US TSYS: QIET LEAD-UP TO WED'S CPI, MARCH FOMC MINUTES

US TSY SUMMARY: Trades higher after the bell, quiet for much of the session

after Tsys extend late overnight lows heading into the NY open. Initial gap

lower tracked Bunds after 5-yr N/Ireland backstop limit headline--rebound soon

after as Germany denied. Rates reversed losses (Block buys in FVM and TYM

early), made new session highs after the bell amid new quarter/asset allocation

chatter out of equities into Tsys. Equities near lows (SPX -18.0, 2880.25); US$

index off lows (DXY -.062, 96.988). 

- Session flow includes bank and real$ buying 10s and 30s early, decent

deal-tied selling on inaugural $12B Saudi Aramco 5-part issuance (3Y-30Y span).

Decent two-way option flow, some put spread unwinds in Dec Eurodlr options

- Latest $38B 3Y note auction (9128286M7) awarded 2.301% (2.448% previous) vs.

3.300% WI going into auction, bid/cover 2.49 vs. 2.56 previous (3.07 avg).

- On tap for Wednesday: CPI; Atlanta Fed inflation; Mar Kansas City Fed LMCI;

Mar Treasury budget balance; March FOMC minutes.

- The 2-Yr yield is down 1.6bps at 2.3456%, 5-Yr is down 2.3bps at 2.3038%,

10-Yr is down 2.2bps at 2.5006%, and 30-Yr is down 1.3bps at 2.9141%.

US TSY FUTURES CLOSE: Moderately higher across the board, curves mixed on a

quiet session ahead better midweek data (CPI) and March FOMC minutes release

Wednesday. Curve update:

* 3M10Y  -1.718, 8.565 (L: 6.444 / H: 10.636)

* 2Y10Y  -0.532, 15.3 (L: 14.764 / H: 16.453)

* 2Y30Y  +0.371, 56.643 (L: 55.554 / H: 57.339)

* 5Y30Y  +0.849, 60.69 (L: 59.05 / H: 60.78)

Current futures levels:

* Jun Ultra futures (WN) up 10/32  at 165-4 (L: 164-19 / H: 165-23)

* Jun 30-Yr futures (US) up 9/32  at 147-29 (L: 147-16 / H: 148-09)

* Jun 10-Yr futures (TY) up 4.5/32  at 123-19 (L: 123-13 / H: 123-24)

* Jun 5-Yr futures (FV) up 2.5/32  at 115-16 (L: 115-12.25 / H: 115-19)

* Jun 2-Yr futures (TU) up 0.75/32  at 106-12.5 (L: 106-11.25 / H: 106-13.625)

US EURODLR FUTURES CLOSE: Mildly higher after the bell, short end lagging.

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

* Jun 19 +0.005 at 97.445

* Sep 19 +0.010 at 97.490

* Dec 19 +0.015 at 97.510

* Mar 20 +0.020 at 97.620

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

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

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

* Gold Pack (Jun 23-Mar 24) +0.025 to +0.030

US DOLLAR LIBOR: Latest settles

* O/N at 2.3930% (-0.0007/wk)

* 1 Month +0.0027 to 2.4840% (+0.0124/wk)

* 3 Month -0.0028 to 2.5812% (-0.0109/wk)

* 6 Month -0.0031 to 2.6285% (-0.0161/wk)

* 1 Year 2.7541% (+0.0030/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.46%, $949B

* Broad General Collateral Rate (BGCR): 2.43%, $455B

* Tri-Party General Collateral Rate (TGCR): 2.43%, $431B

US SWAPS: Spds mildly tighter across the curve--off early wides, snapped tighter

after size of Saudi Aramco 5-part deal announced ($12B). In-line flow , rather

decent receiving in 2s, 3s and 5s after payers in 2s and 10s, 2s5s10s receiver

fly. Latest spd levels:

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

12:45       -0.31/9.25    -0.47/3.50     -0.25/-1.75   -0.19/-24.38

9:30        +0.88/10.44   +0.25/4.22     +0.38/-1.12   +0.19/-24.00

Tue Open    +0.19/9.25    +0.00/3.97     +0.06/-1.44   +0.06/-24.12

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

10-Apr 0700 05-Apr MBA Mortgage Applications

10-Apr 0830 Mar CPI (0.2%, 0.4%)

10-Apr 0830 Mar CPI Ex Food and Energy (0.1%, 0.2%)

10-Apr 1000 Apr Atlanta Fed inflation

10-Apr 1030 05-Apr crude oil stocks ex. SPR w/w

10-Apr 1100 Mar Kansas City Fed LMCI

10-Apr 1150 US Fed VC Clarida, FSB Roundtable, major interest rate benchmark

reform, DC

10-Apr 1300 US TSY $24B 10Y note auction (9128286B1)

10-Apr 1400 March FOMC minutes release

10-Apr 1400 Mar Treasury budget balance (-$179.0B est)

PIPELINE: $2B Toyota Motor Cr 2-part launched

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

04/09 $2B #Toyota Motor Cr $1.25B 1.5Y FRN L+15, $750M 3Y +38

04/09 $12B Saudi Aramco $1B 3Y +55, $2B 5Y +75, $3B 10Y +105, $3B 20Y +140, $3B

30Y +155

04/09 $3B *Staples $2B 7NC3 7.5%, $1B 8NC3 10.75%

04/09 $1B *Province of Manitoba 5Y +26

04/09 $500M *Waste Connections Inc. 10Y +103

04/09 $Benchmark DBS Group 3Y +60a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +5,000 Jun 75/76 2x1 call spds, 2.5

* +2,500 Green Jun 75/77/78 put flys, 1.0

* +25,000 Blue May 81/Blue Jun 82 call spds on screen, Jun bought over, 0.5 net

* 10,000 Red Jun 66 puts, 1.0 vs. 97.625/0.05%

Block, 1221:12ET

* 10,000 Green Sep 71 puts, 1.0 vs. 97.78/0.05%

* Update, over -15,000 Dec 73 straddles, 23.5

* 2,000 short Sep 80/85 1x3 call spds, 2.0 vs. 97.80

* +2,000 Dec 71/72 put spds, 1.25/legged

* -15,000 Dec 73/75/76 2x3x1 put flys, 5.0

* -8,000 short Jul 75/76 put spds 2.0 over the Gold Jul 72/73 put spds

* +5,000 Mar 73/76 put spds, 12.5 vs. 97.615/0.25%

* -40,000 Dec 72/73 put spds, 3.0 vs. 97.515/0.18%

* -33,000 (10k Blocked) Mar 75/77 call spds, 9.0 vs. 97.61/0.10%

* -35,000 Red Jun'20 75/77 call spds, 11.0 on screen

* +10,000 Red Dec'20 72/75 put spds, 8.0 vs. 97.76/0.10%

* +5,000 Dec 73/75 straddle spd, 2.0 net vs. 97.50/0.34%

* -5,000 Red Jun20 68/70 put spds, 0.5

* 4,000 short Jun 75/76 put spds, 4.5 vs. 97.675/0.10%

* 2,000 short Apr 76 puts, 1.0 vs. 97.685/0.10%

* 2,000 Green Apr 78 puts, 1.0 vs. 97.79/0.20%

Tsy options, Pit/screen:

* -2,000 TYM 122/124 2x1 put spds, 39/64

* -6,000 USM 146/150 strangles, 1-2 to 1-0/64

* -5,500 USM 147 puts, 49/64

* +4,500 FVM 116.25/117.75 call spds, 7.5/64

* +2,200 wk2 FV 115/115.5 put spds, 8/64

* +5,000 Jul 77 calls, 1.0

* +2,500 Green Jul 77 straddles, 24.5

* 1,500 short Sep 76/77 strangles, 25.5

Overnight screen trade

* 20,000 Dec 72/77 call spds

* 15,000 short Jul 75/77 put spds

* 10,000 Jul 75/76 call spds

* 10,000 Jul 73/75 put spds 

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

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