US TSYS: RATES SURGE, DOVISH DOTS AND TARIFF TANTRUMS

US TSY SUMMARY: Sharply higher, curves reversing more than Wed's post FOMC bear

steepening move as market makes amends with Fed holding dots at 3 for 2018,

viewing 2019 under a more dovish lens than first seen Wed -- when eye on more

aggressive Fed in 2019 eyed. Multiple factors added to rate rally, knock-on

react to steady BoE, weaker US$ vs. Yen, $50B in tariffs against China annc'd --

spurred risk-off w/equities falling sharply.

- Buy the rumor/sell the news: sources reported fast- and real$ selling 5s and

10s, cash and futures after tariff annc. Little initial react to $50B tariff

annc on China over intellectual property theft, anticipated, profit taking as

Tsys pared gains/equities pared losses. 

- Tactical curve steepener unwinds, better buying from fast- and real$, bank

portfolios in 5s, 10s and 30s. Decent deal-tied flow, pick-up incorp supply.

- US$ index firmer (DXY +.068, 89.851; US$ weaker vs. Yen 105.6); equities

fading again late (emini -46.0, 2672.25 vs. 2663.25L); Fold weaker (XAU -5.03,

1327.42); West Texas crude reversing some of Wed's rally (WTI -0.68, 64.49).

- Late ylds: 2Y 2.285%, 3Y 2.432%, 5Y 2.630%, 7Y 2.757%, 10Y 2.830%, 30Y 3.065%

US TSY FUTURES: Broadly higher/off highs noted ahead the tariff annc, curve bull

flattening, reversing Wed's post FOMC move. Curve update:

* 2s10s -3.560, 53.983 (57.727H/53.021L);

* 2s30s -3.537, 77.560 (81.015H/75.510L);

* 5s30s -0.752, 43.529 (44.218H/40.642L);

Current futures levels:

* Jun Ultra bonds up 1-30/32 at 158-00 (156-09L/158-25H)

* Jun 30-yr Bond futures up 1-13/32 at 144-29 (143-22L/145-16H)

* Jun 10-yr futures up 20/32 at 120-18.5 (120-03L/120-25H)

* Jun 5-yr futures up 10.75/32 at 114-04.25 (113-27.5L/114-08.25H)

* Jun 2-yr futures up 1.75/32 at 106-08.25 (106-06L/106-10H)

US EURODOLLAR FUTURES CLOSE: Well bid across the strip/off highs, long end

outperforming on best volume of week. Current White pack (Jun'18-Mar'19):

* Jun'18 +0.030 at 97.690

* Sep'18 +0.035 at 97.610

* Dec'18 +0.040 at 97.480

* Jun'19 +0.050 at 97.375

* Red pack (Jun'19-Mar'20) +0.060-0.080

* Green pack (Jun'20-Mar'21) +0.090-0.100

* Blue pack (Jun'21-Mar'21) +0.100-0.110

* Gold pack (Jun'22-Mar'22) +0.115-0.110

US DOLLAR LIBOR: Latest settles, 

* O/N +0.2488 to 1.6975 (+0.2513/wk)

* 1 Month +0.0103 to 1.8715% (+0.0494/wk)

* 3 Month +0.0144 to 2.2855% (+0.0838/wk)

* 6 Month +0.0131 to 2.4473% (+0.0837/wk)

* 1 Year +0.0006 to 2.6770% (+0.0625/wk)

