US TSYS: RATE RALLY/CURVE FLATTER ON QUIET START TO FOMC WK

US TSY SUMMARY: Rates trading mostly higher by the bell, near highs after a

weaker open, curves flatter. Quiet start to wk, low volume (TYM appr 1M) w/much

of Asia out on holidays (China Mon & Tue for Labor Day, Japan closed Mon, Thu

and Fri for public holidays). Tsy 10Y yld -.013, 2.9438%.

- US$ index mildly higher (DXY +.212, 91.754; US$/Yen 109.18); equities

weaker/off early highs (emini -11.0, 2660.5); gold weaker (XAU -6.83, 1316.52);

West Texas crude stronger (WTI +0.41, 68.51), rebounding on increased geo-pol

tensions in mid-East as Israeli forces strike Syrian targets, to hold conf

tonight on Iran.

- Geo-pol/mid-East tensions leant to risk-off bid in rates, cross-mkt support

from EGBs as Bunds rallied as well; month-end buying, two-way from fast$ in

short end, corp deal-tied hedging, rate receiving in 2s, 4s and 5s, curve

flatteners/steepener unwinds in 2s and 5s vs. 10s.

- Limited react to data on tap includes personal income (0.3%), US$ PCE (0.2%),

and Apr MNI Chicago PMI (57.6). FOMC policy annc on Wed, Apr NFP on Fri.

- Late ylds: 2Y 2.484%, 3Y 2.612%, 5Y 2.785%, 7Y 2.897%, 10Y 2.934%, 30Y 3.095%

MONTH-END EXTENSIONS: *** Updated Bloomberg-Barclays US month-end index

extensions compared to the average increase for the past year and the same time

in 2017.

*.....................Projected...1Y Avg Incr..Last May

*US Tsys.................0.06........0.06........0.05

*Agencies................0.02........0.08........0.07

*Credit..................0.07........0.05........0.05

*Govt/Credit.............0.06........0.06........0.05

*MBS.....................0.08........0.05........0.14

*Aggregate...............0.07........0.05........0.08

*Long Govt/Credit........0.07........0.01.......-0.03

*Interm Credit...........0.07........0.04........0.06

*Interm Govt.............0.06........0.04........0.05

*Interm Govt/Cred........0.06........0.03........0.06

*High Yield..............0.08........0.00........0.01

US TSY FUTURES CLOSE: Well off opening lows to mostly higher across the curve,

long end near highs on light overall volume (TYM<9250k). Curve update:

* 2s10s -2.107, 44.994 (47.856H/44.652L);

* 2s30s -2.751, 61.125 (64.898H/60.798L);

* 5s30s -1.453, 30.776 (32.883H/30.351L);

Current futures levels:

* Jun Ultra bonds up 20/32 at 156-31 (155-31L/157-03H)

* Jun 30-yr Bond futures up 12/32 at 143-20 (142-30L/143-26H)

* Jun 10-yr futures up 3/64 at 119-19 (119-12L/119-21H)

* Jun 5-yr futures up .5/32 at 113-14.75 (113-12L/113-16.25H)

* Jun 2-yr futures down .75/32 at 106-00.25 (106-00L/106-01H)

US EURODOLLAR FUTURES CLOSE: Traded mixed by the bell, short end weaker all

session w/3M LIBOR climbing +0.0049 to 2.3629% (-0.0072 last wk). Current White

pack (Jun'18-Mar'19):

* Jun'18 -0.010 at 97.630

* Sep'18 -0.010 at 97.505

* Dec'18 -0.015 at 97.355

* Jun'19 -0.015 at 97.245

* Red pack (Jun'19-Mar'20) -0.015 to steady

* Green pack (Jun'20-Mar'21) +0.005-0.010

* Blue pack (Jun'21-Mar'21) +0.015

* Gold pack (Jun'22-Mar'22) +0.015-0.020

US DOLLAR LIBOR: Latest settles, 

* O/N -0.0007 to 1.7037% (+0.0013 last wk) 

* 1 Month +0.0023 to 1.9093% (+0.0100 last wk)

* 3 Month +0.0049 to 2.3629% (-0.0072 last wk)

* 6 Month -0.0078 to 2.5117 (+0.0127 last wk)

* 1 Year -0.0103 to 2.7700% (+0.0200 last wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): steady at 1.72%, $732B

