US TSYS: FED ENTERES BLACKOUT, QUIET RANGE TRADE AHEAD FRI GDP

US TSY SUMMARY: Tsys ylds near highs (10YY 2.587%)/futures at/near lows on very

light volume (TYM<535k) w/London out for Easter Monday. Yld curves extend

steepening late. 

- Equities mildly weaker (SPX -1.0, 2909.0); USD index softer (DXY -.090,

97.288); West Texas crude climbs to late Oct'18 levels (+1.75 at 65.75/65.92H)

after US annc Sunday they would end Iran oil sanction waivers on 5 nations.

Desks note decent correlation between 10Y TIPS B/E and WTI over last several

months.

- Very quiet start to week, no lead from London out for Easter holiday, limited

data wk finishes w/ Q1 GDP adv Fri, Fed in blackout; Japan starts Golden week

holiday on April 27.

- Rather decent buying Eurodollar Whites, fast$ flattener unwinds short end.

- On tap for Tuesday: April Philadelphia Fed Nonmfg and Richmond Fed Mfg Index;

Redbook retail sales m/m; several housing price, sale and building data.

- The 2-Yr yield is up 0.6bps at 2.3866%, 5-Yr is up 1.4bps at 2.3846%, 10-Yr is

up 2.9bps at 2.5885%, and 30-Yr is up 3.2bps at 2.9927%.

US TSY FUTURES CLOSE: At/near session lows by the bell amid exceptionally light

volume (TYM<530k) w/much of Europe out for Easter Monday; yld curves steeper.

Curve update:

* 3M10Y  +1.367, 15.653 (L: 12.643 / H: 15.909)

* 2Y10Y  +2.249, 19.984 (L: 17.996 / H: 19.984)

* 2Y30Y  +2.606, 60.483 (L: 58.42 / H: 60.642)

* 5Y30Y  +1.706, 60.549 (L: 59.123 / H: 60.773)

Current futures levels:

* Jun Ultra futures (WN) down 32/32  at 162-25 (L: 162-23 / H: 163-24)

* Jun 30-Yr futures (US) down 21/32  at 146-6 (L: 146-05 / H: 146-27)

* Jun 10-Yr futures (TY) down 6.5/32  at 122-30 (L: 122-29.5 / H: 123-05.5)

* Jun 5-Yr futures (FV) down 2.75/32  at 115-4 (L: 115-03.5 / H: 115-07.5)

* Jun 2-Yr futures (TU) down 0.125/32  at 106-9.125 (L: 106-08.75 / H:

106-09.875)

US EURODLR FUTURES CLOSE: Steady/mixed, short end outperforming all day on

decent volume (TYM > 295k) for quiet week opener. Current White pack

(Jun'19-Mar'20):

* Jun 19 +0.015 at 97.430

* Sep 19 +0.030 at 97.485

* Dec 19 +0.020 at 97.480

* Mar 20 +0.010 at 97.575

* Red Pack (Jun 20-Mar 21) -0.01 to +0.005

* Green Pack (Jun 21-Mar 22) -0.015 to -0.01

* Blue Pack (Jun 22-Mar 23) -0.025 to -0.02

* Gold Pack (Jun 23-Mar 24) -0.035 to -0.025

US DOLLAR LIBOR: Latest settles

No settles with London out for Easter Monday; resume Tuesday

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

* Secured Overnight Financing Rate (SOFR): 2.50%, $979B

* Broad General Collateral Rate (BGCR): 2.46%, $446B

* Tri-Party General Collateral Rate (TGCR): 2.46%, $427B

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

23-Apr 0830 Apr Philadelphia Fed Nonmfg Index (21.7, --)

23-Apr 0855 20-Apr Redbook retail sales m/m (0.7%, --)

23-Apr 0900 Feb FHFA Home Price Index (0.6%, --)

23-Apr 0900 Mar bldg permits revision

23-Apr 1000 Mar new home sales (667k, 648k)

23-Apr 1000 Apr Richmond Fed Mfg Index (10, --)

23-Apr 1130 US TSY $26B 52W bill auction (912796QR3)

23-Apr 1300 U.S. TSY $40B 2Y note auction (9128286P0)

US SWAPS: Spds running tighter all session, on lows late; narrowing largely tied

to 2.44% Fed effective and persistently elevated overnight repo. Otherwise flow

rather light on day, two-way but w/better rate receiving in front end. Latest

levels:

