US TSYS: TSY YLDS INCH HIGHER AHEAD FRI'S Q1 GDP

US TSY SUMMARY: Relative quiet lead-up to Fri's Q1 GDP, Tsy futures see-sawed

lower (10YY 2.531%), futures drifting off lows by the close amid moderate trade

volumes (TYM>1.01M). Yld curves mixed, off steeper levels while 3M10Y appr

recovers appr 1.25 bp after flattening appr -5bp from Mon highs.

- Tsy futures extending lows in aftermath of data (claims bounce +37k to 230k

after 5 wks of declines; March durables +2.7, better than exp), curves getting a

boost steeper w/long end underperforming.

- Two-way flow on net, better selling in belly to long end early, light

deal-tied flow, fast$ buying short end; large 2s30s steepener blocks early.

- Small tail (.6) for U.S. TSY $32B 7Y note auction (9128286S4) awarded 2.426%

rate vs. 2.420% WI (previous $32B 7Y awarded 2.281%); 2.49 bid/cover vs. 2.54

prior (2.61 avg).

- On tap for (finally) On tap for Friday: Q1 GDP (advance); Apr Michigan

sentiment index; Q2 St. Louis and New York Fed GDP Nowcasts.

- The 2-Yr yield is up 0.8bps at 2.3259%, 5-Yr is up 1.6bps at 2.3282%, 10-Yr is

up 1.3bps at 2.5307%, and 30-Yr is up 0.9bps at 2.9437%.

US TSY FUTURES CLOSE: Weaker across the board but off late session lows, volume

faded later in the second half as accts hit sidelines ahead Fri's GDP. Curves

mostly steeper. Latest levels:

* 3M10Y  +1.453, 11.013 (L: 7.917 / H: 11.706)

* 2Y10Y  +0.426, 20.259 (L: 19.239 / H: 21.56)

* 2Y30Y  +0.243, 61.694 (L: 60.987 / H: 63.895)

* 5Y30Y  -0.54, 61.529 (L: 61.451 / H: 63.53)

Current futures levels:

* Jun 2-Yr futures (TU) down 0.75/32  at 106-12.5 (L: 106-12.375 / H: 106-14)

* Jun 5-Yr futures (FV) down 2/32  at 115-13.25 (L: 115-12.25 / H: 115-16.25)

* Jun 10-Yr futures (TY) down 4.5/32  at 123-12.5 (L: 123-10.5 / H: 123-18)

* Jun 30-Yr futures (US) down 5/32  at 147-6 (L: 147-00 / H: 147-15)

* Jun Ultra futures (WN) down 8/32  at 164-3 (L: 163-25 / H: 164-19)

US EURODLR FUTURES CLOSE: Mildly lower across the strip, Reds-Greens scaling

back midweek support. Note, rate cut probability before year end holds stable.

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

* Jun 19 -0.015 at 97.435

* Sep 19 -0.020 at 97.50

* Dec 19 -0.025 at 97.510

* Mar 20 -0.030 at 97.610

* Red Pack (Jun 20-Mar 21) -0.025 to -0.02

* Green Pack (Jun 21-Mar 22) -0.02 to -0.02

* Blue Pack (Jun 22-Mar 23) -0.02 to -0.015

* Gold Pack (Sep 22-Jun 23) -0.02 to -0.015

US DOLLAR LIBOR: Latest settles

* O/N +0.0052 at 2.3993% (+0.0082/wk)

* 1 Month -0.0048 to 2.4785% (-0.0023/wk)

* 3 Month -0.0040 to 2.5823% (+0.0012/wk)

* 6 Month -0.0072 to 2.6125% (-0.0165/wk)

* 1 Year -0.0089 at 2.7162% (-0.0301/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.44%, $1.018T

* Broad General Collateral Rate (BGCR): 2.41%, $473B

* Tri-Party General Collateral Rate (TGCR): 2.41%, $439B

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

26-Apr 0830 Q1 GDP (adv) (2.2%, 2.0%)

26-Apr 0830 Q1 GDP Price Index (1.7%, 1.8%)

26-Apr 1000 Apr Michigan sentiment index (f) (96.9, 97.3)

26-Apr 1100 Q2 St. Louis Fed Real GDP Nowcast

26-Apr 1115 Q2 NY Fed GDP Nowcast

US SWAPS: Spds continue to add to mid-week shift wider by Thu's close. Light

flow on net, some deal-tied paying in 5s, spd curve flatteners and 2s3s4s payer

fly. Latest spd levels:

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

Thu 3:00    +0.72/9.88    +0.38/3.50     +0.44/-1.19   +0.19/-23.31

12:45       +0.41/9.56    +0.31/3.44     +0.38/-1.25   +0.06/-23.44

11:30       +0.35/9.50    +0.25/3.38     +0.25/-1.38   +0.00/-23.50

9:00        +0.16/9.31    +0.19/3.31     +0.19/-1.44   +0.06/-23.44

Thu Open    +0.16/9.31    +0.06/3.19     +0.06/-1.56   -0.25/-23.75

Wed 3:00    +0.44/9.12    +0.06/3.06     +0.12/-1.75   +0.06/-23.81

Spds running mildly wider, short end off early highs. Modest deal-tied flow on

day. Way too soon to ponder if funding cost pressure is easing as spds narrowing

slows -- just look at 2Y spd over last 12 months -- steady decline from around

32.0 in March-April 2018 to current levels below. EFFR still holding at recent

high of 2.44% -- stable. Desks starting to look at selling short end, rate

paying 2s-5s to fade move, make bets against chatter over IOER cuts.

