two Fed chair

testimony, Tsy Lighthizer comments on US/China trade.

- Tsy futures hit an air pocket later in second half, extended session lows in

long end, yld curves continue to bear steepen. Flow included stop-outs in the

intermediates after fast$ and props buying in the intermediates, curve steepener

unwinds, modest deal-tied selling, swap-tied selling in fronts to intermediates.

Heavy selling early on back of large Bund sales, month-end related re-balancing.

Sell-off seemed to accelerate around Brexit headline: "*MERKEL: IF U.K. NEEDS

MORE TIME ON BREXIT WE'LL ALLOW THAT" bbg.

- On tap for Thursday: jobless claims (220k est); Q4 GDP (init) (2.1% est);

ISM-Milwaukee Mfg Index; MNI Chicago PMI (58.0 est); Q4 housing vacancies rate.

Multiple Fed speakers on tap with Fed Chair Powell on economic developments and

long term challenges dinner event in NY. Tsy cash/ylds: 2Y 99-31.75 (2.502%), 5Y

99-15.5 (2.484%), 10Y 99-14 (2.688%), 30Y 98-20.5 (3.069%).

US TSY FUTURES CLOSE: Weaker across the curve -- a hair off late session lows on

rather modest overall volumes (March/June roll running it's course, June takes

top step Thursday). Yield curves surge steeper -- largest move since Jan 30 when

FOMC left rates on hold, update:

* 2s10s +3.542, 18.723 (14.643L/18.903H);

* 2s30s +4.522, 56.686 (52.286L/56.686H);

* 5s30s +2.216, 58.090 (55.961L/58.257H);

Current futures levels:

* Mar Ultra bonds down 1-30/32 at 159-15 (158-31L/161-00H)

* Mar 30-yr Bond futures down 1-11/32 at 145-15 (145-13L/146-29H)

* Mar 10-yr futures down 13.5/32 at 121-29 (121-28L/122-12H)

* Mar 5-yr futures down 6.25/32 at 114-17.5 (114-16.75L/114-24.75H)

* Mar 2-yr futures down 1.88/32 at 105-31.88 (105-31L/106-02H)

MONTH-END EXTENSIONS: UPDATED Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2018; TIPS 0.09Y; Govt inflation-linked, 0.11Y

*.....................Projected...1Y Avg Incr..Last Year

*US Tsys.................0.12........0.08........0.12

*Agencies................0.07........0.09........0.06

*Credit..................0.07........0.09........0.10

*Govt/Credit.............0.10........0.08........0.10

*MBS.....................0.04........0.07........0.08

*Aggregate...............0.08........0.08........0.10

*Long Govt/Credit........0.11........0.09........0.11

*Interm Credit...........0.06........0.08........0.08

*Interm Govt.............0.09........0.08........0.09

*Interm Govt/Cred........0.08........0.07........0.09

*High Yield..............0.02........0.08........0.05

US TSY FUTURES: Late roll update -- June taking lead from March Thursday (first

notice February 28). March future's staggered expiration on March 20 for 10s,

30s and Ultras, and March 29 for 2s and 5s. Latest volume:

* TUH/TUM appr 426,900 from -5.25 to -4.50, -4.62 last;

* FVH/FVM appr 693,900 from -5.25 to -3.50, -4.00 last;

* TYH/TYM appr 707,900 from -11.25 to -8.50, -9.50 last;

* USH/USM appr 135,200 from 20.25-21.00, 20.50 last;

* WNH/WNM appr 122,800 from -1-8 to -1-3, -1-4.5 last;

US EURODLR FUTURES CLOSE: Weaker across the strip, long end at/near session

lows, EDZ9/EDZ0 2.0 ticks off Tue's inverted lows. Current White pack

(Mar'19-Dec'19):

* Mar'19 -0.005 at 97.397

* Jun'19 -0.005 at 97.400

* Sep'19 -0.005 at 97.405

* Dec'19 -0.020 at 97.375

* Red pack (Mar'19-Dec'20) -0.030-0.040

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

* Blue pack (Mar'21-Dec'21) -0.055-0.060

* Gold pack (Mar'22-Dec'22) -0.065-0.070

US DOLLAR LIBOR: Latest settles

* O/N -0.0004 to 2.3882% (+0.0004/wk)

* 1 Month -0.0038 to 2.4892% (+0.0049/wk)

* 3 Month -0.0027 to 2.6261% (-0.0201/wk)

* 6 Month -0.0020 to 2.6850% (-0.0210/wk)

* 1 Year -0.0117 to 2.8665% (-0.0251/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.38%, $919B

* Broad General Collateral Rate (BGCR): 2.37%, $452B

* Tri-Party General Collateral Rate (TGCR): 2.37%, $434B

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

28-Feb 0800 Fed VC Clarida, open remarks NABE Eco/Pol Conf, DC

28-Feb 0830 23-Feb jobless claims (216k, 220k)

28-Feb 0830 Q4 GDP (init) (2.5% est); GDP Price Index (1.7% est)