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

Mon 3:00    -1.44/8.19    -0.62/2.88     -0.81/-1.81   -0.75/-23.50

1:30        -1.19/8.44    -0.44/3.06     -0.50/-1.50   -0.62/-23.38

11:45       -0.81/8.81    -0.19/3.31     -0.50/-1.50   -0.62/-23.38

10:30       -0.38/9.25    -0.12/3.38     -0.38/-1.38   -0.38/-23.12

9:30        -0.19/9.44    +0.12/3.62     -0.19/-1.19   -0.19/-22.94

Mon Open    -0.12/9.50    +0.06/3.56     -0.12/-1.12   -0.06/-22.81

Mon 7:15    -0.25/9.38    +0.00/3.50     -0.31/-1.31   +0.00/-22.75

PIPELINE: Dearth of high/investment-grade issuance Mon; $15-20B estimate for

week

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

04/? $Benchmark Tokyo Metropolitan Gov 3-7Y US$ or Euro issue chatter

04/? $Benchmark Waste Management

-

No new issuance Thursday, mkts closed Friday; $26.35B/wk

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: better call spd buying in Jun'19-Mar'20 expiries

* +6,000 Dec 77/80 1x2 call spds, 0.0

* +5,000 Red Jun 80/85 call spds, 7.5

* +10,000 Jul 73/75/76 1x1x2 call trees, 2.0 net

* Update, total +35,000 Jul/Sep 76/78 call spd strip, 4.0 vs. 97.455/0.14% and

97.455/0.18%

* 25,000 Jul 75 calls, 4.25 vs. 97.47/0.40%

* Update, total +35,000 Jul/Sep 76/78 call spd strip, 4.0 vs. 97.455/0.14% and

97.455/0.18%

* +4,000 Dec 75/77 call spds w/ Mar 76/78 call spds, 12.0

* 4,000 Green Dec 81 calls, 2.5 over the Dec 76/80 call spds

* 2,000 Dec 75/78/81 1x3x2 call flys, 3.5 net

* total +15,000 Jul 76/78 call spds, 1.25 vs. 97.465/0.15%

* 3,000 Mar 76/78/81 call flys 0.5 over Sep 73 puts

* Update, total +30,000 Jun 75 calls vs. 97.425-.42/0.20% w/ 76/77 1x2 call

spds, 1.25 net vs. 97.425/0.20%

* +15,000 Jul 75 calls, 3.5 vs. 97.46/0.40%, adds to appr 30k bought/blocked

last Thu, 3.25-3.5

* +10,000 Jul 76/78 call spds, 1.25 vs. 97.465/0.15%

* total 25,000 short Dec 77/80 call spds 1.0 over the short Dec 73 puts

* 20,000 short Dec 77/80 call spds 2.0 over the short Dec 73 puts

* +10,000 Green Dec 70 puts, 1.5 vs. 97.725

Tsy options, Pit/Screen:

* 2,000 FVK 114.5/114.75/115 put flys, 2.5/64

* 4,000 FVK/FVM 115 put spds, 11/64 vs. 1,000 USK/USM 146 put spds 38- tp 36/64

* 1,365 TYM 122 puts, 10/64 vs. 2,000 TYM 122.5 puts, 19/64

* 3,500 TYK 123 straddles, 26/64 on screen

* +2,500 wk1 TY 123.25/123.75 1x2 call spds, 3/64 vs. 122-30.5 earlier

* 5,000 TYK 123.5 straddles on screen

Reminder, May serial ops expire Friday. Large amount of TYM and FVM coming off

the sheets, potential pin risk: TYK 123 strike w/241,069 options (130,604c,

110,465p). Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) auto-exercised.

According to CME Group data:

*             Calls     Puts      Total   Nearest-the-Money Strike Totals

* May 30yr   187,802  253,729    441,531  146.00 w/ 21,710 (7,240c, 14,470P)

*                                         146.50 w/ 12,159 (5,534c, 6,625P)

*                                         147.00 w/ 22,923 (8,094c, 14,829P)

* May 10yr 1,316,412  812,985  2,129,397  122.75 w/ 33,815 (5,585c, 28,230p)

*                                         123.00 w/ 241,069 (130,604c, 110,465p)

*                                         123.25 w/ 60,274 (22,627c, 37,647P)

* May 5yr    416,859  694,708  1,111,567  115.00 w/ 90,438 (29,219c, 61,219p)

*                                         115.25 w/ 62,526 (27,148c, 35,378p)

*                                         115.50 w/ 64,980 (40,399c, 24,581p)

* May 2yr     47,493   58,117    105,610  106.25 w/ 19,800 (2,849c, 16,951p)

*                                         106.38 w/ 12,781 (8,859c, 3,922p)

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

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