US TSYS: 3M10Y RECESSION FLAG REBOUNDS/OFF INVERSION

US TSY SUMMARY: Rates traded weaker all day but see-sawed to top end of session

range by the bell. Little react to weaker than expected data (Jan core PCE price

index +0.1% vs flat BBG expected, +0.2% MNI; MNI Chicago Business Barometer

Retreats in March to 58.7 vs. 61.0 est). Tsys continued to track moves in Bunds

while ignoring moderate strength in equities. US$ index firmer (DXY +.043,

97.245); equities near late highs (SPX +14.0, 2835.0).

- Front end came under pressure on midday comment from Fed'S Quarles: "FURTHER

RATE HIKES NEEDED AT SOME POINT"; while ignoring left field comment from WH

economic advisor Larry Kudlow on CNBC that the Fed should cut rates immediately

by 50bp.

- Late session month end sell imbalances, appr -260k TYM sold in minutes ahead

the bell, futures rebounding soon after. Less option flows than earlier in week.

Note, 3M10Y yld curve dis-inverted +3.990 to +1.215 after the bell (+2.886H)

after extending 12 year lows early Thu of -11.7.

- The 2-Yr yield is up 3.4bps at 2.2701%, 5-Yr is up 2bps at 2.2346%, 10-Yr is

up 1bps at 2.405%, and 30-Yr is down 1bps at 2.8127%.

US TSY FUTURES CLOSE: Weaker across the curve, futures drift near middle

moderate range/off morning lows amid decent overall volume (TYM>1.6M). Curves

mostly flatter -- 3M10Y pushing off inversion earlier. Month end imbalances dip

in TYM after some 260k sales went through -- came right back. Update:

* 3M10Y  +3.99, 1.215 (L: -4.587 / H: 2.886)

* 2Y10Y  -2.148, 13.519 (L: 13.445 / H: 16.615)

* 2Y30Y  -3.776, 54.617 (L: 54.142 / H: 59.035)

* 5Y30Y  -2.686, 57.963 (L: 57.449 / H: 61.169)

Current futures levels:

* Jun 2-Yr futures (TU) down 3.125/32  at 106-17.875 (L: 106-16.5 / H:

106-20.125)

* Jun 5-Yr futures (FV) down 5.75/32  at 115-28 (L: 115-23.75 / H: 116-00.5)

* Jun 10-Yr futures (TY) down 7/32  at 124-9 (L: 124-02.5 / H: 124-14.5)

* Jun 30-Yr futures (US) down 7/32  at 149-26 (L: 149-09 / H: 150-01)

* Jun Ultra futures (WN) down 7/32  at 168-5 (L: 167-10 / H: 168-11)

US EURODLR FUTURES CLOSE: Lower across the strip, near lower to near middle

lower range. Current White pack (Jun'19-Mar'20):

* Jun 19 -0.020 at 97.450

* Sep 19 -0.025 at 97.540

* Dec 19 -0.045 at 97.575

* Mar 20 -0.070 at 97.690

* Red Pack (Jun 20-Mar 21) -0.075 to -0.06

* Green Pack (Jun 21-Mar 22) -0.055 to -0.04

* Blue Pack (Jun 22-Mar 23) -0.035 to -0.03

* Gold Pack (Jun 23-Mar 24) -0.03 to -0.025

MONTH-END EXTENSIONS: *** FINAL 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 0.03Y; Govt inflation-linked, 0.01Y

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

*US Tsys.................0.05........0.08........0.06

*Agencies................0.13........0.09........0.09

*Credit..................0.11........0.09........0.10

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

*MBS.....................0.035.......0.06........0.07

*Aggregate...............0.07........0.08........0.08

*Long Govt/Credit........0.09........0.09........0.07

*Interm Credit...........0.11........0.07........0.09

*Interm Govt.............0.07........0.08........0.07

*Interm Govt/Cred........0.08........0.08........0.08

*High Yield..............0.04........0.07........0.09

US DOLLAR LIBOR: Latest settles

* O/N -0.0107 to 2.3820% (-0.0070/wk)

* 1 Month -0.0070 to 2.4945% (-0.0043/wk)

* 3 Month +0.0080 to 2.5997% (-0.0101/wk)

* 6 Month +0.0184 to 2.6595% (-0.0165/wk)

* 1 Year +0.0164 to 2.7106% (-0.0764/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.43%, $898B

