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AUSSIE BONDS

Dragged Flatter By U.S. Tsys Overnight

US TSYS

Flat Re-Open

AUD

Attempted Recovery Short Lived

AUSSIE 10-YEAR TECHS

(U1) Uptrend Weakening

AUSSIE 3-YEAR TECHS

(U1) New Contract Low

     
US TSY SUMMARY: Rates drifting around top end of narrow range on very light
volume trade (TYM<925k) by the bell. Tsys tracked CAD bonds higher earlier after
weaker than expected BoC Q1 outlook survey tied to energy, trade and housing, 3
ongoing issues. Equities mildly weaker (SPX -2.5 at 2910.0); US$ index mildly
lower (DXY -.015, 96.957).
- Quiet start to shortened pre-holiday week, limited data doesn't pick up until
Thu's session, mkts (including cash) closes Fri.
- First half flow included fast$ and prop acct buying 5s, real$ and bank
portfolio buying long end, moderate Eurodollar option flow, unwinding near
expiry Jul put spds and Green Dec 73/83 strike roll.
- On tap for Tuesday: April NY Fed Business Leaders Index; Redbook retail sales;
March industrial production and capacity utilization; NAHB home builder index
for April. Fed Blackout kicks off April 20 through May 2.
- The 2-Yr yield is down 0.2bps at 2.3895%, 5-Yr is down 1.3bps at 2.3668%,
10-Yr is down 1.6bps at 2.5489%, and 30-Yr is down 1.6bps at 2.9611%.
US TSY FUTURES CLOSE: Drifting near top end narrow range, quiet start to
shortened pre-Easter holiday week. Very light volume (TYM<925k), inside range
day. Curves mostly flatter but off lows, update:
* 3M10Y  +0.291, 13.848 (L: 11.77 / H: 14.188)
* 2Y10Y  -1.075, 15.889 (L: 15.118 / H: 16.919)
* 2Y30Y  -1.077, 57.058 (L: 56.331 / H: 58.23)
* 5Y30Y  -0.262, 59.235 (L: 58.299 / H: 60.217)
Current futures levels:
* Jun Ultra futures (WN) up 6/32  at 163-22 (L: 163-05 / H: 163-26)
* Jun 30-Yr futures (US) up 4/32  at 147-1 (L: 146-22 / H: 147-04)
* Jun 10-Yr futures (TY) up 2/32  at 123-5 (L: 122-31 / H: 123-06)
* Jun 5-Yr futures (FV) up 0.5/32  at 115-6.25 (L: 115-03 / H: 115-07)
* Jun 2-Yr futures (TU) steady at  at 106-8.875 (L: 106-08 / H: 106-09.5)
US EURODLR FUTURES CLOSE: Steady to marginally mixed after the bell, short end
under pressure all day even after 3M LIBOR set -0.0130 to 2.5880% (+0.0089 last
wk). Very quiet start to shortened week. Current White pack (Jun'19-Mar'20):
* Jun 19 -0.010 at 97.415
* Sep 19 -0.010 at 97.450
* Dec 19 -0.005 at 97.450
* Mar 20 steady00 at 97.550
* Red Pack (Jun 20-Mar 21) steady to +0.005
* Green Pack (Jun 21-Mar 22) -0.005 to steady
* Blue Pack (Jun 22-Mar 23) -0.005 to steady
* Gold Pack (Jun 23-Mar 24) steady to +0.005
US DOLLAR LIBOR: Latest settles
* O/N +0.0004 at 2.3926% (-0.0015 last wk)
* 1 Month -0.0035 to 2.4738% (+0.0057 last wk)
* 3 Month -0.0130 to 2.5880% (+0.0089 last wk)
* 6 Month -0.0001 to 2.6376% (-0.0069 last wk)
* 1 Year +0.0065 at 2.7548% (-0.0028 last wk)
US TSYS: REPO REFERENCE RATES: (rate, volume) 
* Secured Overnight Financing Rate (SOFR): 2.44%, $955B
* Broad General Collateral Rate (BGCR): 2.40%, $457B
* Tri-Party General Collateral Rate (TGCR): 2.40%, $426B
US SWAPS: Spds still mostly wider, long end extending move into midday. Light
