US TSYS: RISK ON; 3M10Y CONTINUES CLIMB OFF 12 YEAR LOWS,

US TSY SUMMARY: Rates weaker, near lows after the bell -- curves bear-steepening

as new month/quarter kicks off with strong risk-on support for global risk

assets after positive China data and US trade noise. Decent futures volume

(TYM>420k), yld curves mostly steeper (3M10Y +10.249, 11.128); US$ index softer

but off lows (DXY -.034, 97.250); equities near earlier highs (SPX +32.0,

2869.75).

- Quiet second half, sources reported real$ buying lows earlier, dealer and bank

portfolio selling intermediate to long end. Chatter of negative convexity

hedging on the way down, swap-tied selling in 10s and 30s. Deal-tied selling in

the mix as well.

- On tap for Tuesday: NA-made light vehicle sales for March throughout the

session; February durable goods new orders; Redbook retail sales; March ISM-NY

current conditions.

- The 2-Yr yield is up 6.3bps at 2.3225%, 5-Yr is up 7.5bps at 2.3081%, 10-Yr is

up 8.9bps at 2.4938%, and 30-Yr is up 7.8bps at 2.8924%.

US TSY FUTURES CLOSE: Near session lows after the bell, 3M10Y curve continues to

steepen -- just days after inverting to lowest level in over 12 years (-11.7).

Update:

* 3M10Y  +10.683, 11.562 (L: 1.89 / H: 11.919)

* 2Y10Y  +3.027, 16.923 (L: 13.297 / H: 17.125)

* 2Y30Y  +1.503, 56.321 (L: 53.367 / H: 56.971)

* 5Y30Y  -0.17, 57.793 (L: 55.786 / H: 58.697)

Current futures levels:

* Jun Ultra futures (WN) down 2-2/32  at 165-30 (L: 165-21 / H: 168-03)

* Jun 30-Yr futures (US) down 1-15/32  at 148-06 (L: 148-02 / H: 149-21)

* Jun 10-Yr futures (TY) down 19.5/32  at 123-19.5 (L: 123-18 / H: 124-05.5)

* Jun 5-Yr futures (FV) down 10/32  at 115-16.5 (L: 115-15 / H: 115-26.75)

* Jun 2-Yr futures (TU) down 3.25/32  at 106-14.25 (L: 106-13.625 / H:

106-17.625)

US EURODLR FUTURES CLOSE: Near session lows after the bell, Reds and Golds

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

* Jun 19 -0.015 at 97.440

* Sep 19 -0.030 at 97.510

* Dec 19 -0.040 at 97.530

* Mar 20 -0.055 at 97.630

* Red Pack (Jun 20-Mar 21) -0.085 to -0.065

* Green Pack (Jun 21-Mar 22) -0.08 to -0.07

* Blue Pack (Jun 22-Mar 23) -0.08 to -0.07

* Gold Pack (Jun 23-Mar 24) -0.095 to -0.08

US DOLLAR LIBOR: Latest settles

* O/N +0.0061 to 2.3881% (-0.0070 last wk)

* 1 Month -0.0011 to 2.4934% (-0.0043 last wk)

* 3 Month -0.0042 to 2.5955% (-0.0101 last wk)

* 6 Month +0.0096 to 2.6691% (-0.0165 last wk)

* 1 Year +0.0194 to 2.7300% (-0.0764 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.65%, $897B

* Broad General Collateral Rate (BGCR): 2.58%, $387B

* Tri-Party General Collateral Rate (TGCR): 2.58%, $373B

US SWAPS: Some really decent two-way volume in 2s over last couple hours (>$1.5B

nominal) better rate receiving as front end spds reverse early move/turn

tighter, better receivers in 3s around 2.36022-2.3723%, better payers on net in

5s from 2.34761-2.36947%, receiver flys: 2s3s10s and 3s5s7s on decent volume.

