US TSYS: TSYS BID EVEN AS EQUITIES SURGE HIGHER

US TSY SUMMARY: Tsys ylds recede after gaining last couple sessions (10YY

2.569%), futures near highs by the bell, drifted in narrow range for much of

second half, yld curves mostly steeper. Volume trade improved compared to week

opener (TYM appr 875k vs. 530k) but still rather muted. Yld curves mostly

steeper.

- Equities surged (SPX 23 points (0.79%) at 2936.5); USD index firmer (DXY

+.322, 97.608); West Texas holding gains (66.29H).

- Short end remains well supported as rate cut probability slowly gains momentum

for later in year. Light but improved incoming supply generating some hedging,

ongoing heavy upside Eurodollar call spd buying. $40B 2Y note auction

(9128286P0), awarded a 2.355% rate (2.261% on $40B Mar auction) hair under

2.357% WI.

- On tap for Wednesday: MBA Mortgage Applications for April; crude oil stocks

ex. SPR w/w. US TSY $20B 2Y FRN and $41B 5Y note auctions. The 2-Yr yield is

down 2.5bps at 2.3618%, 5-Yr is down 2.7bps at 2.3593%, 10-Yr is down 2bps at

2.5686%, and 30-Yr is down 1bps at 2.9824%.

US TSY FUTURES CLOSE: Just off session highs set midmorning, Tsys drifted in

narrow range for much of second half, yld curves mostly steeper. Volume trade

improved compared to week opener (TYM appr 875k vs. 530k) but still rather

muted. Curve update:

* 3M10Y  -2.344, 13.309 (L: 12.511 / H: 17.019)

* 2Y10Y  +0.489, 20.473 (L: 18.899 / H: 20.709)

* 2Y30Y  +1.685, 62.009 (L: 59.421 / H: 62.266)

* 5Y30Y  +1.91, 62.3 (L: 59.911 / H: 62.593)

Current futures levels:

* Jun Ultra futures (WN) up 8/32  at 163-2 (L: 162-20 / H: 163-10)

* Jun 30-Yr futures (US) up 8/32  at 146-15 (L: 146-04 / H: 146-20)

* Jun 10-Yr futures (TY) up 6/32  at 123-4 (L: 122-29 / H: 123-06.5)

* Jun 5-Yr futures (FV) up 4.25/32  at 115-8.25 (L: 115-03.25 / H: 115-10)

* Jun 2-Yr futures (TU) up 1.625/32  at 106-10.75 (L: 106-08.75 / H: 106-11.25)

US EURODLR FUTURES CLOSE: Modestly higher across the strip, even shift from tail

end of Whites through Golds, rate cut probability slowly gains momentum for

later in year. Current White pack (Jun'19-Mar'20):

* Jun 19 +0.005 at 97.435

* Sep 19 +0.005 at 97.490

* Dec 19 +0.020 at 97.50

* Mar 20 +0.025 at 97.60

* Red Pack (Jun 20-Mar 21) +0.030 to +0.035

* Green Pack (Jun 21-Mar 22) +0.020 to +0.025

* Blue Pack (Jun 22-Mar 23) +0.020 to +0.025

* Gold Pack (Jun 23-Mar 24) +0.020 to +0.025

US DOLLAR LIBOR: Latest settles

* O/N +0.0116 at 2.4027% (-0.0011 last wk)

* 1 Month -0.0042 to 2.4766% (+0.0035 last wk)

* 3 Month -0.0009 to 2.5802% (-0.0199 last wk)

* 6 Month -0.0092 to 2.6198% (-0.0087 last wk)

* 1 Year -0.0107 at 2.7356% (-0.0020 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.46%, $978B

* Broad General Collateral Rate (BGCR): 2.43%, $462B

* Tri-Party General Collateral Rate (TGCR): 2.43%, $435B

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

24-Apr 0700 19-Apr MBA Mortgage Applications (-3.5%, --)

24-Apr 1030 19-Apr crude oil stocks ex. SPR w/w (-1.4m bbl, --)

24-Apr 1130 US TSY $20B 2Y FRN note auction (9128286Q8)

24-Apr 1300 U.S. TSY $41B 5Y note auction (9128286R6)

US SWAPS: Spds marginally tighter after the bell, light deal-tied flow in

intermediates/long end, otherwise quiet in swap space. Latest levels:

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

Tue 3:00    -0.19/8.38    -0.12/3.00     -0.25/-1.88   -0.62/-23.88

1:30        +0.12/8.69    -0.06/3.06     -0.25/-1.88   -0.75/-24.00

10:15       +0.12/8.69    +0.06/3.19     -0.06/-1.69   -0.75/-24.00

Tue Open    -0.25/8.31    -0.19/2.94     -0.25/-1.88   -0.75/-24.00

Mon 3:00    -1.44/8.19    -0.62/2.88     -0.81/-1.81   -0.75/-23.50

Monday recap: Spds running tighter all session, on lows late; narrowing largely

tied to 2.44% Fed effective and persistently elevated overnight repo. Otherwise

flow rather light on day, two-way but w/better rate receiving in front end.

