US TSYS: RISK-ON/OFF, EQUITIES SURGE, CORP/TSY SUPPLY

US TSY SUMMARY: Relative quiet start to shortened Easter holiday week (early

close Thursday, Friday closed). Limited data (US DALLAS FED: MAR MFG INDEX 21.4

VS FEB 37.2), Tsys absorbed $51B Tsy 3M bills, $45B Tsy 6M bills and $30B Tsy 2Y

notes, the latter tailing slightly after yielding 2.310%. 

- Tsy reacted more to risk-on/off in relation to positive overnight headlines

where China looking to avert trade war/speed up negotiations w/US, S Korea also

revising trade deal on steel. Tsys came under pressure as equities surged

(notably correlated to moves in Facebook (FB) as shares declined on open FTC

investigation news, rebounding in second half.

- Mixed two-way flow on net, carry-over bank and real$ buying long end into

midday, corporate deal- and auction-tied hedging/unwinds. Modest option tied

flow.

- Swap spds steady/mixed, Decent receiving

in 1s earlier, paying in 2s, 5s and 6s, 3Y-5Y-7Y Fly, paying the belly, modest

deal-tied flow.

- Late ylds: 2Y 2.275%, 3Y 2.435%, 5Y 2.633%, 7Y 2.767%, 10Y 2.841%, 30Y 3.070%

US TSY FUTURES: Mildly weaker on moderate volume (TYM>1.18M), 2-10s near lows,

under late pressure as equities pull higher in late trade (emini +53.0, 2650.75;

DJIA over 610.0 higher). Curve update:

* 2s10s +0.611, 56.172 (56.223H/54.525L);

* 2s30s -0.881, 79.409 (80.811H/77.709L);

* 5s30s -2.290, 43.693 (46.737H/42.925L);

Current futures levels:

* Jun Ultra bonds down 4/32 at 157-16 (156-28L/158-10H)

* Jun 30-yr Bond futures down 4.32 at 144-19 (144-07L/145-04H)

* Jun 10-yr futures down 6/32 at 120-13.5 (120-11L/120-23.5H)

* Jun 5-yr futures down 4.5/32 at 114-01.25 (114-01.25L/114-08.5H)

* Jun 2-yr futures down 1.5/32 at 106-07.75 (106-07L/106-09.75H)

US EURODOLLAR FUTURES CLOSE: Mildly lower across the strip, lower half of

session range on light volume, under late pressure as equities continued to

rebound. Current White pack (Jun'18-Mar'19):

* Jun'18 -0.010 at 97.675

* Sep'18 -0.015 at 97.600

* Dec'18 -0.015 at 97.475

* Jun'19 -0.020 at 97.370

* Red pack (Jun'19-Mar'20) -0.020-0.030

* Green pack (Jun'20-Mar'21) -0.030-0.035

* Blue pack (Jun'21-Mar'21) -0.030-0.020

* Gold pack (Jun'22-Mar'22) -0.020-0.010

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0000 to 1.6975 (+0.2513 last wk)

* 1 Month +0.0019 to 1.8769% (+0.0529 last wk)

* 3 Month +0.0034 to 2.2949% (+0.0898 last wk)

* 6 Month +0.0041 to 2.4538% (+0.0861 last wk)

* 1 Year +0.0056 to 2.6720% (+0.0519 last wk)

US SWAPS: Spds running steady/mixed by the close, short end back tighter

following the $30B 2Y note auction, modest two-way flow on day. Decent receiving

in 1s earlier, paying in 2s, 5s and 6s, 3Y-5Y-7Y Fly, paying the belly, modest

deal-tied flow. Latest spread levels:

* 2Y  -0.25/32.75

* 5Y  +0.00/14.94

* 10Y +0.19/3.19

* 30Y +0.50/-15.12

PIPELINE: $1.5B ABB Fin 3-part launch

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

03/26 $500M *Allstate $500M, $250M 3Y FRN 3ML +43, $250M 5Y FRN 3ML +63

03/26 $500M *Dollar General Corp 10Y +130

03/26 $1.5B #ABB Finance $300M 2Y +55, $450M 5Y +75, $750M 10Y +95

03/26 $750M #Citizens Bank $500M 5Y +110, $250M 5Y FRN L+95

03/26 $600M #Centerpoint Energy Resources WNG 5Y +97, 10Y +117

03/26 $Benchmark KfW 3Y IPT MS +1A

03/26 $Benchmark Bell Canada Inc 30Y IPT +160A

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

- Mar 27 24-Mar Redbook retail sales m/m  (-0.1%, --) 0855ET

- Mar 27 Jan Case-Shiller Home Price Index (0.6, --) 0900ET

- Mar 27 Richmond Fed Mfg Index (28, --) 1000ET

- Mar 27 Conference Board confidence (130.8, 131.0) 1000ET

- Mar 27 Dallas Fed services index (17.5, --) 1030ET

- Mar 27 Atl Fed Pres Bostic, Talk w/John Hope Bryant, HOP Global Forums, '18

ann meet, Atlanta. 1100ET

- Mar 27 $24B Tsy 52W bill auction, Mar 29 settle 1130ET

- Mar 27 $35B Tsy 5Y note auction, Apr 2 settle 1300ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +6,000 short Jun 72/Green Jun 71 put strip, 23.0

* +5,000 short Jun 72 puts, 9.5

* -5,000 Apr 77 calls, 1.5

* +5,000 short Apr 75 calls, 1.0

* +5,000 Green Sep 70/72/73 call trees, 2.0

* +5,000 short May 75/76 call spds, 1.5

* -5,000 Apr 75 puts, cab

* -2,500 Jun 76 straddles 9.5 over the Jun 77 calls

* +4,000 Blue Apr/Blue Jun 71 straddle spds, 14.0-13.5

* +5,000 short May/short Jun 75 call strip vs.

* -5,000 Blue May/Blue Jun 73 call strips, 0.0 net Reds/Blues steepener

* +25,000 Apr 75/76 put spds, 1.5

* +15,000 Jun 73/75/76 put flys, 2.25 w/

* +15,000 Dec 67/70/72 put flys, 3.0 -- both adding to Blocks

* +30,000 Red Sep'19 73 calls, 19.5 vs. 97.225/0.40% vs.

* -30,000 Red Dec'19 66 puts, 9.0 vs. 97.165/0.20%

* -20,000 short Jun 75/76 call spds, 1.5 vs.

* +10,000 short Jun 68/71 put spds, 3.5

* 17,500 short Jun 75/76 call spds, vs.

* 17,500 Green Jun 68 puts, 5.0

* 10,000 Dec 77 calls 0.5 over the Dec 72/73

Long end vol seller

* -4,000 Gold Apr 70 straddles, 13.5

Adding to the +55k Blocks

* +10,000 Jun 73/75/76 put flys, 2.25

* 4,500 Red Jun'19 70/72/75 2x3x1 put flys, 2.0 net

* 2,000 short Apr 75 calls, 1.0 vs. 97.29/0.10%

Recap overnight Block volume from 0348-0645ET

* 55,000 Jun 73/75/76 put flys, 2.25

* 20,000 Dec 67/70/72 put flys, 3.0

Globex volume in the mix includes

* 11,000 Sep 73/75 put spds vs. 77/78 call spds

* 5,000 each short Jun 68, 70 and 71 puts

Tsy options, Pit/screen:

* +10,000 TYK 121.5 calls, 9/64

* over +5,000 FVK 114 straddles, 35/64

* over -4,000 TYK 118.5/122.5 strangles, 20/64

* -1,100 TYK 120.5 straddles, 60/64

* 4,000 TYM 123/125 call spds, 5/64 vs. 120-14.5/0.08%

* 1,600 TYK 120.5 straddles, 60/64

* 1,100 USK 136/154 put over risk reversals, 0.0

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

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