US TSYS: TSY BOUNCE W/CAD BONDS AFTER WEAK BOC OUTLOOK

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$]