PIPELINE: OMERS 5Y priced

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

04/25 $1.25B *OMERS Finance 5Y +26

04/? $Benchmark Tokyo Metropolitan Gov 3-7Y US$ or Euro issue chatter

04/? $Benchmark Waste Management

- 

$4B Priced Wednesday

04/24 $1.5B *Royal Bank of Canada $1B 3Y +53, $500M 3Y FRN L+47

04/24 $900M *Aqua America $400M 10Y +105, $500M 30Y +135

04/24 $900M *Netflix 10.5Y 5.375% (E1.2B at 3.875%)

04/24 $700M *Penske Trucking 5Y +118

04/? $Benchmark Tokyo Metropolitan Gov 3-7Y US$ or Euro issue chatter

04/? $Benchmark Waste Management

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: ongoing better call spd buying in Jun'19-Mar'20

expirys

* +5,000 Dec 72/75 2x1 put spds 3.0 over Dec 78 calls

* -7,500 short Jun 75/78 call over risk reversals, 3.0 vs. 97.71/0.40%

* -3,000 Sep 72/73/75 call flys, 4.5 vs. 97.515

* +3,000 Red Sep 81/83 call spds, 5.0vs. 97.755/0.10%

* +5,000 Green May 78 calls, 3.5 vs. 97.805/0.32%

* +4,000 Green Dec 70 puts, 1.5 vs. 97.75/0.05%

* +5,000 short Jun 81 calls, 2.0

* -32,000 Jun 75 calls, 2.0 vs. 97.455/0.30%, closer (OI just over 300k); 

* second dealer +10,000 of same calls several minutes later

* Update +30,000 short May 80 calls 1.0 vs. 97.775

* +10,000 Sep 77/78 call spds 1.0 over Jun 76/77 

* +10,000 short Sep 77/78 call spds 1.0 over the 75 puts earlier

* -7,500 Oct 76/78 call spds 2.0 over Green Oct 81 calls

* +4,000 short Jun 77/80 call spds 0.0 over short Jun 76 puts

* +20,000 short Jun 72/82 call spds, 4.5

* another 20,000 short Jun 72 calls

* 20,000 short Jul 70/73 put spds

* 20,000 Mar 72/76 call spds

* 5,000 short May 76/77 1x2 call spds

Tsy options; Pit/screen:

* 2,500 TYK 123 straddles, 17/64 vs. 123-15.5

* 5,000 wk1 TY 124.2/124.7 call spds, 3/64

* 1,000 wk1 TY 122.7/123.2/123.7 put flys, 9/64

* -15,000 TYK 123/124 call spds, 34/64 recently -- brings screen volume since

O/N to just over 24kBLOCK, 1059:09ET

* 18,220 TYM 124.5 calls, 10/64, post-time bid

* 18,108 TYN 124.5 calls, 26/64, through post-time offfer of 25/64

* +5,000 wk1 TY 122.75/123.25 2x1 put spds, 4/64

* Update, over +12,000 FVM 115.75 calls, from 13.5- to 12/64

* appr 10,000 TYK 123.75/124 call spds on screen, 1/64 (May options expire

tomorrow)

* +4,000 FVM 115.75 calls, 12/64 vs. 115-13.25

Earlier screen trade

* +20,0300 TYN 124.5/125.5/126 broken call trees, 6/64

* +10,000 TYM 122/122.5/123 put trees, 4/64

     US TSY OPTIONS: Reminder, May serial ops expire Friday. Despite recent

unwinds,

large amount of amount TYM, FVM ATMs remain, potential pin risk: TYK 123 strike

w/225,962 options (115,889c, 110,073p). Options 0.5 tic ITM (0.25 tic for 5-,

2-yr opt's) auto-exercised. According to CME Group data:

*             Calls     Puts      Total   Nearest-the-Money Strike Totals

* May 30yr   184,241  243,040    427,281  146.00 w/ 18,486 (6,632c, 11,854P)

*                                         146.50 w/ 10,700 (4,911c, 5,789P)

*                                         147.00 w/ 21,031 (8,139c, 12,892P)

* May 10yr 1,267,915  785,788  2,053,703  122.75 w/ 34,659 (5,637c, 29,022p)

*                                         123.00 w/ 225,962 (115,889c, 110,073p)

*                                         123.25 w/ 56,309 (23,887c, 32,422P)

* May 5yr    394,815  681,432  1,072,247  115.00 w/ 86,273 (29,208c, 57,065p)

*                                         115.25 w/ 44,199 (15,154c, 29,045p)

*                                         115.50 w/ 57,355 (36,694c, 20,661p)

* May 2yr     47,406   57,544    104,950  106.25 w/ 19,330 (2,964c, 16,366p)

*                                         106.38 w/ 12,538 (8,658c, 3,880p)

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

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