US TSYS: QUIET FI BID AHEAD FRI'S HEADLINE MARCH EMPLOY DATA

US TSY SUMMARY: Tsys seesawed mildly higher on day, near highs on narrow range,

long end coming under mild pressure after the bell. US$ index firmer/near top

end narrow range (DXY +.197, 97.288); equities little firmer (SPX +1.5,

2881.25). 

- Tsys followed Bunds higher earlier after weaker than expected factory order

data (not to mention GDP forecast cut late Wed). Curves see-sawed to mildly

flatter. While curve steepener interest pretty consistent last few weeks, there

have been large flattener blocks (Eurodollar options and 2s10s Tsy futures) last

two sessions. Lead quarterly Eurodollar futures EDM9 well bid after 3M LIBOR set

-0.0091 to 2.5886% (-0.0111/wk), otherwise Whites-Reds underperforming as yr-end

rate cut chances moderate. Two-way flow in 2s-10s, position squaring from prop,

fast- and real$, modest bank support long end. On tap for Fri: Nonfarm and

private payrolls, unemployment rate and average hourly earnings for March; St.

Louis and NY Fed GDP Nowcasts; February consumer credit after the bell.

- The 2-Yr yield is up 0.2bps at 2.3369%, 5-Yr is down 1bps at 2.3168%, 10-Yr is

down 1.3bps at 2.5115%, and 30-Yr is down 1.2bps at 2.9219%.

US TSY FUTURES CLOSE: Yld curves near low end of range w/ Bonds near top end

narrow range. All-in-all a quiet session ahead of Fri's headline NFP data for

Mar. Curve update:

* 3M10Y  -1.853, 7.773 (L: 6.344 / H: 9.113)

* 2Y10Y  -1.42, 16.899 (L: 16.744 / H: 18.627)

* 2Y30Y  -1.214, 58.059 (L: 57.638 / H: 60.863)

* 5Y30Y  -0.242, 60.276 (L: 59.809 / H: 62.466)

Current futures levels:

* Jun Ultra futures (WN) up 8/32  at 164-31 (L: 164-16 / H: 165-06)

* Jun 30-Yr futures (US) up 6/32  at 147-22 (L: 147-11 / H: 147-26)

* Jun 10-Yr futures (TY) up 1/32  at 123-17 (L: 123-13.5 / H: 123-22.5)

* Jun 5-Yr futures (FV) up 0.5/32  at 115-15.75 (L: 115-13.75 / H: 115-19.5)

* Jun 2-Yr futures (TU) down 0.75/32  at 106-13 (L: 106-12.875 / H: 106-15.125)

US EURODLR FUTURES CLOSE: Steady to mixed across the strip, most of Whites

through Reds underperforming. Current White pack (Jun'19-Mar'20):

* Jun 19 +0.010 at 97.440

* Sep 19 +0.005 at 97.500

* Dec 19 -0.005 at 97.515

* Mar 20 -0.010 at 97.610

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

* Green Pack (Jun 21-Mar 22) -0.005 to steady

* Blue Pack (Jun 22-Mar 23) steady to +0.010

* Gold Pack (Jun 23-Mar 24) +0.010 to +0.015

US DOLLAR LIBOR: Latest settles

* O/N +0.0080 to 2.3941% (+0.0121/wk)

* 1 Month -0.0036 to 2.4735% (-0.0210/wk)

* 3 Month -0.0091 to 2.5886% (-0.0111/wk)

* 6 Month -0.0093 to 2.6458% (-0.0137/wk)

* 1 Year -0.0130 to 2.7365% (+0.0259/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.47%, $987B

* Broad General Collateral Rate (BGCR): 2.43%, $444B

* Tri-Party General Collateral Rate (TGCR): 2.43%, $415B

US SWAPS: Spds have reversed early narrowing to mildly wider across the board,

spd curve steepening out slightly. Recent unwinds of better earlier receiving in

2s reported in addition to 2s4s7s receiver fly. Earlier: decent front end

receiving in 2s, over $1B nominal from 2.433-2.440%, keeping spreads tighter as

yields rise post data. Latest spd levels:

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

Thu 3:00    -0.50/10.62   +0.31/4.25     +0.38/-1.56   +0.62/-24.94

12:00       +0.12/11.25   +0.31/4.25     +0.56/-1.38   +0.94/-24.62

10:30       +0.00/11.12   +0.06/4.00     +0.25/-1.69   +0.62/-24.94

8:45        -0.38/10.75   -0.44/3.50     -0.38/-2.31   -0.44/-26.00

Thu Open    -0.31/10.81   -0.12/3.81     -0.12/-2.06   -0.69/-26.25

Wed 3:00    -0.79/11.12   -0.69/4.00     -0.81/-1.94   -1.10/-25.50

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

05-Apr 0830 Mar nonfarm payrolls (20k, 170k)

