US TSYS: TSY 10y YLD REJECTS EARLY MOVE ABOVE 3%

US TSY SUMMARY: Deceptively quiet session/limited dat w/housing #s strong,

curves surge steeper late (2s10s +2.702, 52.165; 2s30s +4.251, 70.544; 5s30

+3.221, 35.323). Tsy 10Y yld broke 3% earlier/rejected move but is back over

2.99% after the bell, potentially spurring additional selling in 30Y bond,

weaker hands unwinding flatteners.

- US$ index reversed early gains (DXY -.180, 90.766 vs. 91.076H; US$ vs. Yen at

108.7 after climbing to 109.2 earlier -- spurred FX-acct selling in Tsys.

Equities cratered later in the second half (emini -46.75, 2624.5), had started

w/heavy selling in FANG shares followed by Caterpillar (CAT) reversing strong

gains to trade >4% lower. Sources pointed ot Apple, 3M, Travelers and CAT made

up appr 260pt of Dow decline.

- $32B 2Y note auction, small .3 tail after 2Y awarded a 2.498% rate (2.310%

previous) w/bid/cover 2.61 vs. 2.91 previous (2.85 avg).

- Heavy option volume, w/upside calls making lions share (+100k each EDM 81

calls, E2M 78 Eurodollar calls; +20k TYN 126.5 calls, 1/64).

- Late ylds: 2Y 2.466%, 3Y 2.625%, 5Y 2.819%, 7Y 2.946%, 10Y 2.992%, 30Y 3.176%

US TSY FUTURES CLOSE: Curves run steeper, Treasury futures near session lows on

long end, short end at/near session highs. Curve updates:

* 2s10s +2.141, 51.604 (51.834H/47.548L);

* 2s30s +3.918, 70.211 (67.539H/64.228L);

* 5s30s +3.488, 35.506 (36.029H/30.482L);

Current futures levels:

* Jun Ultra bonds down 28/32 at 155-01 (154-31L/156-13H)

* Jun 30-yr Bond futures down 16/32 at 142-15 (142-12L/143-09H)

* Jun 10-yr futures down 01/32 at 119-09.5 (119-04L/119-14.50H)

* Jun 5-yr futures up 0.75/32 at 113-11.5 (113-07L/113-12H)

* Jun 2-yr futures up 0.75/32 at 106-01 (105-30.75L/106-0.25H)

US EURODOLLAR FUTURES CLOSE: Trading at/near session highs, higher across the

short end, long end has backed off. Current White pack (Jun'18-Mar'19):

* Jun'18 Even at 97.630

* Sep'18 +0.005 at 97.505

* Dec'18 +0.005 at 97.360

* Jun'19 +0.010 at 97.255

* Red pack (Jun'19-Mar'20) +0.010-0.015

* Green pack (Jun'20-Mar'21) +0.010

* Blue pack (Jun'21-Mar'21) +0.005-Even

* Gold pack (Jun'22-Mar'22) -0.005-0.015

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 TSYS/RESEARCH: The latest JPM Treasury Client Survey, longs gained (+4%),

neutrals slip by like amount, shorts steady. JPM details all clients survey

shows the "fewest net shorts since April 2" while the "active clients survey is

in line with its 4-week average."

* All Clients

* Date     Long   Neutral  Short  Changes

* 04/02     21      43       36     11

* 04/16     17      47       36      6

* 04/09     15      53       32     19

* Actives

* Date     Long   Neutral  Short  Changes

* 04/02     30      20       50     30

* 04/16     30      10       60     30

* 04/09     20      40       40     60

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0000 to 1.7031% (+0.0000/wk) 

* 1 Month +0.0012 to 1.8982% (+0.0014/wk)

* 3 Month +0.0021 to 2.3616% (+0.0024/wk)

* 6 Month +0.0006 to 2.5162 (+0.0050/wk)

