US TSYS: TSYS EXTEND ROUT, NEW STEEPS 5S30S, BREXIT EXTENDED

US TSY SUMMARY: Tsy futures trading weaker again after Brexit extension to Jun

30 vote passes Tsys off midday lows. GBP had blipped higher briefly but extended

lower (GBP -.0113, 1.3225); US$ index chopped near highs (DXY +.237, 96.787). US

equities off lows late (SPX -4.25, 2815.25). Generally quiet ahead next weeks

FOMC, political/trade/Brexit headline watching continued.

- Midday rout in long end Tsys -- no Blocks, but bids are absent as long end

extended session lows; Yld curves gapped steeper, new 1+ year high for 5s30s

+3.130, 61.511 (58.069L/61.791H). Bunds surged higher as well but desks noted

dearth of catalysts for move.

- Weak-longs unwound/tight stops triggered in 30s on midday move, fast$, prop

accts 2-way, real$, insurance portfolio selling 30s, two-way swap-tied flow.

- On tap for Friday: March Empire Manufacturing Index; February industrial

production and capacity utilization; March Michigan sentiment index; JOLTS job

openings level and quits rate.

- Tsy cash/ylds: 2Y 100-02.25 (2.461%), 5Y 99-23.75 (2.429%), 10Y 99-31

(2.627%), 30Y 99-03.5 (3.045%).

US TSY FUTURES CLOSE: Weaker across the board but off midday lows (WNM coming

under pressure after the bell, however), yld curves surged steeper, 5s30s making

new 1+ year high. Update:

* 2s10s +1.546, 16.575 (14.849L/17.501H);

* 2s30s +3.799, 58.286 (54.299L/58.741H);

* 5s30s +3.130, 61.511 (58.069L/61.791H);

Current futures levels:

* Jun Ultra bonds down 1-1/32 at 161-04 (161-00L/1612-05H)

* Jun 30-yr Bond futures down 20/32 at 145-16 (145-10L/146-02H)

* Jun 10-yr futures down 5.5/32 at 122-22 (122-18.5L/122-27H)

* Jun 5-yr futures down 2.25/32 at 114-29.5 (114-27L/115-00.25H)

* Jun 2-yr futures down 1/32 at 106-06.12 (106-05.38L/106-07.38H)

US EURODLR FUTURES CLOSE: Mildly lower across the strip, near middle of range on

modest overall volume. Decent buying in soon to be lead quarterly Jun19 futures

at 97.39-.395. Current White pack (Mar'19-Dec'19):

* Mar'19 -0.005 at 97.387

* Jun'19 -0.005 at 97.390

* Sep'19 -0.010 at 97.410

* Dec'19 -0.015 at 97.395

* Red pack (Mar'19-Dec'20) -0.010

* Green pack (Mar'20-Dec'21) -0.010-0.015

* Blue pack (Mar'21-Dec'21) -0.015-0.020

* Gold pack (Mar'22-Dec'22) -0.020-0.025

US DOLLAR LIBOR: Latest settles

* O/N +0.0002 to 2.3903% (+0.0035/wk)

* 1 Month -0.0020 to 2.4817% (-0.0098/wk)

* 3 Month +0.0037 to 2.6146% (+0.0180/wk)

* 6 Month +0.0027 to 2.6791% (+0.0001/wk)

* 1 Year -0.0132 to 2.8458% (-0.0178/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.40%, $925B

* Broad General Collateral Rate (BGCR): 2.38%, $459B

* Tri-Party General Collateral Rate (TGCR): 2.38%, $441B

US SWAPS: Spds have inched off first half wides, spd curve flattening vs.

steepening in Tsy yld curve, 30Y spd extending inversion. Modest overall flow,

however. Front end off wides despite better paying in 2s around 2.5755-2.5810%,

two-way in 7s around 2.54208%, and 2s3s7s payer fly. Latest spd levels:

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

Thu 3:00    +0.06/11.50   -0.12/6.50     -0.06/1.25    -1.06/-22.06

1:45        +0.12/11.56   +0.12/6.75     -0.12/1.19    -0.88/-21.88

12:00       +0.62/12.06   +0.25/6.88     +0.12/1.44    -0.06/-21.06

10:30       +0.19/11.62   +0.12/6.75     +0.06/1.38    +0.25/-20.75

Thu 7:15    +0.19/11.62   +0.12/6.75     +0.06/1.38    +0.38/-20.62

Wed 3:00    +0.31/11.88   -0.19/6.56     -0.31/1.12    -1.06/-21.25

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

15-Mar 0830 Mar Empire Manufacturing Index (8.8, 10.0)

