US TSYS: TSYS, FOLLOW THE MONEY

US TSY SUMMARY: Relative quiet in Tsys w/carry-over Tsy support after Wed's

dovish FOMC annc, focus quickly turned to BoE, policy unchanged at 0.75% as

expected. A BoE survey of appr 300 companies showed that 80% of firms were ready

for a no-deal, up from 50% in Jan.

- Tsy support waned late, yld curves rebounding from new lows by the bell.

Little react to weekly claims or bounce in Philly Fed business conditions index.

- Session flow included better real&$ buyers across the curve in the first half,

gradually increasing deal-tied selling in fronts to intermediates, better

swap-tied buying in 7-10s, large -14,547 TYM 123-11, sell through 123-11.5 post

time bid.

- On tap for Friday: Markit Manufacturing and Service Index for March; February

existing home sales; BLS state payrolls; wholesale inventories and sales;

Atlanta Fed President Bostic at econ-outlook, mon/pol conference in San

Francisco.

- Tsy cash/ylds: 2Y 100-05.38 (2.408%), 5Y 100-04.25 (2.341%), 10Y 101-23.5

(2.967%), 30Y 100-20.5 (2.967%).

US TSY FUTURES CLOSE: Mixed after the bell -- well off early morning highs but

near middle of range when taking overnight trade into account. Decent volume

(TYM>1.4M). Update:

* 3M10Y +1.085, 7.096 (3.686L/7.632H)

* 2Y10Y -0.158, 12.442 (11.249L/13.647H);

* 2Y30Y -2.094, 55.020 (55.169L/58.115H);

* 5Y30Y -2.210, 61.987 (61.808L/65.480H);

Current futures levels:

* Jun Ultra bonds up 11/32 at 163-21 (163-05L/163-30H)

* Jun 30-yr Bond futures up 5/32 at 147-04 (146-28L/147-12H)

* Jun 10-yr futures down 2/32 at 123-11 (123-09L/123-22H)

* Jun 5-yr futures down 1.5/32 at 115-09.75 (115-09.25L/115-17H)

* Jun 2-yr futures down .75/32 at 106-9.50 (106-9.38/106-12H)

     US EURODLR FUTURES CLOSE: Steady to mildly higher by the bell, long end

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

* Jun'19 +0.005 at 97.405

* Sep'19 +0.000 at 97.435

* Dec'19 +0.005 at 97.455

* Mar'20 +0.005 at 97.555

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

* Green pack (Jun'21-Mar'22) steady to +0.005

* Blue pack (Jun'22-Mar'23) steady to +0.010

* Gold pack (Jun'23-Mar'24) +0.005-0015

US DOLLAR LIBOR: Latest settles

* O/N +0.0010 to 2.3872% (-0.0031/wk)

* 1 Month -0.0051 to 2.4855% (+0.0038/wk)

* 3 Month -0.0055 to 2.6015% (-0.0237/wk)

* 6 Month -0.0017 to 2.6773% (+0.0056/wk)

* 1 Year -0.0194 to 2.7941% (-0.0464/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.47%, $928B

* Broad General Collateral Rate (BGCR): 2.46%, $438B

* Tri-Party General Collateral Rate (TGCR): 2.46%, $422B

US SWAPS: Spds running tighter across the board, at/near lows, front end

leading. Decent flow since midmorning w/2-way in 2s around 2.49037-2.502%,

better receiving in 8s-10s. Decent fly volume w/2s3s5s receiver, 2-way in

2s3s10s and 5s7s10s payer fly. Latest spd levels:

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

Thu 3:00    -1.25/9.31    -1.31/5.44     -1.44/-0.25   -0.38/-24.38

1:15        -1.44/9.12    -1.31/5.44     -0.94/0.25    -0.44/-24.44

12:00       -1.25/9.31    -1.38/5.38     -1.19/0.00    -0.50/-24.50

9:15        -1.25/9.31    -1.00/5.75     -1.00/0.19    -0.88/-24.88

Thu Open    -0.56/10.00   -0.56/6.19     -0.19/1.00    -0.75/-24.75

Wed 3:00    +0.31/10.62   +0.94/6.50     +0.00/0.69    -1.25/-24.50

Wednesday recap: Spds well off lows after the bell, all except the 30Y. Earlier

-- front end still off late Feb lows around 8.5 (3-year lows) while 30Yr spd

extends inversion -- dragging 10Y tighter/inverting as well for first time since

early 2018. Incoming supply is not a factor today (but has been heavy last 6-8

weeks. First half flow includes decent rate paying in 2s, near $1B from

2.560-2.5589%, receivers in 3s at 2.48994%, moderate receivers in 10s around

2.5785-2.5935%; mixed flys: 2s3s4s and 3s5s10s payer flys, 3s4s5s receiver fly. 