* Broad General Collateral Rate (BGCR): up to 1.68% vs. 1.67% prior, $341B

* Tri-Party General Collateral Rate (TGCR): up to 1.68% vs. 1.67% prior, $326B

US SWAPS: Spds wider by the bell, little off session wides w/short end leading

move all session. Earlier flow includes $240mln receiver of USD 2Y at 2.745%,

switches in 5s, $170mln+ receiver of USD 10Y at 2.98223%, $146.4k DV01 2Y-10Y

STEEPENER, $185.2k 2Y-3Y-5Y Fly, receiving the belly, $292.8k 2Y-5Y-10Y Fly,

paying the belly. Short end pared back from wider levels in second half as corp

supply from Daimler Finance, Ford credit, Texas Inst launched, late flow

included rate receiving in 2s from 2.7485-2.75%, payer in 5s at 2.914%. Latest

spd levels:

* 2Y  +0.88/25.75

* 5Y  +0.75/11.62

* 10Y +0.38/3.50

* 30Y +0.50/-10.50

PIPELINE: Multiple Launches, $4B Daimler Finance 7-part leads

04/30 $4B #Daimler Finance NA, 7-part:

  $500M 2Y fix +65, $500M 2Y FRN +39, $1B 3Y fix +77, $700M 3Y FRN +55, 

  $600M 5Y fix +95, $400M 5Y FRN +84, $300M 10Y tap +105

04/30 $1.5B #Ford Motor Credit $900M 5Y fix +135, $600M FRN +123.5

04/30 $1.3B #Texas Instruments Inc, 30Y +107

04/30 $525M #DTE Electric Co WNG 30Y +97

04/30 $350M #Indiana Michigan Power 10Y +95

Potential issuance this week:

* $Benchmark, United Technologies

* $Benchmark, Coca-Cola (KO)

* $Benchmark Qualcomm, history of large annual issuance

OUTLOOK: Data/speaker calendar (prior, estimate)

- May 01 FOMC policy meeting starts

- May 01 NA-made light vehicle sales SAAR (13.3m, --)

- May 01 28-Apr Redbook retail sales m/m (0.3%, --) 0855ET

- May 01 Apr Markit Mfg Index (final) (56.5, --) 0945ET

- May 01 Apr ISM Manufacturing Index (59.3, 58.4) 1000ET

- May 01 Mar construction spending (0.1%, 0.5%) 1000ET

- May 01 May Dallas Fed services index (13.5, --) 1030ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* Update, total +30,000 Green Jun 66 puts, 1.0 vs. 96.96/0.10%

UPDATE: Total 11,500 short Dec 67/68 put sprd over short dec 75 call at even,

NOTE: (6k Short Dec 67/68 put sprd over Short Oct 73 call at even additionally)

UPDATE: Total +35,000 Mar 68/70/71 put tree at 2.0

* 6,000 Short Dec 67/68 put sprd over Short Oct 73 call at even, NOTE:(8k short

dec 67/68 put sprd over short dec 75 call at even earlier)

UPDATE: Total 18,000 Green Jun 72/76 call sprd at 1.5

* 3,000 Jun 76/78 Strangle at 4

UPDATE: Total 8,000 Short Dec 67/68 put sprd over Short Dec 75 call at even

* 5,000 Jun 75/77 call over risk reversal at 0.75 vs 9763.5/0.20%

* 1,900 Green Jul 68 Straddle at 23.5

* 1,900 Green Jul 70 Straddle at 23, could be a straddle strip

* 4,000 Short Dec 67/68 put sprd over Short Dec 75 call at even

* 3,000 Jun 70/75 1x2 call sprd at 2

* 3,200 May 76/Jun 75 2x3 put strip at 5.5 (adding to 20k 1x1 and 5k 1x2)

* 5,000 May 76 Straddle at 4.0

* 5,000 Red Sep/Short Sep 71 Straddle Sprd at 17.5

* +20,000 May 76/June 75 put strip at 2.5 vs 9762.5/0.59%

* +10,000 68/70/71 put trees at 2.0 vs 9722/0.10%

Tsy options, Pit/screen:

* 1,500 TUM 105.6/106 2x1 put spds, 4.5 vs. 106-00.25/0.40%

* -4,000 TYN 117.5 puts 10/64 vs. 119-06.5/0.14%

* +5,000 TYM 121 calls, 5/64 on screen

* near +10,000 TYM 116.75/117 put strips, 3/64

* +10,000 TYM 116.75/117 put strips, 3/64

* 6,650 TYM 120.75 calls, 5/64 on screen

* 2,100 TYM 120.5 calls, 8/64 vs. 119-18/0.16%

* +3,000 USM 133/151 call over risk reversals, 2/64 vs. 143-11/0.02%

* +13,000 FVM 112.5 puts, 2.5/64 on screen

* +2,150 TUU 105.75 straddles, 25.5/64

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

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