US TSYS: CURVES BEAR STEEPEN, CLAIMS <200K FIRST TIME IN 50YRS

US TSY SUMMARY: Rates have see-sawed steadily lower since the open, at/near lows

after the bell, curves bear steepening amid modest futures volume, TYM just over

1M. Equities near lows after large sell program near midday (SPX -5.5 at

2889.0); US$ index near highs (DXY +.220, 97.166).

- Firmer PPI and claims below 200k for the first time in 50 years helped kick

off rate sales, no love for equities after couple early sell recommendations, RX

and insurance stocks weighed as did rebound in US$. Over 1,100 name sell program

saw SPX futures gap lower/make new session lows ahead noon. 

- Long end came under renewed pressure after 30Y bond auction (912810SF6)

tailed, awarded 2.930% rate (3.014% previous) vs. 2.920% WI. Scant deal-tied

flow on day, early swap-tied selling 2s, buying 10s, two-way curve flow.

- On tap for Friday: Import/export price index levels for March; April Michigan

sentiment index; GDP Nowcasts from the NY and St Louis Fed.

- The 2-Yr yield is up 3.3bps at 2.354%, 5-Yr is up 4.4bps at 2.3158%, 10-Yr is

up 3.9bps at 2.5042%, and 30-Yr is up 4.5bps at 2.9375%.

US TSY FUTURES CLOSE: Near second half lows after the bell, curves steeper

w/3M10Y more than making up for Wed's flattening, equities weaker but bouncing

off lows (SPX -5.0, 2889.5). Curve update:

* 3M10Y  +3.25, 8.00 (L: 4.259 / H: 9.05)

* 2Y10Y  +0.67, 14.835 (L: 13.558 / H: 15.372)

* 2Y30Y  +1.284, 58.191 (L: 55.615 / H: 58.444)

* 5Y30Y  +0.319, 62.184 (L: 60.322 / H: 62.532)

Current futures levels:

* Jun Ultra futures (WN) down 29/32  at 164-17 (L: 164-14 / H: 165-23)

* Jun 30-Yr futures (US) down 16/32  at 147-23 (L: 147-21 / H: 148-13)

* Jun 10-Yr futures (TY) down 7.5/32  at 123-18 (L: 123-16.5 / H: 123-27.5)

* Jun 5-Yr futures (FV) down 5.5/32  at 115-14.75 (L: 115-14.25 / H: 115-21.5)

* Jun 2-Yr futures (TU) down 2/32  at 106-11.625 (L: 106-11.5 / H: 106-14)

US EURODLR FUTURES CLOSE: Modestly lower after the bell, short end

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

* Jun 19 -0.010 at 97.435

* Sep 19 -0.015 at 97.480

* Dec 19 -0.025 at 97.495

* Mar 20 -0.035 at 97.605

* Red Pack (Jun 20-Mar 21) -0.04 to -0.035

* Green Pack (Jun 21-Mar 22) -0.04 to -0.035

* Blue Pack (Jun 22-Mar 23) -0.04 to -0.035

* Gold Pack (Jun 23-Mar 24) -0.035 to -0.035

US DOLLAR LIBOR: Latest settles

* O/N +0.0000 at 2.3885% (-0.0052/wk)

* 1 Month -0.0094 to 2.4726% (+0.0010/wk)

* 3 Month -0.0068 to 2.5967% (+0.0046/wk)

* 6 Month +0.0042 to 2.6312% (-0.0134/wk)

* 1 Year -0.0060 at 2.7341% (-0.0170/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.45%, $945B

* Broad General Collateral Rate (BGCR): 2.42%, $459B

* Tri-Party General Collateral Rate (TGCR): 2.42%, $438B

US SWAPS: Spds still running steady/mixed, narrow range w/long end off midday

wides by the bell. Light/mixed second half flow includes payers in 2s at

2.4475%, receivers in 4s and 5s; 3s4s5s and 3s5s10s receiver flys, 2s3s10,

4s5s6s and 5s7s10s payer flys. Earlier, front end inched off marginally tighter

levels amid rate payers in 2s around 2.4325%, receivers in 10s at 2.4575%.