PIPELINE: Rogers Communications 30Y and Kimberly-Clark 10Y priced

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

04/23 $1.25B *Rogers Communications 30Y +140

04/23 $700M *Kimberly-Clark 10Y +65

04/23 $2B Netflix 10.5Y (US$/EUR split)

04/? $Benchmark Cantor Fitzgerald

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

* 10,000 Jul 76/78 2x3 call spds, 4.0

* 2,500 Mar 80/81 call strip, 13.0

* -6,000 Sep 73/75 put spds, 7.0 vs. 97.475/0.30%

* +10,000 Jul 75/76/77 call flys, 1.25

Block, 1251:59ET,

* 12,000 Sep 73/76 call spds, 9.0 vs. 97.50/0.25%

* +17,000 short Sep 78/81 call spds 5.5 on screen

* +10,000 Dec 75/77/80/82 call condors, 5.0 in pit

* 2,000 Dec 80/81 1x2 call spds, 1.5

Block, 1100:44ET,

* +25,000 Red Dec'20 77/81 call spds, 15.0 vs.

* -25,000 Red Dec'20 73 puts, 12.5

* 15,000 Green May 78/81 call spds, 1.5

* 5,000 Green Jul 77/80/81 broken call flys, 5.0 vs. 97.775

* 2,000 short Jun 75/76/77 call trees, 5.0

* -10,000 short Jul 73/75/76 put flys, 2.0 earlier

* over +25,000 Dec 77/80 1x2 call spds, 0.0 w/spd trading on screen

* +18,200 Dec 77/80 1x2 call spds, 0.0

* +10,000 Dec/Mar 77/80 1x2 call spd strip 4.75

* +3,000 Dec/Mar 76/80 1x2 call spd strip 4.0

* +5,000 Jul 75/78 1x2 call spds, 3.5

* 5,000 Dec 77/78 call spds, 1.75/splits

* 5,000 Mar 77/78 call spds, 3.0

* 5,000 Sep 76/Oct 78 call spds, 1.25, Sep over

* 1,750 Blue Jun 75 puts, 3.0 vs. 97.6650.22%

* Sep 73/75 5x2 put spds, 7.0 vs. 97.475/0.32%

* Sep 75/76/77 call flys, 1.25 vs. 97.485/

Decent overnight volume at just over 230k, highlights

* over 20,000 Sep 75/76/77 call flys, 1.0-1.25

* 5,000 Sep 75/76 call strip, 6.5

* 5,000 Aug 75/76 2x1 put spds, 1.5

* 10,000 short Aug 76/77 put spds, 7.0

* 7,000 Dec 76/78 and 6,000 Dec 76/80 call spds

* 4,000 Mar 76/78 call spds, 6.5

Tsy options, Pit/screen:

* +2,000 TYK 123.5/TYM 125 call strip, 9/64

* update, near 10,000 TYM 123.5/124.5 call spds, 15/64

* -3,500 TYM 121/122/123 put trees, 15/64

* 3,000 FVK 115.25 puts, 6.5/64

* +2,600 FVM 114.5/116 put over risk reversals, 1/64

* +5,000 wk3 TY 123.75/124.25 call spds, 7/64

* +1,000 USK 144.5/145.5/146 put trees, 4/64

* over 6,000 TYK 123 puts, 7/64 earlier

* +5,000 TYM 125 calls, 4/64

* +10,000 TYK 123.25 calls, 7/64 to 8/64, latter on screen

* 2,000 TYM 123.5 calls, 20/64 screen

* 2,000 FVM 115.25 calls, 16.5/64 vs. 115-04.5/0.42%

* 1,000 FVK 115/115.25/115.5 call trees, 9.5/64

* Moderate TYK call and put flow on screen by the open -- May options expire

Friday, large TYK and FVK open interest for a serial expiry.

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

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