US TSYS: RECESSION SIGNAL FLASHING RED, 3M10Y YLD CRV INVERTS

     MNI US Closing FI Analysis: Recession Signal Flashing Red, 3M10Y Inverts

US TSY SUMMARY: Tsys broadly higher but off midday highs, best futures volume in

weeks (TYM>2.4k), yld curves mixed (3M10Y inverted first time since mid-2007) 2s

and 5s vs. 30Y mildly steeper.

- Kicking things off, huge German PMI miss sent Bunds sharply higher, Tsys

followed in turn, extending session highs to around midday. Rates pared gains

early in second half as equities pared losses slightly. 

- Sources noted rush of algo-lead selling in equities as the 3M10Y yld curve

inverted by midmorning, falling to new 12-year inverted low of -3.663 from 6.389

high overnight.

- Carry-over bank and real$ buying long end vs. mild prop selling, two-way

option-tied flow across the curve as the rally passed through several expiring

April option strikes. Swap-tied receiving in 5s-10s. Real$ interest in 5s30s

steepeners.

- Tsy cash/ylds: 2Y 100-10.25 (2.327%), 5Y 100-17.75 (2.254%), 10Y 101-15.5

(2.453%), 30Y 102-06.5 (2.888%).

US TSY FUTURES CLOSE: Broadly higher/off midday highs by the bell, best volume

in weeks (TYM>2.2M). Yld curves mixed -- front end off newly extended inverted

levels (12Y lows), long end rebounds/inches steeper. Update:

* 3M10Y -7.220, -0.124 (-3.663L/6.389H)

* 2Y10Y -0.204, 12.445 (9.661L/13.176H);

* 2Y30Y +0.466, 56.008 (53.380L/56.521H);

* 5Y30Y +0.955, 63.257 (62.017L/63.903H);

Current futures levels:

* Jun Ultra bonds up 2-13/32 at 166-01 (163-17L/166-27H)

* Jun 30-yr Bond futures up 1-14/32 at 148-18 (147-02L/149-04H)

* Jun 10-yr futures up 21.5/32 at 124-01 (123-10.5L/124-08.5H)

* Jun 5-yr futures up 14/32 at 115-24.5 (115-10.5L/115-28.5H)

* Jun 2-yr futures up 5.88/32 at 106-15.62 (106-9.88/106-17.25H)

US EURODLR FUTURES CLOSE: Sharply higher by the bell, just off midday highs on

heavy volume, tail end of Whites through Reds outperforming. Current White pack

(Jun'19-Mar'20):

* Jun'19 +0.025 at 97.430

* Sep'19 +0.060 at 97.500

* Dec'19 +0.100 at 97.550

* Mar'20 +0.125 at 97.680

* Red pack (Jun'20-Mar'21) +0.140-0.125

* Green pack (Jun'21-Mar'22) +0.115-0.100

* Blue pack (Jun'22-Mar'23) +0.095-0.090

* Gold pack (Jun'23-Mar'24) +0.090-0.085

US DOLLAR LIBOR: Latest settles

* O/N +0.0018 to 2.3890% (-0.0013/wk)

* 1 Month +0.0133 to 2.4988% (+0.0171/wk)

* 3 Month +0.0083 to 2.6098% (-0.0154/wk)

* 6 Month -0.0013 to 2.6760% (+0.0043/wk)

* 1 Year -0.0071 to 2.7870% (-0.0535/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.44%, $921B

* Broad General Collateral Rate (BGCR): 2.43%, $435B

* Tri-Party General Collateral Rate (TGCR): 2.42%, $419B

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

25-Mar 0200 Chi Fed Pres Evans, Credit Suisse Asian Inv Conf, HK, Q&A

25-Mar 0630 Phi Fed Pres Harker, economic outlook, OMFIF, London, Q&A

25-Mar 1030 Mar Dallas Fed manufacturing index (13.1, --)

25-Mar 1130 US TSY $48B 13W bill auction (912796RV3)

25-Mar 1130 US TSY $39B 26W bill auction (912796SK6)