* Broad General Collateral Rate (BGCR): 2.42%, $401B

* Tri-Party General Collateral Rate (TGCR): 2.42%, $391B

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

01-Apr 0830 Feb retail sales (0.2%, 0.3%)

01-Apr 0830 Feb retail sales ex. motor vehicle (0.9%, 0.4%)

01-Apr 0830 Feb retail sales ex. mtr veh, gas (1.2%, 0.3%)

01-Apr 0945 Mar Markit Mfg Index (final) (52.5, 52.5)

01-Apr 1000 Feb construction spending (1.3%, -0.2%)

01-Apr 1000 Mar ISM Manufacturing Index (54.2, 54.5)

01-Apr 1000 Jan business inventories (0.6%, 0.4%)

01-Apr 1130 US TSY $45B 13W bill auction (912796RW1)

01-Apr 1130 US TSY $39B 26W bill auction (912796SL4)

PIPELINE: Not exactly high-grade, but Broadcom 5-parter may prove large

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

03/29 $Benchmark Broadcom 5-part: 2Y +95a, 3Y +110a, 5Y +160a, 7Y +210a, 10Y

+245a

04/?  Chatter of NY Life 50Y issuance during investor call

-

$3.1B priced Thursday, $9.1B total for week, well off last eight week pace

03/28 $2.7B Nextera Energy Cap WNG $1B 3Y +75, $900M 5Y +95, $300M 7Y +100,

$500M 10Y +115

03/28 $400M Renaissancere Holdings 10Y +138

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +50,000 long Green Sep 80 calls from 36.5-37.5

* +10,000 long Green Jun 80 calls from 32.0-33.0

* 35,000 short Mar 83 calls, 1.5 on screen

* +8,000 Green May 76/77 call spds vs. Blue May 75/76 call spds, 1.25 net cr for

the bull curve steepener

Additional trade from earlier includes

* -10,000 Mar 70 calls, 68.0

* +15,000 Apr 75 calls, 0.75

* total -37,500 Dec 75/77/80/83 call condors, 5.5

Block 1347:45ET, midmarket

* 10,000 Sep 78 calls, 2.25

* >-38,000 Mar 73 calls, 37.5-36.5 recently -- starting to sell same call in Red

Jun'20

On the flipside to massive Dec 71/72/73/75 put condor buying since last week

(>400k)

* -17,500 Dec 75/77/80/83 call condors sold at 5.5 (traders say same fund as the

put condor buyer, but probably not the same acct -- no way to tell)

* +12,500 Jun 73/75 2x3 call spds, 8.0

* 10,000 short Sep/Green Sep 78 put spds, 2.0 covered (97.86 and 97.88

respectively, both .50%)

* +5,500 short May 77 puts, 9.5, remains well offered

* -5,000 Green Apr 76/77 put spds, 2.0

* -5,000 Dec 75/77/80/83 call condors, 5.5 vs. 97.54-.55/0.10%

* another +10,000 Dec 71/72/73/75 put condors, 4.5

* +5,000 Aug 80 calls, 1.0 vs. 97.525/0.10%

* +5,000 Sep 72/73/75 put flys vs. -2,500 Dec 77 calls, 5.5 net

* more buying Dec 71/72/73/75 put condors on screen/in pit

* Dec 72/73/75 put trees, 3.5

* +2,000 Dec 70/71/72/73 put condors 2.5

* +5,000 Dec 71/73 2x1 put spds, 3.0

Blocks 0817:20ET, massive position build over

last week close to 400k from 3.5-5.0

* total 17,750 Dec 71/72/73/75 put condors, 4.5

Blocks 0804:57-0807:54ET, also trades >10k on

screen w/Dec 71/72/73/75 put condors (heavy buying)

* total 9,000 Dec 71/72/73 put flys, 2.0

Block 0801:54ET,

* +10,000 Dec 73/75 2x1 put spds, 0.5

Tsy options, Pit/screen:

* +10,000 TYK 123 puts, 8- to 9/64 vs. 124-03

* +5,000 FVK 115.5 puts, 12.5 vs. 115-25.5/0.35%

* 3,000 TUK 106.3/106.6/106.8 call trees, 4.5 earlier

* -7,500 TUK 106.25 puts, 2/64

* >-3,000 TYK 123/125 strangles, 22/64

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

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