US TSYS: FRONT END REVERSES MID-WEEK GAINS

US TSY SUMMARY: Choppy day for Tsys, long end outperforming, longer curves

scaling back steeper levels while 3M10Y rebound from 12 year inverted lows. US$

index firmer (DXY +.160, 96.896); equities grinding off midday lows (SPX -9.0,

2814.0).

- Midmorning, heavy bout of selling: >90k TYM from 124-15 to 124-10.5; >60k FVM

FVM 116-01.5 to 115-30.25; >31k TUM 106-20.5 to 106-19. curves bear flattened in

the process as it appeared tight like stops triggered on way down as Tsys

followed further selling in Bunds

- On tap for Friday: February personal income; Mar MNI Chicago PMI; Feb new home

sales; Mar Michigan sentiment index. 

- Tsy cash/ylds: 2-Yr yield is up 2.4bps at 2.2239%, 5-Yr is up 4.3bps at

2.1995%, 10-Yr is up 1.4bps at 2.3805%, and 30-Yr is down 0.8bps at 2.8029%.

US TSY FUTURES CLOSE: Mostly weaker (WNM outperforming), futures drift in lower

half of range/off morning lows amid decent overall volume (TYM>1.5M). Curves

mostly flatter -- 3M10Y bouncing from 12 year lows, 5Y30Y near lows late.

Update:

* 3M10Y  +3.165, -3.465 (L: -11.318 / H: -2.775)

* 2Y10Y  -0.161, 16.091 (L: 14.681 / H: 17.147)

* 2Y30Y  -2.419, 58.235 (L: 56.948 / H: 61.998)

* 5Y30Y  -4.609, 60.644 (L: 60.446 / H: 66.262)

Current futures levels:

* Jun Ultra futures (WN) up 5/32  at 168-7 (L: 167-25 / H: 168-30)

* Jun 30-Yr futures (US) down 4/32  at 149-30 (L: 149-23 / H: 150-21)

* Jun 10-Yr futures (TY) down 8/32  at 124-14 (L: 124-10.5 / H: 124-30.5)

* Jun 5-Yr futures (FV) down 5.75/32  at 116-0.75 (L: 115-30.25 / H: 116-11.5)

* Jun 2-Yr futures (TU) down 1.75/32  at 106-20.625 (L: 106-19 / H: 106-24.25)

US EURODLR FUTURES CLOSE: Lower across the strip, Reds underperforming -- more

than making up for Wed's rally. Current White pack (Jun'19-Mar'20):

* Jun 19 -0.005 at 97.470

* Sep 19 -0.020 at 97.560

* Dec 19 -0.030 at 97.610

* Mar 20 -0.040 at 97.750

* Red Pack (Jun 20-Mar 21) -0.06 to -0.04

* Green Pack (Jun 21-Mar 22) -0.05 to -0.045

* Blue Pack (Jun 22-Mar 23) -0.045 to -0.03

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

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 0.03Y; 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.....................0.04........0.07........0.07

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

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

*Interm Credit...........0.11........0.08........0.09

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

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

*High Yield..............0.06........0.08........0.09

US DOLLAR LIBOR: Latest settles

* O/N +0.0006 to 2.3927% (+0.0037/wk)

* 1 Month +0.0029 to 2.5015% (+0.0027/wk)

* 3 Month -0.0093 to 2.5917% (-0.0181/wk)

* 6 Month -0.0096 to 2.6411% (-0.0349/wk)

* 1 Year +0.0114 to 2.6942% (-0.0928/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.40%, $879B

* Broad General Collateral Rate (BGCR): 2.38%, $405B

* Tri-Party General Collateral Rate (TGCR): 2.38%, $388B

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

29-Mar 0830 Feb personal income (-0.1%, 0.3%)

29-Mar 0830 Jan current dollar PCE (-0.5%, 0.3)

29-Mar 0830 Jan total PCE price index (0.1%, --)

29-Mar 0830 Jan core PCE price index (0.2%, 0.2%)

29-Mar 0900 Mar ISM-Milwaukee Mfg Index (55.09, --)

29-Mar 0925 NY Fed Pres Williams, workforce development, St. Thomas, USVI.