* 1 Year +0.0000 to 2.7687% (+0.0084/wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): down to 1.70% vs. 1.72% prior, $755B

* Broad General Collateral Rate (BGCR): steady at 1.67%, $348B

* Tri-Party General Collateral Rate (TGCR): steady at 1.67%, $331B

US SWAPS: Pretty decent turn-around for swap spds on the day, spd curve well off

steeper levels arouns midday to flatter on the day, wings reversing respective

wides/narrows. Heavier flow w/deal-tied hedging in the mix, two-way curve flow,

payer unwinds out the curve late. Latest spd levels:

* 2Y  +0.19/27.31

* 5Y  -0.06/10.69

* 10Y -0.25/2.50

* 30Y -0.50/-13.25

PIPELINE: Waiting On Multiple Names to Price

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

04/24 $397.5M *Harvest Operations Corp 5Y +140

04/24 $2.85B #US Bankcorp $1B 3Y fix +53, $1B 3Y FRN +32, $850M 10Y +95

04/24 $3B #Royal Bank of Canada $1.5B 3Y fix +60/$1.5B 3Y FRN +39

04/24 $950M #State Grid (Overseas Inv 2016 Ltd, CHGRID) 5Y +97.5, 10Y +130

04/24 $750M #Suntrust Banks 7Y +108

04/24 $650M #Aviation Capital Grp 5Y +115

04/24 $1B Kommunalbanken 3Y MS+5

04/24 $2.6B Barcardi Ltd, 7Y, 10Y, 20Y, 30Y

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

- Apr 25 20-Apr MBA Mortgage Applications (4.9%, --) 0700ET

- Apr 25 20-Apr crude oil stocks ex. SPR w/w (-1.07m bbl, --) 1030ET

- Apr 25 US TSY TO SELL $17.000 BLN 2Y FRN, SETTLE APR 30 1130ET

- Apr 25 US TSY TO SELL $35.000 BLN 5Y NOTES, SETTLE APR 30 1300ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 1,500 Green May 68/70 Strangle at 7

