US TSYS: MODEST FI REBOUND, SHORT BREXIT EXTENSION NEEDED

US TSY SUMMARY: Rates trading firmer, modest rebound from Mon's strong risk-on

sell-off. Relative sedate pre-open w/ yld curves mildly steeper for most part

3M10Y scaling back Mon's sharp rebound off 12 year lows, currently -7.248 at

4.515 (+10.249, 11.128 late Mon).

- Moderate futures volume (TYM>1.2M); US$ index mildly higher after second half

decline on UK Brexit headlines (DXY +.127, 97.359); equities mildly higher (SPX

+1.5, 2872.0).

- Two-way flow, position squaring/profit taking after Mon's move, deal-tied flow

in 5s-10s, prop and option-tied selling intermediates earlier, real$ buying long

end.

- On tap for Wednesday: March ADP private payrolls; March Markit Services Index;

March ISM Non-manufacturing Index; April help-wanted online ratio.

- The 2-Yr yield is down 3bps at 2.3024%, 5-Yr is down 3.7bps at 2.2848%, 10-Yr

is down 2.7bps at 2.4741%, and 30-Yr is down 1bps at 2.88%. 

US TSY FUTURES CLOSE: Mildly higher across the board, see-sawing around mostly

positive levels to middle of range after the bell. Yld curves mostly steeper w/

3M10Y unwinding appr half Mon's move. Update

* 3M10Y  -6.2, 5.563 (L: 4.238 / H: 9.233)

* 2Y10Y  +0.319, 16.947 (L: 16.055 / H: 18.218)

* 2Y30Y  +2.045, 57.589 (L: 55.751 / H: 58.779)

* 5Y30Y  +2.732, 59.418 (L: 57.239 / H: 60.191)

Current futures levels:

* Jun Ultra futures (WN) up 6/32  at 166-3 (L: 165-23 / H: 166-22)

* Jun 30-Yr futures (US) up 5/32  at 148-12 (L: 148-03 / H: 148-23)

* Jun 10-Yr futures (TY) up 5.5/32  at 123-25 (L: 123-19.5 / H: 123-27.5)

* Jun 5-Yr futures (FV) up 3.75/32  at 115-20.25 (L: 115-15.5 / H: 115-21.5)

* Jun 2-Yr futures (TU) up 1.25/32  at 106-15.375 (L: 106-13.875 / H:

106-16.125)

US EURODLR FUTURES CLOSE: Barring steady lead quarterly, futures are mildly bid

across the strip after the bell, rather quiet session ahead midweek data.

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

* Jun 19 +0.000 at 97.440

* Sep 19 +0.010 at 97.515

* Dec 19 +0.020 at 97.545

* Mar 20 +0.025 at 97.650

* Red Pack (Jun 20-Mar 21) +0.025 to +0.030

* Green Pack (Jun 21-Mar 22) +0.030 to +0.035

* Blue Pack (Jun 22-Mar 23) +0.030 to +0.030

* Gold Pack (Jun 23-Mar 24) +0.020 to +0.025

US DOLLAR LIBOR: Latest settles

* O/N -0.0079 to 2.3802% (-0.0018/wk)

* 1 Month -0.0141 to 2.4793% (-0.0152/wk)

* 3 Month +0.0068 to 2.6023% (+0.0026/wk)

* 6 Month -0.0185 to 2.6506% (-0.0089/wk)

* 1 Year +0.0032 to 2.7332% (+0.0226/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.46%, $978B

* Broad General Collateral Rate (BGCR): 2.41%, $440B

* Tri-Party General Collateral Rate (TGCR): 2.41%, $401B

US SWAPS: Spds running mostly tighter after the bell, spd curve flatter, long

end on narrows amid incoming swappable supply, two-way flow w/ better receivers

in 10s. Latest spd levels:

Tue 3:00    +0.38/12.00   -0.31/4.75     -1.12/-1.06   -1.25/-24.50

1:30        +0.44/12.06   -0.38/4.69     -1.12/-1.06   -1.19/-24.44

10:45       +0.31/11.94   -0.19/4.88     -0.69/-0.62   -0.75/-24.00

Tue Open    +0.00/11.62   -0.06/5.00     -0.44/-0.38   -0.50/-23.75

Mon 3:00    -0.25/11.62   -0.06/5.00     -0.31/-0.06   +0.12/-23.25

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

03-Apr 0700 29-Mar MBA Mortgage Applications (8.9%, --)

03-Apr 0815 Mar ADP private payrolls (183k, --)

03-Apr 0830 Atl Fed Pres Bostic, American Banker Assn Washington Summit, D.C.

