US TSYS: TSY CURVES EXTEND BEAR STEEPENING 3M10Y 3W HIGHS

US TSY SUMMARY: Rates drifting at late session lows after the bell amid strong

risk-on tone all day. Move kicked off after better than expected China financial

data (exports surged 14.2% in March) spurred bid for global equities, Bunds lead

EGBs lower (10Y Bund yld highest since Mar 21). Equities off session highs (SPX

+17.25 at 2909.0); US$ index off lows to near middle session range (DXY -.191,

96.986).

- Better fast- and real$ selling front end, 5s-10s earlier, dearth of corporate,

swap-tied flows; option acct buying 10s earlier on heavy screen trade,

steepeners/front-end flattener unwinds as 3M10Y steepens to best level in three

weeks.

- On tap for Monday: April Empire Manufacturing Index; February net TICS flows;

13- and 26W bill auctions. Otherwise quiet ahead next week's shortened

pre-Easter holiday weekend; Fed Blackout kicks off April 20 through May 2.

- The 2-Yr yield is up 3.9bps at 2.3934%, 5-Yr is up 6.4bps at 2.3751%, 10-Yr is

up 6.1bps at 2.5579%, and 30-Yr is up 4.6bps at 2.9721%.

US TSY FUTURES CLOSE: Near late session lows by the bell, risk-on tone all day

w/large portion of days volume occurred overnight/early in NY trade. Tsy yld

curves mostly steeper (3M10Y surge), update:

* 3M10Y  +5.63, 12.58 (L: 6.08 / H: 13.245)

* 2Y10Y  +2.356, 16.45 (L: 13.535 / H: 16.45)

* 2Y30Y  +0.66, 57.708 (L: 56.336 / H: 58.024)

* 5Y30Y  -1.873, 59.541 (L: 58.977 / H: 61.492)

Current futures levels:

* Jun Ultra futures (WN) down 32/32  at 163-16 (L: 163-13 / H: 165-01)

* Jun 30-Yr futures (US) down 26/32  at 146-29 (L: 146-26 / H: 148-02)

* Jun 10-Yr futures (TY) down 15.5/32  at 123-2.5 (L: 123-02.5 / H: 123-21.5)

* Jun 5-Yr futures (FV) down 9.25/32  at 115-5.5 (L: 115-05.25 / H: 115-16.25)

* Jun 2-Yr futures (TU) down 2.625/32  at 106-9 (L: 106-08.625 / H: 106-12)

US EURODLR FUTURES CLOSE: Most expirys at moderate session lows after the bell,

short end outperforming, Reds-Greens lead sell-off. Current White pack

(Jun'19-Mar'20):

* Jun 19 -0.015 at 97.425

* Sep 19 -0.025 at 97.455

* Dec 19 -0.045 at 97.450

* Mar 20 -0.060 at 97.550

* Red Pack (Jun 20-Mar 21) -0.085 to -0.07

* Green Pack (Jun 21-Mar 22) -0.08 to -0.075

* Blue Pack (Jun 22-Mar 23) -0.07 to -0.065

* Gold Pack (Jun 23-Mar 24) -0.06 to -0.055

US DOLLAR LIBOR: Latest settles

* O/N +0.0037 at 2.3922% (-0.0015/wk)

* 1 Month +0.0047 to 2.4773% (+0.0057/wk)

* 3 Month +0.0043 to 2.6010% (+0.0089/wk)

* 6 Month +0.0065 to 2.6377% (-0.0069/wk)

* 1 Year +0.0142 at 2.7483% (-0.0028/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.44%, $974B

* Broad General Collateral Rate (BGCR): 2.40%, $467B

* Tri-Party General Collateral Rate (TGCR): 2.40%, $438B

US SWAPS: Spds running wider, short end leading move amid rather disappointing

late week action. No deal-tied hedging (incoming supply expected to remain muted

next week, partially due to shortened Easter holiday week, but more due to issue

blackout into latest earnings cycle). Light two-way flow, modest fly interest

includes 2s3s10s payer and 5s6s7s receiver. Latest spd levels:

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

Fri 3:00    +1.12/10.00   +0.19/3.12     +0.25/-1.38   +0.50/-24.75

1:30        +1.25/10.12   +0.19/3.12     +0.19/-1.44   +0.31/-24.94

12:00       +1.12/10.00   +0.00/2.94     +0.12/-1.50   +0.19/-25.06

10:30       +1.06/9.94    +0.06/3.00     +0.06/-1.56   +0.31/-24.94

Fri Open    +1.12/10.00   +0.56/3.50     +0.62/-1.00   +0.62/-24.62

Thu 3:00    -0.12/9.25    +0.00/3.12     +0.50/-1.50   +0.50/-24.75

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

15-Apr 0830 Apr Empire Manufacturing Index (3.7, --)

15-Apr 1130 US TSY $42B 13W bill auction (912796QR3)

15-Apr 1130 US TSY $36B 26W bill auction (912796SN0)

15-Apr 1600 Feb net TICS flows

15-Apr 1600 Feb long term TICS flows

PIPELINE: Quiet second half of week for issuance; $25.65B priced on wk

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

No new issuance Friday

- 

04/11 $750M DBS Grp (DBSH) 3Y +58a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: reminder April options expire today

* -11,000 Green Dec 75/81/83 call trees, 19.5

* +15,000 Sep 73 puts, 2.25

* +6,000 Jul 76 calls, 1.75

* +5,000 Sep/Dec 76/80 call spd strip, 7.5

* -5,000 short Jul 76 calls, 14.5

* -5,000 Jun 75/76 call spds vs. +10,000 Sep 73 puts, 4.0 db/puts over

* +5,000 Sep 73/75 5x2 put spds, 8.0 net

* -10,000 Sep 72/73 put spds, 1.75

* -5,000 Dec 71/72/73 put flys, 2.0 vs. 97.48

* +3,000 short May/short Jun 77/78/80 call tree strip, 1.0

* Update, total +25,000 Sep 73 puts at 2.25

* short May 70/71/72/73 put condors trading 1.0 vs. 97.64

* -2,500 Green Jul 75/77/80 iron flys, 16.5

* 6,000 Mar/Red Sep'20 70/72 put spd strip, 6.5

* 3,250 Green May 78/80 call spds, 1.5

* Update, over +15,000 Sep 73 puts, 2.25

* -10,000 short Apr 76 puts, 1.0

* +10,000 Green May 80 calls, 1.5 vs. 97.735

* +10,000 Sep 73 puts, 2.25

* -5,000 Jun 71/72/73 put flys, 0.5

* Dec 70/71/72/73 put condor trading 3.5

Tsy options, Pit/screen:

* 20,000 FVM 115.25/116.25 call spds, 16.0

* Update, over +40,000 TYM 122/124.5 call spds, 21/64

* +25,000 TYM 123/124.5 call spds, 31/64

* -3,500 USM 150 calls, 17/64

* 5,000 wk3 TY 122.2/122.7 2x1 put spds, 3/64 vs. 123-30

* +2,500 TYM 123 puts, 28/64 vs. 123-06.5/0.44%

* -2,000 FVM 114.5/115.75 strangles earlier at 15/64

* over -73,000 TYK 124 calls traded 6- down to 3/64 now, 40k at 3/64

* over 21,000 TYK 124 calls traded 6- down to 4/64, 10k at 4/64 since the 123

calls traded (delta of 50k options equivalent to 29,000 futures, TYM climbed

from 123-04 to -06 on flow).

* 4,000 TYK 124.75 calls trading on screen at 1/64

large screen buyer May 10Y calls 

* +50,000 TYK 123 calls, 24/64, takes out 24 offer/now bid, vol gets boost for

moment

* 5,000 FVM 114.25/115 put spds, 11/64 3k vs. 115-07.2

* total > -15,000 FVK 115 puts on screen at 6/64, unwind after paper bought at

2/64 Thu

Block, 0810:55ET

* -8,173 TYK 122.5 puts, 4/64 vs. 123-09/0.10%

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

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