US TSYS: STRONG Q1 GDP, +2.3%, ECI +0.8%, RATES ON HIGHS

US TSY SUMMARY: Tsys near top end of range by the close, curves bull flattening

on modest volume (TYM<1.2M), 10YY <3.0% at 2.95%. Equities weaker/off lows

(emini -1.5, 2673.0); gold firmer (XAU +7.78, 1324.70); West Texas crude little

weaker (WTI -0.14, 68.05). Post-data trade (1Q adv GDP +2.3%; 1Q ECI +0.8%).

- US$ index mildly weaker (DXY -.011, 91.550) US$/Yen near lows at 109.02 after

109.54 tap earlier. US$ move added to early real-vol as Tsys sold off on

post-data spike in US$/Yen, reversing soon after.

- Some participants anticipated an in-line or weaker US Q1 GDP read following

the weak UK release that generated some knock-on support in Tsys as Gilts

rallied and  May BoE rate hike exp's declined.

- Early two-way flow from props, real$ and bank portfolio evaporated w/sporadic

buying in long end from bank and insurance portfolios on lighter volume. Acct

gravitated to sidelines ahead weekend w/next wk's FOMC rate annc on Wed May 2.

Note, China markets closed Mon, Tue for Labor Day holiday while Japanese mkts

closed Mon, Thu and Fri for public holidays.

- Late ylds: 2Y 2.480%, 3Y 2.618%, 5Y 2.801%, 7Y 2.917%, 10Y 2.959%, 30Y 3.127%

US TSY FUTURES CLOSE: Near earlier session highs at the close, curves holding

flatter. Curve update:

* 2s10s -2.227, 47.489 (50.059H/46.713L);

* 2s30s -3.719, 64.325 (68.269H/63.674L);

* 5s30s -2.620, 32.394 (35.202H/32.225L);

Current futures levels:

* Jun Ultra bonds up 1-08/32 at 156-08 (155-05L/156-13H)

* Jun 30-yr Bond futures up 26/32 at 143-06 (142-16L/143-09H)

* Jun 10-yr futures up 06/32 at 119-16 (119-09L/119-17.5H)

* Jun 5-yr futures up 1.75/32 at 113-13.75 (113-10.5L/113-15.25H)

* Jun 2-yr futures up 0.25/32 at 106-0.75 (106-00L/106-01.5H)

US EURODOLLAR FUTURES CLOSE: Euro dollar future trading higher across the strip,

long end at/near session highs. Current White pack (Jun'18-Mar'19):

* Jun'18 +0.010 at 97.645

* Sep'18 +0.010 at 97.515

* Dec'18 +0.010 at 97.370

* Jun'19 +0.015 at 97.265

* Red pack (Jun'19-Mar'20) +0.015-0.020

* Green pack (Jun'20-Mar'21) +0.020-0.025

* Blue pack (Jun'21-Mar'21) +0.025-0.035

* Gold pack (Jun'22-Mar'22) +0.035-0.050

MONTH-END EXTENSIONS: Bloomberg-Barclays US month-end index extensions compared

to the average increase for the past year and the same time in 2017.

*.....................Projected...1Y Avg Incr..Last May

*US Tsys.................0.06........0.06........0.05

*Agencies................0.02........0.08........0.07

*Credit..................0.06........0.05........0.05

*Govt/Credit.............0.06........0.06........0.05

*MBS.....................0.07........0.05........0.14

*Aggregate...............0.06........0.05........0.08

*Long Govt/Credit........0.04........0.01.......-0.03

*Interm Credit...........0.06........0.04........0.06

*Interm Govt.............0.05........0.04........0.05

*Interm Govt/Cred........0.06........0.03........0.06

*High Yield..............0.07........0.00........0.01

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0013 to 1.7044% (+0.0013/wk) 

* 1 Month +0.0063 to 1.9070% (+0.0100/wk)

* 3 Month -0.0007 to 2.3580% (-0.0072/wk)

* 6 Month -0.0022 to 2.5195 (+0.0127/wk)

* 1 Year +0.0104 to 2.7803% (+0.0200/wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): up to 1.72% vs. 1.71% prior, $725B

* Broad General Collateral Rate (BGCR): steady at 1.67%, $333B

* Tri-Party General Collateral Rate (TGCR): steady at 1.67%, $321B

US SWAPS: Spds running steady/mixed by the close, holding range after spd curve

steepened early with wings on respective lows/highs. Earlier post data flow

includes $500m payer in 1s at 2.5371%, modest paying in 2s at 2.748%, two-way

receiving/paying in 5s on modest volume, mixed curve flows $92.7k DV01 2Y-5Y

STEEPENER and $100.7k DV01 5Y-7Y FLATTENER. Volume evaporated in second half,

light 2-way squaring into weekend. Latest spd levels:

