US TSYS: STRONG US$ WEIGHS ON TSYS AHEAD WED FOMC ANNC

US TSY SUMMARY: Rates trading weaker all day on the back of strong US$ (DXY

index +.610, 92.451 vs. 92.566 high; US$/Yen near session high late at 109.840).

FI trade exceptionally quiet/low volume (TYM <680k) with much of Asia and

European markets closed for extended spring holidays.

- Equitys rebounds late (emini -3.0, 2644.0 vs. 2623.25L); gold weaker (XAU

-9.55, 1305.80); West Texas crude weaker (WTI -1.08, 67.49).

- Day one of two day FOMC policy meeting, no fireworks expected. However, latest

MNI PINCH OIS-based model shows May rate hike probability has crept up to 10.0%

today (traders fading); Focus remains on June as the next FOMC rate hike (100%

priced in according to MNI PINCH).

- No react to data, Tsys held lows post ISM, const spending data. DBRS confirmed

US rating at AAA, trend stable. Accts sidelined ahead Tsy refunding 0830ET Wed,

FOMC annc 1400ET Wed, April NFP 0830ET Fri

- Modest FI option trade/mixed flow, modest corporate issuance, waiting for

details on Lloyds 3Y fix/FRN, 7Y fix.

- Tsy ylds: 2Y 2.504%, 3Y 2.646%, 5Y 2.814%, 7Y 2.927%, 10Y 2.968%, 30Y 3.131%

US TSY FUTURES CLOSE: Treasury futures trading weaker on the back of strong US$

(DXY index +.502, 92.343 vs. 92.566 high; US$/Yen 109.6 after tapping 109.79

high earlier). Aside from US$ support, FI trade exceptionally quiet/low volume

(TYM <820k) with much of Asia and European markets closed for extended spring

holidays. Curves slightly flatter. Curve update:

* 2s10s -0.132, 45.982 (46.822H/45.234L);

* 2s30s -0.808, 62.368 (63.417H/61.445L);

* 5s30s -0.867, 31.617 (32.693H/31.205L);

Current futures levels:

* Jun Ultra bonds down 31/32 at 156-05 (155-26L/156-24H)

* Jun 30-yr Bond futures down 19/32 at 143-07 (142-31L/143-20H)

* Jun 10-yr futures down 07/32 at 119-13 (119-11.5L/119-18.5H)

* Jun 5-yr futures down 04/32 at 113-12.25 (113-11L/113-15.25H)

* Jun 2-yr futures down 01/32 at 105-31.75 (105-31.25L/106-0.75H)

US EURODOLLAR FUTURES CLOSE: Eurodollar futures trading steady/mix in short end,

at/near session lows in the long end of strip. Current White pack

(Jun'18-Mar'19):

* Jun'18 +0.005 at 97.635

* Sep'18 -0.005 at 97.505

* Dec'18 -0.010 at 97.345

* Jun'19 -0.010 at 97.235

* Red pack (Jun'19-Mar'20) -0.025-0.035

* Green pack (Jun'20-Mar'21) -0.035-0.040

* Blue pack (Jun'21-Mar'21) -0.030-0.035

* Gold pack (Jun'22-Mar'22) -0.025-0.035

US DOLLAR LIBOR: Latest settles,

* O/N +0.0007 to 1.7044% (+0.0000/wk)

* 1 Month -0.0006 to 1.9087% (+0.0017/wk)

* 3 Month -0.0092 to 2.3537% (-0.0043/wk)

* 6 Month +0.0025 to 2.5142 (-0.0053/wk)

* 1 Year -0.0041 to 2.7659% (-0.0144/wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): climbs to 1.77% from 1.72% prior,

$775B

* Broad General Collateral Rate (BGCR): up to 1.72 vs. 1.68% prior, $341B

* Tri-Party General Collateral Rate (TGCR): up to 1.71% vs. 1.68% prior, $325B

US SWAPS: Spds holding mildly tighter across the curve by the bell, short end

off lows. Muted flow included some deal-tied hedging in the short end to

intermediates, 2Y switch around 2.755-.7438%, payer in 3s at 2.8504%, bank

receiver in belly. Latest spd levels:

* 2Y  -0.50/25.12

* 5Y  -0.50/11.12

* 10Y -0.44/2.81

* 30Y -0.50/-11.25

PIPELINE: $3.75B Lloyds 3Y fix/FRN, 7Y fix Launched

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

05/01 $3.75B #Lloyds, $1.25B 3Y fix +70, $1B 3Y FRN L+49, $1.5B 7Y fix +153

05/01 $500M #Consumer Energy Co 30Y +97

05/01 $800M American Builders & Contractors 8NC3 Sr notes

Potential issuance this week:

* $Benchmark, United Technologies

* $Benchmark, Coca-Cola (KO)

* $Benchmark Qualcomm, history of large annual issuance

OUTLOOK: Data/speaker calendar (prior, estimate)

- May 02 FOMC policy meeting day 2

- May 02 27-Apr MBA Mortgage Applications (-0.2%, --) 0700ET

- May 02 Apr ADP private payrolls (241k, --) 0815ET

- May 02 Apr ISM-NY current conditions (54.0, --) 0945ET

- May 02 May help-wanted online ratio (1.25, --) 1000ET

- May 02 27-Apr crude oil stocks ex. SPR w/w (2.17m bbl, --) 1030ET

- May 02 FOMC policy announcement, no conference or economic projections 1400ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* -10,000 short Aug 73 calls, 2.5 vs. 97.08/0.12%

* +5,000 short Dec 67/68 put spds 0.5 over the short Dec 75 calls

* -2,500 Green Sep/Green Dec 70 straddle strip, 72.5

* +3,000 short Jun 71/72 2x1 put spds, 2.5 (1:1 sale legged earlier at 8.25)

* -5,000 long Green Jun 68 puts, 27.0 

* +4,000 Mar 85 calls, 0.5

* +5,000 Green Sep 63/65/67 put flys, 3.75

* +10,000 Green Sep 71/73/76 call fly at 3.5

* -5,000 Blue Sep 71/73/76 call fly at 3.5

* -5,000 Blue Sep 71/73/76 call fly at 3.0, 0.25 net/Green Sep over spd

* +5,000 Short Jun 72/73/75 call fly at 1

* appr 15,000 Dec 72/73 put spds on screen, 5.5

* 10,800 Jun 73/75 put sprd, cab on screen

Block, 0413ET

* +5,000 Mar 71/73 put spds 2.0 over the Oct 72/73 put spds

Tsy options, Pit/screen:

* 2,000 TYN 117.5/120.5 put over risk reversals, 2/64 vs. 118-31.5/0.36%

* Update, total +25,000 FVM 114/FVU 113.25 put spds, 1- to 1.5/64, paying up a

half tick to roll out (FVM to FVU) and down (114 to 113.25)

* +5,750 TYN 118 puts, 17/64, 18/64 offered out

* +1,200 TYM 120/121 1x2 call spds, 8/64 vs. 119-18/0.13%

* 1,000 TYM 118.25/120.25 strangles, 17/64

* 1,100 wk1 US 143 puts, 19/64

* +3,600 FVM 113.5/114 call spds, 9.5/64 vs. 113-13.25/0.27%

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

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