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Futures Softer Overnight

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Tweaks To Emergency Declaration Mulled

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(U1) Tilted Higher

     
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$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com