05-Apr 0830 Mar private payrolls (25k, 165k)

05-Apr 0830 Mar unemployment rate (3.8%, 3.8%)

05-Apr 0830 Mar average hourly earnings (0.4%, 0.3%)

05-Apr 0830 Mar average workweek, all workers (34.4hrs, 34.5hrs)

05-Apr 1100 Q2 St. Louis Fed Real GDP Nowcast

05-Apr 1115 Q2 NY Fed GDP Nowcast

05-Apr 1500 Feb consumer credit ($17.0B, $17.0B)

05-Apr 1530 Atl Fed Pres Bostic, "Disruption and Opportunity: Shaping Policy in

a Digital World", Andrew Young School of Policy Studies/Fiscal Research Cntr at

Georgia St Univ, audience Q&A

PIPELINE: $14.1B Priced Wednesday; $19.85B priced on week, slow-down today

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

04/04 $750M #AutoZone 5Y +105a, 10Y +145a

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

04/?  Saudi Aramco

-

$14.1B Priced Wednesday; $19.85B priced on week

04/03 $6B *Tencent Holdings Ltd $1.25B 5Y +95, $750M 5Y FRN L+91, $500M 7Y +115,

$3B 10Y +145, $500M 30Y +160

04/03 $3B *Lowe's $1.5B 10Y +115, $1.5B 30Y +165

04/03 $1B *IHS Markit $400M 5Y +137, $600M 10Y +180

04/03 $1.25B *GM Fncl long 3Y +128

04/03 $1B *Vinci 10Y +127

04/03 $1B *AIB 6NC5 fix/FRN +195

04/03 $850M *NY Life 5Y +57 (after securing $1B 50Y +160 on Mon)

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* 20,000 Jul 76/77/78/80 call condors, 1.0 vs. 97.51/0.08%

* 20,000 Dec 83 calls, 1.5 vs. 97.495/0.06%

* 10,000 Aug 76/77 1x2 call spds, 0.5

* +20,000 short Sep 81/83/85 call trees, 0.75 earlier

* -7,000 short Jun 77 straddles, 23.5

* +4,000 Dec 71/77 1x4 call spds, 12.5

Block, 1329:14ET

* +10,000 Dec 73 puts, 6.0

Block, 1242:20 repeats 1035:59ET bull curve

flattener Block, over 50k w/another 10k in pit

* -20,000 Green Sep 77/81 call spds, 11.5 vs.

* +20,000 Blue Sep 77/81 call spds, 9.0

* 5,000 Dec 75/76/77/78 call condors, 2.0

* 4,500 Green Sep 75 puts, 5.0 vs. 97.80-.805

* 30,000 Sep 78/85 call spds, 1.5

Earlier flow includes

* +15,000 Dec 83 calls 0.5 over the Jul 76/77/78/80 call condors

* +6,500 Dec 85 calls, 1.0

Block, 1035:59ET, bull curve flattener/9k traded in pit

* -20,000 Green Sep 77/81 call spds, 11.5 vs.

* +20,000 Blue Sep 77/81 call spds, 9.0

* 4,250 Dec 76/77/78/80 call condors, 1.5

* 4,250 Dec 75/77/78/81 call condors, 5.0

* 3,000 Red Dec'20 73/83 strangles, 26.0

* 2,000 Red Dec'20 78 straddles, 62.5

* +3,000 Blue Mar 76 straddles, 46.5

* 3,000 Mar 72 puts, 3.5

* +9,000 Sep 72/75 put spds, 7.0 w/

* +9,000 short Sep 73/76 put spds, 7.0 vs. 97.77/0.10 -- similar traded in

Dec/short Dec Wednesday

* 2,750 Mar 72 puts, 3.5 vs. 97.63

* 2,000 Green Sep 85 calls, 3.0 vs. 97.80.5/0.10%

* Dec 75 straddle trading vs. Dec 76/78 call spds, 20.5 net

Tsy options, Pit/screen:

Latest trade, 

* 1,000 FVK 115.75/116/116.25/116.75 call condors, 1.5

* +4,000 TYK 124.25 calls, 12/64

* over -5,000 TYM 123.5 puts, 38 to 39/64

* 9,300 FVM 115.25 calls, 37/64

* +6,000 TYM 122.5/123 put spds, 10/64

* 2,100 TYM 125 calls, 14/64

* 3,600 USK 150/152 1x2 call spds, 1.0

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

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