* 2Y  -0.88/24.81

* 5Y  -0.12/10.88

* 10Y +0.00/3.12

* 30Y +0.75/-11.25

PIPELINE: No new supply Friday after $23.25B priced on week

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

Potential issuance this week:

* $Benchmark, United Technologies

* $Benchmark, Coca-Cola (KO)

* $Benchmark Qualcomm, history of large annual issuance

- 

$2.5B Priced Thursday

04/26 $2B *Capital One $1.25B 3Y +85, $750M 7Y +130

04/26 $500M *Turk Eximbank 6Y MS +330

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

- Apr 30 Mar personal income (0.4%, 0.4%) 0830ET

- Apr 30 Mar current dollar PCE (0.2%, 0.4%) 0830ET

- Apr 30 Mar total PCE price index (0.2%, 0.2%) 0830ET

- Apr 30 Mar core PCE price index (0.2%, --) 0830ET

- Apr 30 Apr ISM-Milwaukee Mfg Index 0900ET

- Apr 30 Apr MNI Chicago PMI (57.4, 57.8) 0945ET

- Apr 30 Mar NAR pending home sales index (107.5, --) 1000ET

- Apr 30 Apr Dallas Fed manufacturing index (21.4, --) 1030ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

Blocks, 1156:05-:14ET, adds to 5k in pit

* total +20,000 short Jun 71 calls, 5.0

* 2,500 Jun 75/77 call over risk reversal at 0.75

* 5,500 Short Jun 70/72 Strangle at 5

UPDATE: Total 20,000 Sep 72/73 put spds at 1.5, adds to BLOCK of 10,000 at 1.75

* 3,000 Blue Sep 68 Straddle at 34

* 3,000 Blue Dec 68 Straddle at 44

UPDATE: Total 7,000 Blue Dec 68/73 1x2 call sprd at 11 vs 9690-90.5/0.15%

UPDATE: Total 12,000 Short Dec/Blue Dec 80 call at 0

UPDATE: Total 15,000 Sep 72/73 put spds at 1.5-1.75

* 10,000 Short Dec/Blue Dec 80 call at 0

UPDATE: Total 4,350 Short Sep 71 Straddle at 26

* 21,000 Dec 78 call at 1.5 vs 9740/0.08%

* 5,000 Blue Dec 68/73 2x1 put sprd at 11 vs 9690/0.15%

* 3,000 Short Sep 71 Straddle at 26

* 10,000 Short Dec 67/70 put sprd over Short Dec 75 call at 5.5

* 10,000 Mar 68/71 put sprd vs Jun 67/70 put sprd, on screen

* 2,000 Mar 72 Straddle at 29

* 2,500 Short May 71 put at 2.5

* 1,000 Short June 70/72 iron fly at 8.5

* 3,000 Short Jun 70/72 Strangle at 5

UPDATE: Total 7,500 Green May 71 call at 1.0 vs 9698/0.10%

* 2,500 Green May 71 call at 1.0 vs 9698/0.10%

UPDATE: Total 5,000 Blue Sep 61/63 2x1 put sprd at 0.5

UPDATE: Total 8,750 Jun 76/77 1x2 call sprd at 2.5

* 2,500 Mar 70/71 put sprd over Mar 77 call at 1.5 vs 9725/0.25%

* 6,000 Jun 76/77 1x2 call sprd at 2.5

* 1,000 Blue Sep 68/70 Strangle at 28.5

* 1,000 Short Dec 67/75 Strangle at 11.5

* 3,000 Blue Sep 61/63 2x1 put sprd at 0.5

* 2,000 short Jun 68/70/71 put flys

* 1,000 Green Dec 65/66/68/73 broken put condors

* 7,000 short May 70 puts, cab

* 2,000 short Jun 68/70/71 put flys

* 3,500 short Jul 73 calls, 2.5

* 1,375 short Mar 67/68/70 and 71/72/73 put flys

Block, 0733:17ET,

* 10,000 Sep 72/73 put spds, 1.75, decent two-way in spd around 2.0 this month

after early April buying at 1.5

Tsy options/Pit/screen:

* -3,000 USM 140/146 put over risk reversals, 2/64

* -5,000 FVM 112.5/113 put spds, 4.5/64 vs. 113-15/0.15%

* 5,000 TYM 119.5/120.5 1x2 call spds, 7/64 vs. 119-12 to -14

* 2,500 TYN 119.5/120.5 put spds

* 2,500 TYN 118/121 put over risk reversals, 12/64

* 3,000 TYM 119/120 put spds, 32/64 vs. 119-13.5/0.32%

* +1,500 FVM 112.5 puts, 3/64, well offered

* -2,150 TYM 119/120 put spds, 34- to 33/64

* -1,000 TYM 119.25 straddles, 62/64

* 2,000 FVM 113.5 calls, 17/64 vs. 113-14.75

* -1,200 TYN 119 straddle, 1-23/64 pre-data

* -6.7k TYM8 117.75 puts at '04

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

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