flow on net, receivers in 2s at 2.501%, 5s at 2.4056% and 10s at 2.5445%; payer
in 3s at 2.4406%. Earlier, mild receivers in 2s and 3s after the open, rate
paying in 5s at 2.4310%. Latest spd levels:
Time (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid
1:45        -0.19/9.86    +0.50/3.50     +0.62/-1.00   +1.12/-23.88
11:30       -0.10/9.94    +0.50/3.50     +0.50/-1.12   +1.00/-24.00
9:45        -0.16/9.88    +0.44/3.44     +0.38/-1.25   +0.75/-24.25
Mon Open    +0.28/10.31   +0.44/3.44     +0.31/-1.31   +0.31/-24.69
Mon 7:30    +0.72/10.75   +0.50/3.50     +0.25/-1.38   +0.25/-24.75
Fri 3:00    +1.12/10.00   +0.19/3.12     +0.25/-1.38   +0.50/-24.75
OUTLOOK: *** Data/speaker calendar (prior, estimate):
16-Apr 0830 Apr NY Fed Business Leaders Index (10.8, --)
16-Apr 0855 13-Apr Redbook retail sales m/m (0.1%, --)
16-Apr 0915 Mar industrial production (0.0%, 0.2%)
16-Apr 0915 Mar capacity utilization (79.1%, 79.2%)
16-Apr 1000 Apr NAHB home builder index (62.0, --)
16-Apr 1400 Dal Fed Pres Kaplan, Community Forum Dal Fed, TX, Q&A
PIPELINE: $2.7B BMW 4-part launched
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
04/15 $2.7B #BMW US Capital $750M 3Y fix +60, $300M 3Y FRN L+53, $1B 5Y +80,
$650M 10Y +110
04/15 $400M *Shinhan Bank 10Y tier 2 +157.5
04/15 $Benchmark America Movil 10Y +135a, 30Y +165a
04/16 $Benchmark KFW 2Y +1a
04/? $Benchmark Tokyo Metropolitan Gov 3-7Y US$ or Euro issue chatter
04/? $Benchmark Waste Management
Eurodollar/Tsy options:
Eurollar options, Pit/screen:
* Update, total 35,000 Jul 72/73 put spds, 0.75 vs. 97.46/0.08%
* Update, total +9,000 Jul 75/76 call spds, 1.5 vs. 97.46/0.10%
* 6,500 Jul 72/73 put spds, 0.75 vs. 97.46/0.08%
* +4,000 Jul 75/76 call spds, 1.5 vs. 97.46/0.10%
* +3,000 Blue Sep/Blue Mar 76 straddle spds, 15.5
* -3,000 Green Sep 75/80 2x3 call spds, 34.5
* +8,000 short May 75/77 R/R, 1.0
Block, 1149:15ET, adds to 20k in pit earlier
* 10,000 Sep 73 puts vs. 20,000 78 calls, 0.5 net on 1x2 spd
Block, 1004:13ET, 3k more in pit
* +10,000 Mar/Red Sep 70/72 put spds spds, 1.5 net/Sep over vs/ 97.66/0.10%
Block, 0859:40T,
* 27,500 Green Dec 73/83 call spds, 34.5 vs. 97.71/0.64%
* +18,500 Jul 73/76 call over risk reversals, 0.5 vs. 97.46/0.25%
* 18,000 Sep 73 puts vs. 36,000 78 calls, 1x2 spd 0.5 net
* 5,000 short Dec 75/77 strangles, 28.5
Block, 0833-0834ET, adds to earlier 30k screen/block trades
* -30,000 Mar 78 calls, 8.0 vs. 97.53/0.24%
* -30,000 Mar 78 calls, 8-9 (10k blocked 8.0)
* 20,000 short Jul 78/81 call spds w/ short Jul 77/80 call spds, 10.0/block
* 10,000 short Jul 77 puts,
* 7,500 Green Dec 73/83 call spds, 39.0 block
* over 10,000 short Jun 75 puts, 3.5
* +10,000 short Jul 75 puts, 4.5
Tsy options, Pit/screen:
* +4,500 TYK 125 calls, cab12
* 2,000 TYM 122 puts, 10/64
* 2,000 TYK 122.5 puts, 5/64
* 5,000 FVK 115/115.25 put spds, 7.5/64
* +2,100 TYM 122.5/123.5 strangles, 41/64
overnight trade/blocks
* -20,000 TYM 122.5/123.5 put spd, 30/64 blocked
* -20,000 TYM 122.5 puts, 18/64
* 24,000 TYM 123.5/124/125 broken call trees, 5
* 5,000 TYK 123/124 call spds, 18
* 11,000 USM 154 calls,3/64
* over 10,000 FVK 115.25/115.75 call spds, 8/64
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com