29-Mar 0945 Mar MNI Chicago PMI (64.7, 61.0)

29-Mar 1000 Mar Michigan sentiment index (f) (97.8 est)

29-Mar 1000 Feb new home sales (607k, 616k)

29-Mar 1030 Dal Fed Pres Kaplan, moderated Q&A, Global Asset Mngnt Edu', NY

29-Mar 1100 Q1 St. Louis Fed Real GDP Nowcast (2.19%, --)

29-Mar 1115 Q1 NY Fed GDP Nowcast (1.29%, --)

29-Mar 1200 16/17 grain stocks

29-Mar 1205 Fed Brd/Govs' VC Quarles, "Macroprudential Policy", NY, audience Q&A

29-Mar 1245 Fed Brd/Govs' VC Quarles, keynote address/Shadow Open Mkt Committee

PIPELINE:  Muted corp issuance continues

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

03/28 $2.7B Nextera Energy Cap WNG 3Y, 5Y, 7Y, 10Y

03/28 $300M Renaissancere Holdings 10Y +160a

-

$1B priced Wednesday

03/27 $1B *Klabin Austria $500M 10Y 5.85%a, $500M 30Y 7.37%

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* Update, appr +50,000 Dec 71/72/73/75 put condors bought on day from 4.0 - 4.5

-- adding to massive limited downside insurance position (>350k) -- either

fading the rate rally that bumped rate cut probability to 100% in December, or

just a hedge vs. larger upside plays already on the books?

* +50,000 Dec 71/72/73/75 put condors, 4.0-4.5 -- adding to massive limited

downside insurance psn (>350k)

* Update, over +25,000 Dec 71/72/73 put flys, 1.5

* +55,000 Dec 73/75/76 put flys, 1.5

* >+20,000 (pit/screen) Dec 72/73/75 put flys, 3.0

Block 1144:49ET, adds to pit trade at 16.0

* +10,000 Dec 76 puts, 16.5, no cover

* +10,000 Dec 76 puts, 16.0 vs. 97.625/0.50%

* -5,000 Dec 76 straddles, 31.5

* +10,000 short Aug 72/75 put spds, 2.5-2.25

Synthetic Red/Blue curve steepener

* >30,000 (pit/screen) short Jul 86/88 call spds vs. Blue Jul 81/83 call spds,

1.5 net cr/conditional curve steepener

* +20,000 Jul 73/75 2x1 put spds, 2.75

* +15,000 Sep 77/78 call spds .75 over Sep 73 puts

* -3,000 Mar 77 straddles, 40.5

* +25,000 Jul 72/73 put spds, 0.75

* +25,000 Jul/Sep 73 put spds, 0.5

* +5,000 Apr 75 calls, 2.5

* -3,000 short Sep 77/80 strangles, 27.0

* +20,000 Dec 72/73 2x1 put spds, 0.5

* -10,000 May 75/76 call spds 1.0 over Jun 76/77 call spds

* 18,500 (pit/screen) Jul 73/75 2x1 put spds, 2.75

Blocks:

* total 15,000 Sep 77 calls, 6.0 vs. 97.585/0.29%, 0750:06-0756:24ET

Package at 0753:09ET adds to 0743:17 Block

* 5,000 Aug 75 calls, 15.0

* 6,250 Aug 77 calls, 5.0

* 5,000 short Jul 76 puts, 4.5

Blocks:

* 10,000 Green Apr 77/78 put spds, 2.5, 0746:51ET

Package at 0743:17ET

* 10,000 Jul 75 calls, 13.5

* 12,500 Jul 77 calls, 3.5

* 10,000 Aug 75 calls, 15.0

* 12,500 Aug 77 calls, 5.0

* 20,000 short Jul 76 puts, 4.5

Tsy options, Pit/screen:

* +9,000 TYK 122.75/123.75 put spds, 11/64 vs. 124-18.5

low delivered spurring decent straddle sales

* -10,000 Dec 76 straddles, 31.5

Block 0912:55ET,

* +10,000 FVM 115/115.75put spds, 11

* 1,300 TYM 121/123.5/124.5 broken put trees, 23/64 vs. 124-18

* 1,000 FVK 116.25 straddles, 48/64

* total over -7,500 TYM 123.5/125 strangles, 59- to 60/64

* +/-12,000 TYM 127 calls, 12/64 on screen

* over -5,000 TYM 123.5/125 strangles, 60/64

* -2,500 TYM 124.5 straddles 1-36 to 1-35/64

* 5,000 FVM 115/115.5 2x1 put spds on screen ahead the open at .5

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

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