US TSYS: STEADY MARCH HIGHER FOR TSYS; 10Y BUND YLD NEGATIVE

US TSY SUMMARY: Follow through decline in Tsy ylds (10YY 2.520%), futures

drifting around top end of range as trade volumes climb back to normal levels

(TYM>1.17M). Yld curves mostly steeper, 3M10Y appr another 3bp flatter -- -5bp

from Mon highs.

- Tsys ground higher/followed Bund lead in first half as 10Y Bund fell back into

negative territory, levelling out in second half but remained well bid. Better

buying in intermediates from prop and real$, dal-tied selling in 3s, 5s and 10s,

prop, dealer acct selling short end.

- Right on the screws: U.S. TSY $41B 5Y note auction (9128286R6) awarded 2.315%

rate vs. 2.315% WI (awarded 2.172% in Mar; 2.527% avg), bid/cover 2.44 vs. 2.35

previous (2.49 avg).

- On tap for Thursday: On tap for Thursday: Weekly jobless claims; March durable

goods; housing vacancies rate; Kansas City Fed Mfg Index. U.S. TSY $32B 7Y note

auction (9128286S4).

- The 2-Yr yield is down 4.6bps at 2.3178%, 5-Yr is down 4.6bps at 2.3136%,

10-Yr is down 4.3bps at 2.5217%, and 30-Yr is down 3.9bps at 2.9406%.

US TSY FUTURES CLOSE: Very session highs after the bell, long end see-sawing in

narrow range over last sever hours. Volume back to more normal levels

(TYM>1.17M). Yld curves mostly (mildly steeper) except for 3M10Y bending

flatter. Latest levels:

* 3M10Y  -3.029, 9.406 (L: 8.354 / H: 13.49)

* 2Y10Y  +0.289, 20.193 (L: 19.793 / H: 21.214)

* 2Y30Y  +0.751, 62.156 (L: 61.355 / H: 63.663)

* 5Y30Y  +0.533, 62.436 (L: 61.892 / H: 64.081)

Current futures levels:

* Jun 2-Yr futures (TU) up 2.5/32  at 106-13.25 (L: 106-10.5 / H: 106-14)

* Jun 5-Yr futures (FV) up 6.75/32  at 115-15 (L: 115-08 / H: 115-17)

* Jun 10-Yr futures (TY) up 12.5/32  at 123-16.5 (L: 123-03.5 / H: 123-18.5)

* Jun 30-Yr futures (US) up 26/32  at 147-10 (L: 146-14 / H: 147-13)

* Jun Ultra futures (WN) up 36/32  at 164-9 (L: 163-03 / H: 164-12)

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

Whites while rate-cut probability before year end continues to gain momentum.

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

* Jun 19 +0.020 at 97.455

* Sep 19 +0.035 at 97.525

* Dec 19 +0.040 at 97.535

* Mar 20 +0.040 at 97.640

* Red Pack (Jun 20-Mar 21) +0.040 to +0.060

* Green Pack (Jun 21-Mar 22) +0.050 to +0.055

* Blue Pack (Jun 22-Mar 23) +0.050 to +0.055

* Gold Pack (Sep 22-Jun 23) +0.050 to +0.055

US DOLLAR LIBOR: Latest settles

*** Latest settles, 

* O/N -0.0086 at 2.3941% (+0.0030/wk)

* 1 Month +0.0067 to 2.4833% (+0.0025/wk)

* 3 Month +0.0061 to 2.5863% (+0.0052/wk)

* 6 Month -0.0001 to 2.6197% (-0.0093/wk)

* 1 Year -0.0105 at 2.7251% (-0.0212/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.46%, $969B

* Broad General Collateral Rate (BGCR): 2.45%, $460B

* Tri-Party General Collateral Rate (TGCR): 2.45%, $441B

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

25-Apr 0830 20-Apr jobless claims (201.25k, 201k)

25-Apr 0830 Mar durable goods new orders (-1.6%, 0.6%)

25-Apr 0830 Mar durable new orders ex transport (0.1%, 0.4%)

25-Apr 1000 Q1 housing vacancies rate

25-Apr 1030 19-Apr natural gas stocks w/w

25-Apr 1100 Apr Kansas City Fed Mfg Index

25-Apr 1630 24-Apr Fed weekly securities holdings

25-Apr 1300 U.S. TSY $32B 7Y note auction (9128286S4)

US SWAPS: *** Spds running mildly wider, short end off early highs. Modest

deal-tied flow on day. Way too soon to ponder if funding cost pressure is easing

as spds narrowing slows -- just look at 2Y spd over last 12 months -- steady

decline from around 32.0 in March-April 2018 to current levels below. EFFR still

holding at recent high of 2.44% -- stable. Desks starting to look at selling

short end, rate paying 2s-5s to fade move, make bets against chatter over IOER

cuts. Latest spd levels:

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

Wed 3:00    +0.44/9.12    +0.06/3.06     +0.12/-1.75   +0.06/-23.81

10:45       +0.75/9.44    +0.12/3.12     -0.06/-1.94   -0.38/-24.25

9:00        +0.81/9.50    +0.12/3.12     -0.06/-1.94   -0.25/-24.12

Wed Open    +0.69/9.38    +0.06/3.06     -0.12/-2.00   -0.38/-24.25

Wed 7:30    +0.69/9.38    -0.06/2.94     -0.06/-1.94   -0.38/-24.25

Tue 3:00    -0.19/8.38    -0.12/3.00     -0.25/-1.88   -0.62/-23.88

PIPELINE: RBC launched, Penske 5Y priced launch, waiting for Netflix 10.5Y

US$/EUR to price

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

04/24 $1.5B #Royal Bank of Canada $1B 3Y +53, $500M 3Y FRN L+47

04/24 $900M #Netflix 10.5Y 5.375% (E1.2B at 3.875%)

04/24 $700M *Penske Trucking 5Y +118

04/24 $1B OMERS Finance 5Y +20a

04/24 $900M Aqua America 10Y +125a, 30Y +155a

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

04/? $Benchmark Waste Management

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: ongoing better call spd buying in Jun'19-Mar'20

expirys

* +10,000 Dec 77/80/82 call trees, 1.5 vs. 97.52/0.10%

* Update, total +25,000 short May 78/80 call spds, 1.25 legged

* +15,000 short May 78/80 call spds, 1.25 legged

* another +20,000 Red Dec'20 77/81 call spds 1.5 over the Red Dec 73 puts, 40k

package today adds to 40k traded/blocked Tue 0.5 cr/put sold over.

* +10,000 short Dec 81 calls, 12.0 vs. 97.815/0.25%

* +3,000 Jul/Sep 76/77/78 call fly strips, 3.5 total

* -5,000 Dec 73/77 strangles, 12.25 earlier

* Update, +10,000 Green Jun 78/81 call spds, 5.0-5.25

* Update, over +50,000 Jun 75/76 1x2 call spds, 0.5 still bid

* +5,000 Jul 73/76 strangles, 4.25

* +5,000 Red Jun20 82 calls, 9.0 vs. 97.725/0.10%

* Update, +10,000 Oct 76/78/80 1x1x2 call trees, 0.0

* Update, over +30,000 Jun 75/76 1x2 call spds, 0.5, remains well offered

* Update, over +20,000 Dec 78/83 1x4 call spds, 4-leg over for 1.5

Ongoing penchant for upside call buying

* +15,000 Dec 78/83 1x4 call spds, 4-leg over for 1.5

* +5,000 Oct 76/78/80 1x1x2 call trees, 0.0

* 8,500 Green Dec 705 puts, 1.5 vs. 97.745

* 5,000 Green Jun 78/81 call spds, 5.0

* Update, over +20,000 Jun 75/76 1x2 call spds, 0.5, remains well offered

Block, 0844:22ET,

* 10,000 Jul 75 calls, 6.5 -- mid-market vs. 97.51/0.50%

* 20,000 Red Dec'20 77/81 call spds 1.5 over the Red Dec 73 puts, same

traded/blocked 40k Tue 0.5 cr/put sold over

* +10,000 Jun 75/76 1x2 call spds, 0.5, remains well offered

* -5,000 short May 76/77/78 call flys, 3.75/legged

Block, 0730:00ET,

* +30,000 Sep 72 puts, 0.5, adds to appr 12k on screen (OI 304k)

Earlier overnight Block, 

* +40,000 short May 76 calls, 3.0 vs.

* -20,000 short Jul 72/76 put spds, 6.5, 0.5 net cr

Tsy options, Pit/screen:

* 4,500 TYK 124 calls, 1/64 vs. 123-12

* +5,000 wk1 FV 115.75/116 call spds, 3.5

* -3,000 USM 150 calls, 17/64

* +5,000 TYM 126 calls, 3/64

* -7,500 TYK 123.25 calls, 19/64

* screen volume in TYK 123.5 calls near 37k

* +10,000 wk1 TY 124 calls

* +5,000 FVM 114.75/115.25 2x1 put spds, 4/64

* +1,000 TYK 122.7/123 put strip, 4/64

* +6,000 TYM 124.5 calls, 10/64 earlier

Reminder, May serial ops expire Friday. Large amount of TYM and FVM coming off

the sheets, potential pin risk: TYK 123 strike w/238,399 options (125,059c,

113,340p). Options 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

* May 30yr   187,281  246,439    433,720  146.00 w/ 20,161 (6,639c, 13,522P)

*                                         146.50 w/ 10,782 (4,922c, 5,860P)

*                                         147.00 w/ 22,405 (8,588c, 13,817P)

* May 10yr 1,317,864  807,123  2,124,987  122.75 w/ 35,651 (5,637c, 30,014p)

*                                         123.00 w/ 238,399 (125,059c, 113,340p)

*                                         123.25 w/ 67,491 (31,418c, 36,073P)

* May 5yr    417,586  685,487  1,103,073  115.00 w/ 86,877 (29,215c, 57,662p)

*                                         115.25 w/ 53,564 (23,796c, 29,768p)

*                                         115.50 w/ 64,967 (42,861c, 22,106p)

* May 2yr     49,167   57,296    106,453  106.25 w/ 19,330 (2,964c, 16,366p)

*                                         106.38 w/ 14,340 (10,418c, 3,922p)

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

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