28-Feb 0850 At Fed Pres Bostic, Eco & Housing panel, Bank conf, Q&A

28-Feb 0900 Feb ISM-Milwaukee Mfg Index (58.78, --)

28-Feb 0945 Feb MNI Chicago PMI (56.7, 57.5)

28-Feb 1000 Q4 housing vacancies rate

28-Feb 1030 22-Feb natural gas stocks w/w (-177Bcf, --)

28-Feb 1100 Feb Kansas City Fed Mfg Index (5, --)

28-Feb 1215 Philly Fed Pres Harker, eco-outlook

28-Feb 1300 Dal Fed Pres Kaplan, moderated Q&A, real estate cncl, TX

28-Feb 1500 Jan farm prices (1.8%, --)

28-Feb 1630 27-Feb Fed weekly securities holdings

28-Feb 1900 Clev Fed Pres Mester, women in economics, MS, Q&A 

28-Feb 2015 Fed Chair Powell, eco develops'/long term challenges, NY

PIPELINE: $5.9B to price on day, $21B/wk

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

02/27 $2B *CDP Fncl 3Y +23

02/27 $500M *Stanley Black & Decker WNK 7Y +85

02/27 $500M *Travelers WNG 30Y +107

02/27 $400M *Verisk 10Y +150

02/27 $1B #Brooklyn Union Gas $550M 10Y +117, $450M 30Y +142

02/27 $1B #Rockwell Automation 10Y +110a, 30Y +140a

02/27 $500M #Zions Bancorporation 3Y +90

Eurodollar/Treasury Option Summary

     Eurodollar options, Pit/screen:

* +12,500 Red Mar'20 80/85 1x2 call spds, 3.5 vs. 97.465/0.05%

* 6,000 Dec 71/73 put spds, 9.0 vs. 97.38

* -5,000 Dec 73/76 call spds 2.0 over the Dec 70/72 put spds

Additional trades from earlier

* -10,000 Apr 75 calls, 0.75

* -3,000 Blue May 77 calls, 4.0

*+2,000 Blue Dec 72 straddles, 43.0

* +4,000 Jun/Sep 73 straddle spds, 8.0

* Update, total 20,000 short Mar 72/73/75 call trees, 7.5 vs. 97.48-47.5/0.30%

* -20,000 short Mar 72/73/75 call trees, 7.5 vs. 97.48/0.30%

Block, 0853:23ET

* 13,425 Jun 73/75 call spds, 4.5 vs. 97.405/0.42%

* 16,000 Red Sep'20 60/67/70/72 broken put condors 5.5

Block, 0900:27ET

* 10,000 Jun 73 straddles, 9.0

* 10,000 Jul 73 straddles, 14.0

Block, 0853:23ET

* -27,000 Dec 73 straddles, 25.5 vs.

* +54,000 Dec 76 calls, 6.5

* +27,000 Dec 78/81 call spds, 1.0; 11.5 net cr/package

Block, 0846:45ET

* +10,000 Mar 73 puts, .75

* +20,000 Dec 75/77 call spds 0.5 over the 70/72 put spds vs. 97.41/0.40%

* 8,000 Red Jun'20 65/70/72 put flys on screen

Recap overnight flow and Blocks

* +25,000 Green Mar 72 puts, 0.5

* 5,000 Red Jun'20 71 puts, 7.0

* additional Sep 73/75 call spds vs. 73 put ratio spds adds to Block

Blocked:

* +2,500 Green Sep 76/80 2x3 call spds 8.0 over 7,500 Green Sep 71 puts vs.

96.635/0.66%

* +5,000 Green Dec 75 calls, 28.5

* +7,500 Green Dec 81 calls, 7.5

* -7,500 Green Dec 72 puts, 8.5

* +3,500 Sep 73/75 4x5 call spds vs. 7,000 Sep 73 puts, 4.5 net vs. 97.425/1.31%

(5k at 2.0 late Tue)

Tsy options, Pit/screen:

* +1,350 USJ 144.5/146/147.5 1x3x2 call flys, 5/64 net/wings over

* -10,000 TYK 120.5/123.5 strangles, 25- to 24/64

* +5,000 TYJ 121.5/121.75 put spds, 4/64

* +10,000 FVK 111.5 puts, 1.5/64 vs. 114-21.75 earlier

* +43,000 TYK 129 calls, 2/64 vs. 122-11

* 5,800 TYK 120.5/122 put spds, 24/64

* +50,000 TYJ 121.5/122.5 put spds, 23/64

* +7,000 TYM 121.5/122.5 2/1 put spds, 1/64 2-legs over

* 1,500 TYJ 121.25/121.75 2x1 put sod, even

* -12,500 FVM 114/114.75 2x1 put spds, 5

Overnight trade

* -15,000 TYJ 123 calls, 15/64

* 10,000 TYK 121/122 put spds, 16/64 Blocked

* 12,000 FVJ 115.25 calls, 8- to 7.5/64

* 10,000 TUM 105.87/106.0/106.12 put flys, 1/64

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

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