US TSYS: TSY CURVES BEAR STEEPEN IN LEAD-UP TO APR FOMC

US TSY SUMMARY: Tsy trading at/near session lows after the bell, albeit amid

light futures volume (TYM<825k) w/ Japan out for wk. Curves bear steepen w/scale

buying in Jun 2Y futures (106-15 to -106-15.12) early, followed by large Block

sales in FVM from 115-19 to 115-15.25. Equities near late session highs (SPX

+8.0, 2949.5); US$ index reversed early gains/low end narrow range (DXY -0.147,

97.859).

- Light deal-tied flow, better short end buying fast$, props, bank portfolio

selling intermediates. 

- On tap for Tuesday: Q1 ECI; Redbook retail sales m/m; ISM-Milwaukee Mfg Index;

Case-Shiller Home Price Index; MNI Chicago PMI; NAR pending home sales index;

Conference Board confidence; Dallas Fed services index; FOMC policy meeting

kicks off.

- The 2-Yr yield is up 1.4bps at 2.2962%, 5-Yr is up 2.8bps at 2.3166%, 10-Yr is

up 3.6bps at 2.5342%, and 30-Yr is up 4.1bps at 2.9642%.

US TSY FUTURES CLOSE: Trading near late session lows after the bell, curves bear

steepening amid muted volume (TYM<825k). Latest levels:

* 3M10Y  +4.125, 12.273 (L: 8.187 / H: 12.814)

* 2Y10Y  +2.183, 23.597 (L: 21.161 / H: 23.958)

* 2Y30Y  +2.75, 66.673 (L: 60.821 / H: 66.953)

* 5Y30Y  +1.331, 64.674 (L: 60.35 / H: 64.92)

Current futures levels:

* Jun 2-Yr futures (TU) down 0.5/32  at 106-14.5 (L: 106-13.75 / H: 106-15.375)

* Jun 5-Yr futures (FV) down 3.5/32  at 115-15.5 (L: 115-14.5 / H: 115-19.75)

* Jun 10-Yr futures (TY) down 7.5/32  at 123-14 (L: 123-12.5 / H: 123-22.5)

* Jun 30-Yr futures (US) down 21/32  at 146-30 (L: 146-27 / H: 147-21)

* Jun Ultra futures (WN) down 37/32  at 163-17 (L: 163-14 / H: 164-25)

US EURODLR FUTURES CLOSE: Sitting on session lows by the close, front end

outperforming. Current White pack (Jun'19-Mar'20):

* Jun 19 +0.005 at 97.450

* Sep 19 -0.005 at 97.525

* Dec 19 -0.010 at 97.540

* Mar 20 -0.010 at 97.645

* Red Pack (Jun 20-Mar 21) -0.02 to -0.01

* Green Pack (Jun 21-Mar 22) -0.035 to -0.025

* Blue Pack (Jun 22-Mar 23) -0.04 to -0.035

* Gold Pack (Sep 22-Jun 23) -0.04 to -0.035

US DOLLAR LIBOR: Latest settles

* O/N -0.0103 at 2.3897% (+0.0089 last wk)

* 1 Month +0.0027 to 2.4858% (+0.0023 last wk)

* 3 Month -0.0037 to 2.5790% (+0.0016 last wk)

* 6 Month -0.0037 to 2.6120% (-0.0133 last wk)

* 1 Year -0.0045 at 2.7130% (-0.0288 last wk)

US TSYS: REPO REFERENCE RATES: (rate, volume) 

* Secured Overnight Financing Rate (SOFR): 2.46%, $982B

* Broad General Collateral Rate (BGCR): 2.45%, $457B

* Tri-Party General Collateral Rate (TGCR): 2.45%, $440B

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

30-Apr ---- FOMC policy meeting day 1

30-Apr 0830 Q1 ECI (0.7%, 0.8%)

30-Apr 0855 27-Apr Redbook retail sales m/m (1.2%, --)

30-Apr 0900 Apr ISM-Milwaukee Mfg Index (50.05, --)

30-Apr 0900 Feb Case-Shiller Home Price Index (0.1, --)

30-Apr 0945 Apr MNI Chicago PMI (58.7, 59.7)

30-Apr 1000 Mar NAR pending home sales index (101.9, --)