Latest spd levels:

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

Thu 3:00    -0.12/9.25    +0.00/3.12     +0.50/-1.50   +0.50/-24.75

12:00       +0.12/9.50    +0.00/3.12     +0.50/-1.50   +0.75/-24.50

10:45       -0.06/9.31    +0.00/3.12     +0.25/-1.75   +0.50/-24.75

9:15        -0.06/9.31    +0.00/3.12     +0.25/-1.75   +0.50/-24.75

Thu Open    -0.25/9.12    -0.12/3.00     +0.12/-1.88   +0.38/-24.88

Wed 3:00    +1.00/9.62    -0.25/3.25     -0.19/-1.69   -0.62/-24.88

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

12-Apr 0830 Mar imports price index (0.6%, 0.4%)

12-Apr 0830 Mar exports price index (0.6%, --)

12-Apr 1000 Apr Michigan sentiment index (p) (98.4, 98.3)

12-Apr 1100 Q2 St. Louis Fed Real GDP Nowcast (2.07%, --)

12-Apr 1115 Q2 NY Fed GDP Nowcast (1.40%, --)

12-Apr 1230 NY Fed VP Stiroh, Cyber Risk to Fncl Stability conf NY

PIPELINE: Quiet second half of week for issuance; $25.65B priced on wk

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

04/11 $750M DBS Grp (DBSH) 3Y +58a

-

$1.5B priced Wednesday

04/10 $1B *Panama 7Y +140

04/10 $500M *Public Storage 10Y +92

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +20,000 Jun 75 calls, 1.25 vs. 97.435/0.25%

* -3,000 short May 76/77 strangles, 7.5

* +10,000 Jun 75 calls, 1.25 vs. 97.435/0.25%

* Update, total -70,000 Jun 75/76 call spds, 0.75

* -7,000 short Apr 77 puts, 6.5 vs. 97.685

* 2,500 Dec 73/75/76 2x3x1 put flys, 5.0 net/belly over

* -5,000 Jun 72/73/75 call flys, 6.5 earlier

* Update, total +10,000 Jun 73 puts, 0.5

Block, 0951:30ET, another 17,386 pit/screen 

* -15,000 Mar 75/77 call spds, 8.5 w/

* -15,000 Red Jun'20 75/77 call spds, 11.0, 19.5 total cr (-9k at 20.0 Monday)

Block, 0942:08ET 

* +10,000 Green Dec 68 puts, 1.0 vs. 97.77/0.05%, small buy in pit

* +10,000 Dec 71/72 put spds, 1.5 vs. 97.475/0.10%

* -5,000 short Jun 76 puts, 5.0

* +5,000 short Apr 77 calls, 0.5

* 4,000 Green Apr 77/78 put spds, 4.0

* -10,000 Green May 76/77/78 put flys, 4.0 vs. 97.84/0.10%

* -2,500 Green Mar 75 puts, 10.0 vs. 97.80/0.10%

* -4,000 short Sep 77 straddles, 31.0-30.5

* +11,500 Green May 81 calls, 1.5 on screen

* -5,000 Jul 75/76 strangles, 7.0 on screen

* +4.5k 2EM9 (Jun) 97.875/97.75 1x2 put spread for 1 - and bid -mkt src

block:

* 0EU9 /2EU9 (Sep) 97.875 put calendar for 4, 7.5k all day (+0E / -2E)

Tsy options, Pit/screen - quiet day

* -10,000 USM 147 puts, 47/64

* +5,000 TYK 125 calls, 2/64

* +3,500 TYM 123/124 call over risk reversals, 9/64

* TYK 125.5 calls trade cab-14

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

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