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*** Choppy day Thursday, Tsys.......>

US TSYS SUMMARY
US TSYS SUMMARY: *** Choppy day Thursday, Tsys opening with a strong curve
flattening bid/making new highs after unch ECB policy annc, trim gains after
wkly claims and relatively upbeat ECB Draghi presser (little react to taper
annc, policy opens door to carry). Tsys new session lows on US House adopt'
budget resolution. Current 10Y 2.4262% vs. 2.4499% high, heavy vol TYZ>1.2M.
- Politico source story saying "Yellen was out of the race" and Catalonia's
Puigdemont suspending regional elections added to 2-way/risk-on/off chop
earlier. Tsy sell-off/tail risk if Taylor receives Fed chair appt.
- Flow included corporate supply and pre-auction short sets into the $28B 7Y
note auction, 2/10Y, 2/30Y and 5/30Y flatteners, heavy selling in TYZ on Yellen
item not to be reappointed.
- Swap spds held narrow range, early flow included $240M payer in 3s at 1.96125%
after 10Y10Y forward steepener, better paying from fast$, real$ and insurance
portfolios across the board into the Tsy sale.
- Massive Eurodlr Red pack (EDZ8-EDU9) Block +27.5k at +0.0075, moving risk from
futures to swaps, no duration or spread impact, sources confirm.

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