15-Mar 0915 Feb industrial production (-0.6%, +0.4%)

15-Mar 0915 Feb capacity utilization (78.2%, 78.5%)

15-Mar 1000 Mar Michigan sentiment index (p) (93.8, 95.5)

15-Mar 1000 Jan JOLTS job openings level (7335k, --)

15-Mar 1000 Jan JOLTS quits rate (2.3%, --)

15-Mar 1100 Q1 St. Louis Fed Real GDP Nowcast (+2.18%, --)

15-Mar 1115 Q1 NY Fed GDP Nowcast (+1.40%, --)

15-Mar 1600 Jan net TICS flows

15-Mar 1600 Jan long term TICS flows

PIPELINE: Corporate issuance has stalled out Thursday

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

No new issuance Thursday

-

$5.35B priced Wed, $25.85B/wk

03/13 $2.5B *Citigroup 11NC10 +137.5

03/13 $1.5B *United Parcel Service $750M 10Y +80, $750M 30Y +125

03/13 $1B *MuniFin WNG 5Y +14

03/13 $350M *Entergy Arkansas WNG 30Y +123

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: (March expires Fri)

* 7,000 short Sep/Blue Sep 73/75 put spd strip, 22.5

* -15,000 Jul 76 calls, 1.0 vs. 97.395/0.10%

* -2,500 short Mar 75 calls, 0.5 vs. 97.445/0.10%

Block, 1108:06ET

* 10,000 Blue Sep 78 calls 7.0

* 10,000 Gold Sep 77 calls, 6.0

* 20,000 Dec 75/77 1x2 call spds, 0.5

* +35,000 Dec 75/78 call spds, 5.75

* +10,000 short Apr 73/76  call spds, 13.5 vs. 97.53/0.50%

* 2,500 short Mar 75 calls, 0.5

* +35,000 Red Mar'20 68 puts, 1.5 in pit -- adds to >24k on screen

* +5,000 May 72/73 2x1 put spds 0.75 over the May 75 calls

* -5,000 Green Dec 76/75 put spds 1.0 over the Red Jun 80/85 call spd

* +10,000 Red Dec'20 75 calls, 7.5

* 7,000 Red Mar20 82 calls, 3.0 vs. 97.455/0.10%

* 6,000 Red Mar20 68 puts, 1.5, 42/0.05

* 5,000 May 72/75 call over risk reversals, cab

* 2,500 Jul/Aug/Sep 73 call strips, 23.5 -- adds to 1.1k overnight screen trade

* 11,000 Red Jun'20 82/85 call spds on screen

* +10,000 Jun 75 calls, 1.0

* 2,000 Jun 73/75/76 call flys, 2.5

Overnight trade includes

* >21,000 Red Mar'20 68 puts, 1.5

* 10,000 Jul 71/72 call spds, 11.5

* 8,000 Sep 90/91/92 put flys, 0.5

Tsy options, Pit/screen:

* +2,100 USK 143/149 put over risk reversals, 0.0

* 5,000 TUJ 106.2/106.3 call spds, 2/64

* 5,000 TYJ 122.25/122.75 2x1 put spds, 5/64

* +4,600 FVM 112.50/117.25 strangles w/FVK 112.75/116.5 strangles, 7.5

* 1,000 TYJ 123/123.5/124 1x4x2 call flys, 1/64 net/wings over

* -4,600 TYK 122.5/123.5 call spds, 31/64

* Update, total -50,000 FVK 115.5/116 call spds at 4.5/64 on screen. Background

on trade: paper had bought 50k FVK 114.5/116 call spds at 23.5/64 last Wednesday

-- today's sale rolling down the top strike/lowering the spd and cost basis.

Last couple weeks rather heavy upside call and call spread buying in 5- and 10Y

Tsy options indicative of a slow-down, hedging for potential rate cuts. Today's

roll-down sale (call buyers taking foot of the pedal in general and modest

pick-up in put buyers) implies a softening of upside expectations -- more range

trade and lower vol going into summer trade. Meanwhile, earlier screen trade

included

* 3,000 FVJ 115/115.25 call spds vs. 114.25 puts

* >10,000 TYJ 123 calls, 7- to 8/64

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

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