* 1,500 Green Sep 68/70 Strangle at 29

* 5,000 Green Dec 63 at 4.5

UPDATE: 23,000 Dec 72/73 put sprd at 6

Blocks, 1419-1424ET, adds to -10k/pit

* total -20,000 Dec 72/73 put spds, 6.0 vs. 97.34

* 8,500 Dec 70/72 put sprd at 5.5

UPDATE: 7,000 Short May 71 Straddle at 8.5

* 3,500 Dec 70/72 put sprd at 5.5

* 5,000 Short Jun 70 put/Green Jun 67 put at 5

* 4,000 Short Jun 75 at 1 vs 9716/0.05%

* 7,000 Blue May 68/70 Strangle at 7 vs 9691.5/0.10%

UPDATE: Total 15,000 Dec 71/73 2x1 put sprd at 6.5

UPDATE: Total 5,000 Oct 72/73 Strangle at 13.5

UPDATE: Total 28,500 Mar 67/68 put sprd at 2 vs 9719/0.10%

* 2,500 July 73/75 put sprd at 4.5

UPDATE: 2,000 Oct 76 call at 2.2

* 2,000 Dec 71 put at 3.5

* 2,000 Oct 76 put at 2.2

* 5,000 Dec 71/73 2x1 put sprd at 6.5

UPDATE: Total 7,000 Green Dec 66/68 put sprd at 30

* 4,000 Jun 72 Straddle at 30

Total 40,000 Blue May 71 call at 0.5

UPDATE: Total 64,250 Blue Jun 70/72 call sprd trading 3 over Blue Jun 66 put

Total 80,000 Jun 81 calls at CAB

UPDATE: Total 30,000 Short Jun 70 put at 2.5 vs 9713.5/0.25%, adds to 20,000

Latest Block, 1051:23ET, adds to -10k blocked earlier

* -10,000 short Jun 70 puts, 2.5 vs. 97.135/0.25%

* 20,000 Short Jun 70 put at 2.5 vs 9713.5/0.25%

* 4,850 Green Sep 70 Straddle at 34

* 2,000 Green Dec 66/68 put sprd at 30

* 3,000 Jun 67/70 put sprd at 8 vs 9710.5/0.10%

UPDATE: Total 19,500 Mar 67/68 put sprd at 2 vs 9719/0.10%

UPDATE: Total 13,000 Short Jun 70 put at 3 vs 9712.5/0.25%

* 14,000 Mar 67/68 put sprd at 2 vs 9719/0.10%

* 2,223 Short May 68/71 put sprd at 3.5

* 2,223 Blue May 65/68 put sprd at 3.5

UPDATE: Total 29,500 Short Jun 70 put/Short Sep 67 put at 6.5

UPDATE: Total 6,250 Jun 63/70 3x1 put sprd at 1.5

UPDATE: Total 8,500 Green May 67/72 iron fly at 11.5 vs 9694.5/0.20%

UPDATE: Total 5,000 Green Sep 71 call at 9.5

* 1,750 Jun 63/70 3x1 put sprd at 1.5

UPDATE: Total 19,500 Short Jun 70 put/Short Sep 67 put at 6.5

* 4,000 Short Jun 70 put at 2.5 vs 9713.5/0.25%

Latest Block, 0926:46ET,

* 10,000 short Jun 70 puts, 2.5 vs. 97.135/0.25%, post time bid

* 10,000 Sep 76/77 1x2 call at CAB

* 2,000 Blue Sep 68 Straddle at 35.5

* 2,500 Short Jun 70 put/Short Sep 67 put at 6.5

* 3,750 Green Sep 71 call at 9.5 vs 9694/0.34%

* 4,000 Short Dec 67/70 put sprd at 14.5/Short Dec 75 call

UPDATE: 5,000 Short May 71 Straddle at 8.5

* 3,000 Blue May 68/70 put over risk reversal at 1.5 vs 9691.5/0.66%

* 12,000 Green Jun 68/70/71 Put fly at 2.5

* 6,000 Short Sep 66/68 put sprd at 5

UPDATE: Total 7,500 Blue Jun 72/75 call sprd at 1.5

* 5,700 Dec 72/73 put sprd at 6

* 1,500 May 76/Jun 75 2x3 at 3

* 2,000 Green Sep 71 call at 9.5

* 9,000 Short Jun 75 call at 1 vs 9716/0.05%

* 2,000 Jun 76 Straddle at 8

* 2,500 May 76/77 put over risk reversal at 1.75

* 5,000 Blue Jun 72/75 call sprd at

* 4,000 Short May 71 Straddle at 8.5

* 2,145 Blue May 66/67/70 put fly at 8.5

* 9,000 Sep 73/75 put sprd at 5.5

* 5,000 Green May 67/70/72 iron fly at 11.5 vs 9694.5/0.20%

Modest screen volume seeing boost after

* 11,900 Red Jun'19 75/80 put spd last few minutes

Additional trade includes

* 3,500 Dec 70/72 put spds vs. Dec 73/76 call spds

* 9,125 short Sep 67 puts, 3.5

* 2,500 Green Sep 67/70/71 put trees

Tsy options, Pit/screen:

* +2,000 TYM 120 calls, 14/64 vs. 119-14

Recent duration weighted 5s10s conditional flattener:

* +2,600 TYN 118.5 puts at 36/64 vs. -5,200 FVQ 113.75 calls, 15.5 vs.

113-08.75/0.50%

* 2,000 TYM 118/118.5 put spds, 7/64

* 3,000 TYU 116 puts, 15/64 vs. 119-07/0.16%

* 4,000 TYM 119/120.5 put over risk reversals, 19/64 vs. 119-08.5/0.56%

* 1,500 wk2 TY 118.7/119 put spds, 35/64

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

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