Spds started to narrow as swappable supply started to to gain momentum. Latest

spd levels:

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

12:00       -0.25/11.62   +0.12/5.19     +0.06/+0.31   +0.62/-22.75

10:30       +0.00/11.88   +0.31/5.38     +0.44/+0.69   +1.12/-22.25

Mon Open    +0.31/12.19   +0.19/5.25     +0.50/+0.75   +1.00/-22.38

Fri 3:00    +0.44/11.88   +1.12/5.00     +0.62/+0.12   +1.38/-23.38

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

02-Apr  -   Mar NA-made light vehicle sales SAAR 

02-Apr 0830 Feb durable goods new orders (0.4%, -1.6%)

02-Apr 0830 Feb durable new orders ex transport (-0.1%, 0.0)

02-Apr 0855 30-Mar Redbook retail sales m/m (0.1%, --)

02-Apr 0910 NY Fed VP Michael Held, Regulatory Keynote Address, NY

02-Apr 0945 Mar ISM-NY current conditions (61.1, --)

PIPELINE: NY Life 50Y upsized to $1B and launched; $1B Province of Quebec 5Y

pushed to Tuesday

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

04/01 $1B #NY Life 50Y +160

Chatter potential issuers:

04/02 $1B Province of Quebec 5Y +27a

04/02 Tencent Holdings Ltd

04/?  Lowe's Cos

04/?  Staples

04/?  Saudi Aramco

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* 7,500 Jul 75/76 call strip, 9.5 vs. 6,600 EDU 97.51

* +15,000 Dec 81/83 call spds, 1.5 vs. 90 EDZ 97.535

* +5,000 Dec 75 puts, 11.0 vs. 97.56/0.42%

* -4,000 May 75/Jul 76 call strips 2.5 over the Dec 81 calls, legs covered

* +3,000 Mar 80 calls, 9.5

* -10,000 Jul 73/75 put spds, 5.0 vs. 97.50-50.5/0.32%

* Update, over +10,000 short Apr 81 calls, 0.5-1.0

* +10,000 Blue Sep 75 puts, 5.5

* +5,000 Jul 78/83 call spds, 1.0

* +5,000 Jul 78/Sep 80 call strip, 2.5

* +5,000 short May 78/80 call spds 0.0 over short May 75/76 put spds

* -5,000 short Jul 75/82 strangle w/short Jul 75/73 strangles, 12.0

* +4,000 Dec 71/72 put spds, 1.25

* 3,000 short Apr 76/77 2x1 put spds, 3.5

Block 0714:15-0715:09ET

* +5,000 Green Dec 76/78 2x3 call spds, 4.5 net

Block 0658:41-0659:15ET

* total +30,000 Dec 78/83 call spds, 5.0 vs.

* total -30,000 Dec 71/73 put spds, 4.5

* -11,400 EDZ9 97.555

Prior Block at 0658:31ET

* +7,500 Dec 75/77/78/83 broken call call condors, 3.0

Earlier Blocks

* 15,000 Dec 77 calls, 1.0 at 0412ET 

* 25,000 Dec 78 calls, .75 at 0342ET

Tsy options, Pit/screen:

* -4,000 TYK 123 puts, 13/64 vs. 124-19.5 -20

Large screen trade

* +35,000 USM 132 puts, 2/64

* +5,000 TYK 123.5 puts, 22/64 vs. 123-24/0.40%

* -3,000 TYK 123 puts, 11/64 vs. 124-23 to -23.5

* 1,000 TYM 123.5 straddles, 1-24/64

* +2,000 TYM 122.5/125 call over risk reversals, 3/64 earlier vs. 124-23.5

Early screen trade and totals of long end put buyers

* +8,400 USM 143 puts, 10/64 (>18,000 total)

* +8,500 USM 144 puts, 13/64 (>23,700 total)

* >5,800 FVM 115 puts, 10.5-11.5/64

* 2,500 TYM 123/124.5 strangles, 51/64

* 2,500 TUM 105.8/106.5 put spds

* 7,500 TUM 106/106.25 put spds

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

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