US TSYS: RATES SHRUG OFF UNEXPECTED STRONG Q1 GDP +3.2

US TSY SUMMARY: Knee-jerk sell-off in Tsys w/Q1 GDP much better than expected at

+3.2 -- BUT little deceptive w/Inventories adding .65, everything was a touch

better: Real domestic demand +1.4, Consumer spending +1.2, Core PCE lower 1.3. 

- Post data flow had prop and fast$ buying the dip. Bank and real$ buying

intermediates to long end as the long end blew past late overnight highs.

- May Tsy options expired, generating some cross-current flow. Salient trade in

short end was massive -100k FFN sale at 97.635 (+0.035), knocked out bid as it

traded down to 97.62. The $500B notional ($5M for 1 contract) trade far and away

lead volume on the day (299k in late trade) as it blew past open interest of

225k coming into the session.

- On tap for Monday: March personal income; current dollar Personal Consumption

Exps', total and core PCE indexes; Dallas Fed manufacturing index for April; 13-

and 26W bill auctions. FOMC begins 2 day FOMC on Tuesday

- The 2-Yr yield is down 4.6bps at 2.2861%, 5-Yr is down 3.7bps at 2.2932%,

10-Yr is down 2.9bps at 2.5036%, and 30-Yr is down 1.6bps at 2.9257%.

US TSY FUTURES CLOSE: Bid across the curve, off highs after knee jerk react to

better than expected Q1 GDP. Latest levels:

* 3M10Y  -1.993, 9.02 (L: 7.353 / H: 12.649)

* 2Y10Y  +1.514, 21.372 (L: 19.739 / H: 21.995)

* 2Y30Y  +2.934, 63.756 (L: 60.795 / H: 64.124)

* 5Y30Y  +2.02, 63.078 (L: 60.842 / H: 63.872)

Current futures levels:

* Jun 2-Yr futures (TU) up 2.5/32  at 106-15 (L: 106-11.75 / H: 106-16)

* Jun 5-Yr futures (FV) up 5.5/32  at 115-18.75 (L: 115-10.75 / H: 115-21.25)

* Jun 10-Yr futures (TY) up 8.5/32  at 123-21 (L: 123-09 / H: 123-24)

* Jun 30-Yr futures (US) up 14/32  at 147-19 (L: 146-30 / H: 147-26)

* Jun Ultra futures (WN) up 18/32  at 164-21 (L: 163-28 / H: 165-00)

US EURODLR FUTURES CLOSE: Well bid across the strip, Reds and Greens

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

* Jun 19 +0.010 at 97.445

* Sep 19 +0.030 at 97.530

* Dec 19 +0.040 at 97.550

* Mar 20 +0.045 at 97.655

* Red Pack (Jun 20-Mar 21) +0.045 to +0.045

* Green Pack (Jun 21-Mar 22) +0.040 to +0.045

* Blue Pack (Jun 22-Mar 23) +0.030 to +0.035

* Gold Pack (Sep 22-Jun 23) +0.030 to +0.035

US DOLLAR LIBOR: Latest settles

* O/N +0.0007 at 2.4000% (+0.0089/wk)

* 1 Month +0.0046 to 2.4831% (+0.0023/wk)

* 3 Month +0.0004 to 2.5827% (+0.0016/wk)

* 6 Month +0.0032 to 2.6157% (-0.0133/wk)

* 1 Year +0.0013 at 2.7175% (-0.0288/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.45%, $962B

* Broad General Collateral Rate (BGCR): 2.41%, $466B

* Tri-Party General Collateral Rate (TGCR): 2.41%, $440B

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

29-Apr 0830 Mar personal income (0.2%, --)

29-Apr 0830 Mar current dollar PCE (0.1%, --)

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

29-Apr 0830 Mar core PCE price index (0.1%, --)

29-Apr 1030 Apr Dallas Fed manufacturing index (8.3, --)

29-Apr 1130 US TSY $39B 13W bill auction (912796SB6)

29-Apr 1130 US TSY $36B 26W bill auction (912796SQ3)

US SWAPS: Spds running mixed, spd curve flatter with short end moving wider amid

moderate rate paying in 2s-5s, possible knock-on effect massive front end

selling July FF futures. Not much in the way of supply tied hedging latter half

of week, well off $15-20B est, no Tsy note auctions next week either. Latest spd

levels:

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

Fri 3:00    +1.06/10.75   +0.06/3.50     -0.06/-1.19   -0.38/-23.25

12:00       +0.94/10.62   +0.06/3.50     -0.12/-1.25   -0.50/-23.38

10:30       +0.88/10.56   -0.12/3.31     -0.25/-1.38   -0.56/-23.44

9:00        +0.56/10.25   -0.06/3.38     -0.38/-1.50   -0.75/-23.62

Fri Open    +0.62/10.31   +0.00/3.44     -0.12/-1.25   -0.31/-23.19

Thu 3:00    +0.72/9.88    +0.38/3.50     +0.44/-1.19   +0.19/-23.31

Thu Open    +0.16/9.31    +0.06/3.19     +0.06/-1.56   -0.25/-23.75

Thursday recap: Spds continue to add to mid-week shift wider by Thu's close.

Light flow on net, some deal-tied paying in 5s, spd curve flatteners and 2s3s4s

payer fly.

PIPELINE: $7.2B priced on week, well off $15-$20B est

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

No new issuance Friday, 

- 

$1.25B priced Thursday

04/25 $1.25B *OMERS Finance 5Y +26

04/? $Benchmark Tokyo Metropolitan Gov 3-7Y US$ or Euro issue chatter

04/? $Benchmark Waste Management

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* +20,000 Sep 73 puts, 1.5 vs. 97.53/0.05%

* 1,250 Green Jun 77/78 1x2 call spds, 3.0

* 1,250 Green Jun 77/78/80 call trees, 1.0

* 10,000 short May 76 puts, 1.0 vs. 97.78/0.17%

* -10,000 Dec 78/80 call strip, 8.0 followed by another -10k Dec 78 calls, 4.5

Tsy options, Pit/Screen:

* over 6,000 FVN 115.25 puts, 14.5

* +1,700 FVN 114.75/115.5 2x1 put spds, 7.5/64

* -1,700 TYM 123/125 strangles, 40/64

* 900 USM 145/147/149 1x3 iron flys earlier, 33/64

* +2,500 TYM 123.5 straddles, 60/64

* +5,000 TYM 125.5/128/129 call trees, 3/64

* +5,000 FVM 116.75 calls, 3.5/64 pit/screen

* Update, total -3,000 TYM 122.5/123.5/124.5 1x3 iron flys at 2/64

* -32,000 TYM 123/124.5 call spds on screen, 44-46

* 5,000 TYK 123.5 calls, 3/64

* 1,500 TYK 123.25/123.5 strangles, 5- to 6/64

* 2,000 TUM 106.1/106.2/106.3 put trees, 2.5

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

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