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

22-Mar 0945 Mar Markit Mfg Index (flash) (53.0, --)

22-Mar 0945 Mar Markit Services Index (flash)

22-Mar 1000 Feb existing home sales (4.94m, 5.10m)

22-Mar 1000 Feb BLS state payrolls

22-Mar 1000 Jan wholesale inventories (1.1%, 0.1%)

22-Mar 1000 Jan wholesale sales (-1.0%, --)

22-Mar 1100 Q1 St. Louis Fed Real GDP Nowcast

22-Mar 1115 Q1 NY Fed GDP Nowcast

22-Mar 1400 Feb Treasury budget balance (-227.0B)

22-Mar 2130 Atl Fed Pres Bostic, econ-outlook, mon/pol conf, SF, Q&A

PIPELINE: $1B Valero Energy 10Y priced

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

03/21 $1B *Valero Energy 10Y +155

03/21 $1.5B #SocGen 5Y Sr +155

03/21 $1.5B #Brazil 10Y  4.7%

03/21 $1.5B ADT $750M 5NCL 5.25%, $750M 7NCL 5.75%, 8NCL3 dropped

03/21 $Benchmark Bank of Montreal bail-in 3Y +80a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* +15,000 Jun 75 calls, 1.0

* +8,000 short Apr 77 calls, 2.5

* +7,000 Green Jun 63/68/73 put flys, 1.0

* -5,000 short Apr 76 calls, 5.5

* +13,000 short Jul/Blue Jul 75/77 put spd spds, 0.5/EON over

* +5,000 short Apr/short May 76/77 call spd spds, 0.5

* -7,000 short Apr 77/80 1x2 call spds, 1.5

* 13,000 Sep 72/Green Sep 71 put spds, 0.0 E3U over

* +10,000 Dec 71/72/75 broken put flys, 8.5 net

* Update, total +35,000 Dec 71/72/73/75 put condors, 5.25

* +5,000 Dec 71/72/73/75 put condors, 5.25

* +25,000 short May 82 calls, 0.5 on screen

* 5,000 Red Jun 73/75 put spds, 4.5 vs. 97.635/0.05%

* +6,500 Dec 72/73 put spds, 3.0 vs. 97.49/0.10%

* 4,000 Dec 72/75 put spds, 9.5 vs. 97.475/0.35%

* +5,000 Mar20 76/77 call spds 1.0 over the Mar 72/73 put spds

* 10,000 Blue Jun 76/77 2x1 put spds on screen

* +6,500 Dec 71/73 2x1 put spds, 3.5

* 7,500 Mar 76/77 call spds, 4.0

* +5,000 Sep 77/78 call spds, 0.75

* 2,000 Red Mar'20 72/73 call strip 18.5 vs. 97.79

Block, 0820:40-0822:10ET,

* +25,500 Dec 72/73 put spds, 3.0

Blocks, 0629:03ET, adds to 5k block at 0514:30ET

* +7,500 Green Jun 72/80 call over risk reversals (not strangle), 3.5 net vs.

97.79/0.20%

Prior to the combo, early overnight Block recap:

* +11,200 Green Sep 78/80 call spds 1.0 over the Green Sep 73 put

* -5,000 short Jun 75 straddles, 22.5

Tsy options, Pit/screen:

* 8,000 TYM 122.5/124.5 call over risk reversals, 3/64

* 1,000 FVK 114.75 put vs. 2,000 FVK 116.5 call spds, 3.5/64 vs. 115-14

* -2,000 TYK 122.5/123.5 call over risk reversals, 23/64

LARGE option Block, 0953:01ET

* -43,565 TYK 123/123.5 call spds, 17/64

* +2,500 FVM 115/115.5 2x1 put spds, 0.5

* +2,300 TYK 123.5/124 strangles, 50/64

* +10,000 TYJ 123 puts, cab-7

* Update, total -30,000 TYJ 123.5 calls, 7- to 8/64

* total -15,000 TYJ 123.5 calls, 7- to 8/64

* appr -20,000 FVK 114.5/115.5 call spds on screen at 44/64

* 6,000 TYJ 123.5 calls, 7- to 8/64

* +3,000 TYK 122.5 puts, 9/64 vs. 123-16

* -5,000 FVK 114.5/115.5 call spds, 44/64

* -8,000 TYJ 123 calls, 34/64

* +3,000 TYJ 124 calls, 1/64

* +3,500 FVM 114 puts, 3/64

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

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