PIPELINE: Quiet end to to decent issuance for week: $19.15B

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

03/22 $1.5B ADT $750M 5NCL 5.25%, $750M 7NCL 5.75%, 8NCL3 dropped

-

$6.25B priced Thursday

03/21 $2.25B *Bank of Montreal $1.75B 3Y +65, $500M 3Y FRN L+57

03/21 $1B *Valero Energy 10Y +155

03/21 $1.5B *SocGen 5Y Sr +155

03/21 $1.5B *Brazil 10Y  4.7%

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

Block, 1321:20ET

* 19,800 Jun/Jul 73 put spds, 0.0

* -30,000 Dec 72 puts at 2.5 vs. 97.57/0.16%

* +5,000 Dec 73/75 strangles, 23.0

Block, 1220:10ET

* 10,000 Sep 76/77 call spds vs. Sep 73 puts, even net

Block, 1154:34ET

* 15,000 Green Jun 75 puts, 2.0 vs. 97.85

Block, 1144:32ET

* 10,000 Mar 73 puts, 6.5

* 10,000 Mar 77 calls, 17.5

* total +40,000 Dec 71/72/73/75 put condors, 5.0 vs. 97.49/0.10% (+35k, 5.25

THu)

* 20,000 Dec 71/72/73/75 put condors, 5.0 vs. 97.49/0.10%

* 6,000 Sep 73/76 call over risk reversals, 2.25 vs. 97.50/0.44%

* +10,000 Jun 75/76 put spds, 1.25

* +5,000 Sep 77/78 call spds, 0.75 earlier

* -5,000 Dec 73/75/76/77 call condors, 2.0 net/wings over

* 2,000 short Jun 77 straddles, 25.0

* 35,000 short Jul 76/78 call spds on screen

* total 40,700 Sep 76/77 call spds on screen

* total 33,700 Sep 76/77 call spds on screen last few minutes

* -5,000 Dec 72/73 put spd Block at 3.0 earlier

Blocks,

* total 10,000 Green Dec 78/81 call spds 0.5 over the Green Dec 75 puts, 0629ET

* total 15,000 Green Sep 78/81 call spds 3.0 over the Green Sep 75 puts,

0615-0616ET

Tsy options, Pit/screen:

Block, 1243:14ET

* 7,500 USK 148 puts, 54/64 vs. 148-25/0.40%

* -5,000 FVK 115/116.25 strangles, 17/64, adds to appr -15k earlier from 15-16.5

* 3,200 TYM 122/124 1x2 call spds, 44/64

* +3,00 TYM 122 puts, 9/64

* +4,500 USM 153 calls, 23/64

* -12,000 FVK 115/116.25 strangles, 15/64

* over +11,000 TYK 124.5/125.5 call spds, 11/64

* 5,000 TYM 124 straddles, 1-28/64

* 3,200 TUK 106.7/106.8 call strip, 4/64

* +2,000 FVK 115/115.25/115.5 put trees, 0.5/64

* +1,400 FVM 115.25/116 1x3 call spds, 15/64

* +2,300 wk5TY 151.5/153 2x3 call spds, 0.0

* 1,300 TYK 123.5/124 call pspds, 16/64

* TYJ 123.5 combo two-way trade at 0.0 ahead today's expiry

* 6,500 FVJ 115.5 puts trade on screen at 1/64

Reminder, Apr serial ops expire Friday. Not much pin-risk as futures blew

through a few strikes this morning -- need to reevaluate if underlying comes

off. Ops 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) auto-exercised. According to

CME Group data:

*             Calls     Puts      Total   Nearest-the-Money Strike Totals

* Apr 30yr   173,318  173,312    346,630  147.50 w/ 12,226 (10,997c, 1,229P)

*                                         148.00 w/ 14,447 (11,866c, 581P)

*                                         148.50 w/ 2,403 (2,393c, 10P)

* Apr 10yr   648,025  781,229  1,429,254  123.75 w/ 29,061 (28,064c, 997p)

*                                         124.00 w/ 61,655 (61,402c, 253p)

*                                         124.25 w/ 11,605 (11,591c, 14P)

* Apr 5yr    206,044  348,644    374,688  115.25 w/ 53,353 (46,852c, 6,501p)

*                                         115.50 w/ 31,312 (28,065c, 3,247p)

*                                         115.75 w/ 15,461 (15,377c, 84p)

* Apr 2yr     21,617   30,941     52,558  106.12 w/ 11,999 (4,358c, 7,641p)

*                                         106.25 w/ 5,815 (4,261c, 1,554p

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

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