03-Apr 0945 Mar Markit Services Index (final) (54.8, --)

03-Apr 1000 Mar ISM Non-manufacturing Index (59.7, 58.0)

03-Apr 1000 Apr help-wanted online ratio

03-Apr 1030 29-Mar crude oil stocks ex. SPR w/w (2.80m bbl, --)

03-Apr 1700 Mn Fed Pres Kashkari, town hall ND StU, Fargo, ND, audience Q&A.

PIPELINE: ING Groep 5Y/10Y, AIA 10Y lauched; BOC Aviation 5.5Y priced

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

04/02 $2B #ING Groep $1B 5Y +130, $1B 10Y +158

04/02 $1B #AIA Group 10Y +118

04/02 $1B *Province of Quebec 5Y +23

04/02 $750M *BOC Aviation 5.5Y +135 

04/02 $2.12B Staples 7NC3, 8NC3

04/02 $Benchmark Tencent Holdings Ltd ($5B USD chatter)

-

Chatter potential issuers:

04/?  Lowe's Cos

04/?  Saudi Aramco

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +10,000 Dec 71/72 put spds, 1.0 vs. 97.56/0.10%

* +13,000 Mar 67 puts, 0.5 vs. 97.64/0.05%

* -10,000 Dec 78/80 call strips, 9.5vs. 97.535/0.45%

* +5,000 Green Dec 77 puts, 19.0 vs. 97.80/0.46%

Additional trade from earlier includes

* +10,000 Blue Sep 75 puts, 6.0  vs. 97.725/0.27%

* +5,000 Green Dec 70 puts, 1.0

* +5,000 Sep 77 calls, 3.0

* +5,000 short Dec/Blue Dec 78/82 call spd spd, 2.0 net debit for modest bull

curve steepener

* over 15,000 Jun 75 calls, 2.0 vs. 97.445/0.30%

* 5,000 Mar 80/83/85 2x1x1 call trees, 11.5 vs. 97.65/0.31%

* 10,000 Jun 75 calls, 1.5 vs. 97.44/0.30

* +5,000 Green Sep/Green Dec 70 put spds earlier, paper paid 1.0 to buy Green

Dec

Close to earlier Block post, adds Jul 76 call leg, Dec call spd x2

* -10,000 Jun 75 calls, 2.0 vs. 97.445/0.30%

* -10,000 Jul 75 calls, 7.5 vs. 97.525/0.55%

* -10,000 Jul 76 calls, 3.0 vs. 97.525/0.30

* +20,000 Dec 80/83 call spds, 3.0 vs. 97.55/0.10%

* +20,000 Aug 78 calls, 1.5

* 6,000 Dec 80/83 call spds, 3.0

* -4,000 Dec 73/77 strangles, 12.5

* -5,000 Jun 73/75 1x2 call spds, 3.0 adds to another 9k on screen

Blocks 0711:22ET

* -5,000 Jun 75 calls, 2.0 vs. 97.445/0.30%

* -5,000 Jul 75 calls, 7.0 vs. 97.525/0.55%

* +5,000 Dec 80/83 call spds, 2.5 vs. 97.55/0.10%

Tsy options, Pit/screen:

* over -8,000 FVK 116 calls 11 vs. 115-20.2

* over +8,000 TYK 124.25 calls 19/64 vs. 123-26.5

* -10,000 TYK 123 puts, 9/64 vs. 123-26.5, over 25k on screen from 12- to 9/64

Blocks 0740ET

* 8,000 TYK 124.7/125.7/126.7 call flys, 5/64 net

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

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