PIPELINE: $750M ADCB 5Y priced

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

$750M *Abu Dhabi Commercial Bank PJSC ADCB 5Y MS +130

$1.5B #Baidu USD 5.5Y/10Y Bonds, IPT +140bp/+180bp A

$1B #Prudential Financial; 10Y +105, 30Y +135

$600M #Mississippi Power 2y FRN L+75, 10Y +125A

$1.05B Cequel Communications $1.05b 10NC5 Sr

Assurant Inc. $Bmark; 3NC1 FRN, 5.5Y, 10Y, 30NC10 Sub

- 

Small issuance Wednesday

03/21 $500M *Nordic Investment Bank Min. 2Y IPT MS -6

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

- Mar 23 Atlanta Fed Pres Bostic Knoxville Eco-Forum, Tennessee, Q&A, 0810ET 

- Mar 23 Feb durable goods new orders (-3.6%, +1.7%) 0830ET 

- Mar 23 Feb durable new orders ex transport (-0.3%, +0.6%) 0830ET 

- Mar 23 Feb new home sales (0.593M, 0.620M) 1000ET 

- Mar 23 Feb bldg permits revision 1000ET 

- Mar 23 Feb BLS state payrolls (172k , --) 1000ET 

- Mar 23 Minn Fed Pres Kashkari participation moderated Q&A, NY 1030ET 

- Mar 23 Q1 St. Louis Fed Real GDP Nowcast (+3.78%, --) 1100ET 

- Mar 23 Q1 NY Fed GDP Nowcast (+2.7%, --) 1115ET

- Mar 23 Dallas Fed Pres Kaplan, moderated Q&A at "Trellis Foundation Summit on

Postsecondary Access, Affordability & Attainment", Tx 1130ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 15,000 short Apr 75 calls, 1.0 vs. 97.275/0.10%

* +10,000 Jun 75/76 put spds, 3.0

* +15,000 Dec 71/72 put spds, 2.5

Blocks, 1307-1329ET,

* total 66,250 Dec 72/73 put spds vs. Dec 77 calls, 0.0 net -- latest 16,250 vs.

97.765/0.35%

--

* total +50,000 Jul 77 calls, 3.5

* 5,000 Jun 75/76 put spds, 2.75

* 5,000 Jun 78/80 call spds, 1.0

* 3,000 Dec 71/72 1x2 put spds, 10.5

Blocks, 1307-1309ET,

* total 50,000 Dec 72/73 put spds vs. Dec 77 calls, 0.0 net

--

* 5,000 Dec 68/71/73 put flys, 5.0

* 5,000 short May 70/71 2x1 put spds, 1.5 vs. 97.24/0.10%

Blocks, 1136-1208ET,

* total +65,000 Red Dec'19 90 calls, 1.5

Block, 1200:03ET another fly sale, -50.4k total/Block

from 7-7.5, another -20k pit

--

* +35,000 Dec 90 calls, 1.5

* -20,000 Dec 71/72/75 broken put flys, 7.5 vs. 97.48/0.17%, adds to -40k blocks

7-7.5, unwind

Block, 1140:50ET another fly sale, -40k total

* -20,000 Dec 71/72/75 broken put flys, this time at 7.0/no futures

Block, 1125:13ET

* 12,700 Green Mar 63/65 put spds, 2.5 vs. 97.02/0.05%

--

* +15,000 Red Sep'19 71/73 strangles, 40.5

* +5,000 Red Sep 63/67 and 62/66 put spds, 11.0 total

* -5,000 May 76 puts, 3.0

* 20,000 short Jun 72 calls 4.5 over 68/71 put strips

* 20,000 Green Jun 67/68 put spds, 3.0 vs. 97.04/0.10

* 7,500 Red Dec'19 71 puts, 31.0

* 7,500 Green Mar 63.0 puts, 8.0

* 5,000 Green Apr 67/70 3x1 put spds, 2.0

* total -15,000 short Apr 70/71/72 put flys, 3.5 vs. 97.23

* +3,000 Blue Jun 70 straddles, 28.0

* -2,000 long Green Dec'20 72 calls, 33.5

* +5,000 Green May 67/70 2x1 put spds, 5.0

Screen trade heading into the open

* +25,000 short Jun 70/71 put spds vs. short Jun 75 calls, 0.5

* over 19,000 short Apr 71 puts, 1.5

* over 10,000 short Apr70 puts, cab

* 5,000 short Sep 66/67/68/70 putcondors

* 5,000 Sep 73/75 puts over Sep 77 calls

* -4,500 Red Dec'19 71 straddles, 58.5-59.0

Tsy options, Pit/screen:

* -2,000 TYK 119.5/121 strangles, 30

08:49 03/22 EDT US TSY OPTIONS: Latest trade,

* +2,000 TYJ 120 straddles, 31/64, 

* 2,300 FVK 114.25 calls, 12/64

* 2,000 FVK 114 calls, 18.5 vs. 113-31.7

Some screen trade heading into the session

* 5,000 TYJ 120.5 calls, 6- to 7/64

* 3,000 TYK 121.5 calls,9/64

* 8,000 TYK 119.5 puts, 13/64

* 12,000 TYK 118.5 puts, 3

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

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