30-Apr 1000 Apr Conference Board confidence (124.1, 126.5)

30-Apr 1030 Apr Dallas Fed services index (-4.4, --)

30-Apr 1500 Mar farm prices

US SWAPS: Spds running mildly tighter, at/near narrows by the close, long end

leading move. Light flow on net, some deal-tied flow earlier, 2s4s5s receiver

fly in second half. Latest spd levels:

Time (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Mon 3:00    -0.12/10.25   -0.31/3.12     -0.50/-1.75   -0.62/-24.00

1:30        -0.31/10.06   -0.25/3.19     -0.50/-1.75   -0.44/-23.81

12:45       +0.06/10.44   -0.25/3.19     -0.44/-1.69   -0.38/-23.75

11:15       +0.31/10.69   -0.25/3.19     -0.38/-1.62   -0.31/-23.69

10:00       -0.12/10.25   -0.25/3.19     -0.25/-1.50   -0.25/-23.62

Mon Open    +0.44/10.81   +0.19/3.62     -0.06/-1.31   +0.00/-23.38

Mon 7:00    +0.12/10.50   -0.19/3.25     -0.19/-1.44   -0.12/-23.50

Fri 3:00    +1.06/10.75   +0.06/3.50     -0.06/-1.19   -0.38/-23.25

Friday recap: Spds running mixed, spd curve flatter with short end moving wider

amid moderate rate paying in 2s-5s, possible knock-on effect massive front end

selling July FF futures. Not much in the way of supply tied hedging latter half

of week, well off $15-20B est, no Tsy note auctions next week either.

PIPELINE: Estimated $15-20B for week

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

04/29 $Benchmark JP Morgan Chase, 11NC10 +125a

04/29 $Benchmark Philip Morris 5Y +80a, 10Y +105a

04/29 $300M AEP Texas 30Y +125a

04/29 $300M Guardian Life WNG 5Y +75a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* +10,000 front Mar/Green Mar 76 put spds, 0.75 net/EDH over

* +6,000 Oct 78 calls, 3.5

* +7,000 Green Dec 70 puts, 1.5 vs. 97.73/0.05%

* +10,000 Sep 78/80 call spds 0.75 vs. 97.535/0.12%

* +4,000 Green Sep 72/75 2x1 put spds, 1.5

* +10,000 Aug 76/77 call spds 2.25 w/ Aug 78/80 call spds, 0.5, 2.75 total

* 10,000 Jul 75 calls, 6.5 vs. 97.52

* 8,000 Dec 76/78/80 call trees, 3.0 net

* +40,000 Aug 77/80 1x2 call spds, 0.5 vs. 97.53/0.06%

* +5,000 Sep 77/78 call spds 1.0 over the Jun 76/77 call spds

* 3,000 Mar 76/78/80/82 call condors, 5.0

* 2,500 Mar 76/77/80 1x call flys, 1.5

* 2,000 short May 76/77/78 call flys, 4.5

* +3,000 Sep 75/76 2x3 call spds, 3.5

* 1,200 Jul 75 straddles, 11.5 vs. 97.505

Tsy options, Pit/screen:

* +5,200 TYM 127.75 calls, 1/64

* +41,700 TYM 128 calls, 1/64

* +10,000 FVM 112 puts, 0.5

* +8,000 TYM 127.5 calls w/ USM 134/134.5 put strip, 3/64 total

* +5,100 TYM 127.5 calls w/ USM 137 puts, paid 1/64 for each leg

* -1,000 TYM 122.5/123.5124.5 iron fly 1x3, 7/64 straddle sold over

Large opener, buyer continues to reload

* Update, +37,000 FVM 112.25 puts on screen, .5/64 after buy of 115k FVM 112.5

puts. One desk views the OTM put buys not as directional plays, but as VAR

(value at risk) insurance trades -- looking to hedge portfolio risk tied to

yield associated with corresponding puts.

Large opener

* 115,000 FVM 112.5 puts on screen, .5/64

* starting to see the FVM 112.25 puts trading as well -- only 13,000 so far

* +14,000 FVM 117.5 calls, 1/64 trading small on screen as well

* +5,000 TYM 121/121.75 put spds, 2/64

* recent sellers TYM 123.5 straddles, 57/64

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

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