US TSYS: TSY CURVES EXTEND FLATTER, NEW 10+ YEAR LOWS

US TSY SUMMARY: Tsys trade mildly higher for the most part into the close, very

quiet end to the week. US$ index mildly higher/off early highs (DXY +.005,

89.756); equities weaker (emini -16.0, 2648.0); gold stronger (XAU +1142,

1346.19); West Texas crude mildly higher/off early lows amid ongoing mid-East

tensions (WTI +0.08, 67.15).

- Early rally in US$ provided some excitement, US$ index jumping ahead the NY

open (DXY +.093, 89.844), Yen vs. majors also seeing a lot of movement while

US$/Yen breaks 107.0 to 107.71.

- Limited react to multiple Fed speakers, even with Fed Rosengren stating more

tightening needed that FOMC medians indicate. 

- Limited two-way trade, position squaring ahead weekend, April Eurodollar

options expired generating some two-way in short end of strip. Decent Eurodollar

put buying in first half targeting rate hike at June and September FOMC.

- Late ylds: 2Y 2.361%, 3Y 2.500%, 5Y 2.669%, 7Y 2.772%, 10Y 2.821%, 30Y 3.024%

US TSY FUTURES CLOSE: Mildly higher for the most part, mid- to upper end narrow

range, short end underperforming/curves pushing flatter. Curve update:

* 2s10s -2.941, 45.633 (48.522H/45.450L);

* 2s30s -3.038, 66.063 (69.306H/65.903L);

* 5s30s -1.621, 35.455 (37.586H/35.214L);

Current futures levels:

* Jun Ultra bonds up 12/32 at 159-02 (158-14L/159-10H)

* Jun 30-yr Bond futures up 7/32 at 145-19 (145-06L/145-25H)

* Jun 10-yr futures up 2.5/32 at 120-17.5 (120-11L/120-20H)

* Jun 5-yr futures up .5/32 at 114-00 (113-28.5L/114-02.75H)

* Jun 2-yr futures down 1/32 at 106-05 (106-04.25L/106-07.25H)

US EURODOLLAR FUTURES CLOSE: Mixed by the bell, short-end underperforming all

session, quiet end to the week. Current White pack (Jun'18-Mar'19):

* Jun'18 -0.005 at 97.625

* Sep'18 -0.015 at 97.530

* Dec'18 -0.020 at 97.410

* Jun'19 -0.025 at 97.315

* Red pack (Jun'19-Mar'2) -0.015-0.010

* Green pack (Jun'20-Mar'21) -0.005 to +0.010 

* Blue pack (Jun'21-Mar'21) +0.015-0.020

* Gold pack (Jun'22-Mar'22) +0.020-0.025

US DOLLAR LIBOR: Latest settles,

* O/N -0.0012 to 1.7019% (-0.0012/wk)

* 1 Month -0.0014 to 1.8955% (-0.0016/wk)

* 3 Month +0.0051 to 2.3528% (+0.0154/wk)

* 6 Month +0.0081 to 2.4900% (+0.0178/wk)

* 1 Year +0.0129 to 2.7301% (+0.0219/wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): down to 1.73 vs. 1.76% prior, $871B

* Broad General Collateral Rate (BGCR): down to 1.68% vs. 1.70% prior, $345B

* Tri-Party General Collateral Rate (TGCR): down to 1.68% vs. 1.70% prior, $335B

US SWAPS: Spds finishing mixed, spd curve flatter with long end shifting off

early wides into the close. Light two-way flow, limited fast$ rate paying in 2s

and 3s earlier.

PIPELINE: No new issuance so far Friday, $12B Qatar 3-part priced late Thu

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

Dealers likely to issue following latest quarterly earnings

- 

$16B priced Thursday, $12B Qatar crest early wk Saudi issuance 

04/12 $12B *State of Qatar $3B 5Y +135, $3B 10Y +170 and $6B 30Y +205

04/12 $4B *IADB 3Y Global MS-3 

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

- Apr 16 Mar retail sales (-0.1%, --) 0830ET

- Apr 16 Mar retail sales ex. motor vehicle (0.2%, --) 0830ET

- Apr 16 Mar retail sales ex. mtr veh, gas (0.3%, --) 0830ET

- Apr 16 Apr Empire Manufacturing Index (22.5, --) 0830ET

- Apr 16 Feb business inventories (0.6%, --) 1000ET

- Apr 16 Apr NAHB home builder index (70, --) 1000ET

- Apr 16 Mar Kansas City Fed LMCI 110ET

- Apr 16 Atl Fed Pres Bostic, Shoals CoC, Florence, Alabama, Q&A, 1315ET

- Apr 16 Feb net TICS flows 1600ET

- Apr 16 Feb long term TICS flows 1600ET

US EURODLR OPTIONS: *** Reminder, April Eurodollar futures and options expire

Friday (technically, April options expire Mon morning at 6:00 am ET while Red

through Purple midcurves expire at 5:00 pm ET Fri). Final OI coming into session

according to CME Group Data below:

-- Apr serial OI: 2,253,240 (1,272,454 calls, 980,786 puts);

-- Apr 1yr midcurve (Red) OI: 1,461,067 (626,697 calls, 834,370 puts);

-- Apr 2yr midcurve (Green) OI: 832,685 (354,738 calls, 477,947 puts);

-- Apr 3yr midcurve (Blue) OI: 377,421 (231,394 calls, 146,027 puts);

-- Apr 4yr midcurve (Gold) OI: 53,554 (29,399 calls, 24,155 puts);

That's a total of 4,977,967 options (2,724,727 of which are midcurves) coming

off the sheets.

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +4,000 Blue Jun 77 calls even vs. Blue Jun 65/66 put spds

* +5,000 Blue Dec 75/78 call spds 0.25 over the Gold Dec 73/76 call spds

* +10,000 short Jul 67/77 call over risk reversals 0.5 vs. 97.19/0.10%

* 12,000 Apr 72 puts, cab expiring today

Block, 1028:09ET

* 10,000 Red Dec'19 88 calls, 1.5

* +20,000 Red Mar'20 57/71 2x1 put spds, 1.25

* +5,000 short Jun 76 calls, 1.0

* +8,000 Jun 75/76 3x1 put spds 0.5 over the Jun 77 calls

* -10,000 Dec 77/78 put spds, 11.0

* +10,000 Dec 70/72 3x2 put spds vs. -20,000 Dec 76 calls, 2.0 net

* Update, total +60,000 Sep 73/75 2x1 put spds, 1.75. Account still looking for

offers. The put spd is a hedge vs. a hike at the June FOMC (98% priced in

according to MNI PINCH OIS model) AS WELL as a hike at the September FOMC (appr

75% chance of second hike, according to PINCH). Taking on another rate hike in

September, the EDU8 futures should drift down to around 97.37 -- the low strike

of the above structure, which compares to current level of 97.53.

* +15,000 Sep 73/75 2x1 put spds, 1.75

* 2,000 short Jun 71 puts, 4.5

* 2,000 short May/short Jun 72 straddle stupids, 29.5

* 3,000 short Dec 70/72 put spds, 13.0

Block, 0816:55ET, April options expires today

* 10,000 Apr 76 puts, 0.75

Tsy options, Pit/screen:

* +4,000 FVM 114 straddles, 43.5/64

* 2,000 TYM 119.5/121.5 strangles, 27/64

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

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