US TSYS: TSYS LOWER W/BUNDS AHEAD FOMC WED, BOE/NORGES/SNB THU

US TSY SUMMARY: Tsys trading modestly lower after the bell, futures near middle

of range. Delayed react to lower Bunds, Tsys followed suit earlier, stops

triggered in former, already trading weaker on strong ZEW data. US$ slipped

lower as well w/VIX falling to near 6M lows as rates held range for couple

hours. 

- China trade headline sensitivity underscored, VIX bounced off lows w/Tsys on

chatter China "walking back offers" VIX currently +.39 at 13.49 vs. 12.37 low

this morning. Yld curves reverse early steepening; US$ index off recent lows

(DXY -.158, 96.367 vs. 96.291L). Bid in SPX evaporates (-4.5, 2836.0) after

tapping 5+ month highs earlier.

- Trading/Prop accts two way in belly, better selling in 10s from real$.

Swap-tied buying 2s, selling in 7s, 9s and 10s. Option accts positioned for no

rate hike for next couple meetings at least

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

announcement followed by Fed chairman Powell news conference.

- Tsy cash/ylds: 2Y 100-02 (2.464%), 5Y 99-25.25 (2.419%), 10Y 100-04 (2.609%),

30Y 99-17.5 (3.021%).

US TSY FUTURES CLOSE: Weaker across the board, off first half lows, holding near

middle second half range, modest volume (TYM just over 1M). Curves flatter, well

off steeper first half levels, update:

* 2s10s -0.901, 14.008 (13.981L/16.555H);

* 2s30s -0.800, 55.526 (55.286L/58.462H);

* 5s30s -0.205, 60.179 (59.601L/61.895H);

Current futures levels:

* Jun Ultra bonds down 15/32 at 161-25 (161-01L/162-13H)

* Jun 30-yr Bond futures down 10/32 at 145-26 (145-12L/146-11H)

* Jun 10-yr futures down 2.5/32 at 122-24.5 (122-20L/122-30.5H)

* Jun 5-yr futures down 1.5/32 at 114-30.25 (114-28.25L/115-02H)

* Jun 2-yr futures down .75/32 at 106-05.88 (106-05.62/106-07.5H)

US EURODLR FUTURES CLOSE: Steady/mixed by the bell, Reds underperforming.

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

* Jun'19 +0.010 at 97.395

* Sep'19 +0.000 at 97.410

* Dec'19 +0.000 at 97.400

* Mar'20 +0.000 at 97.480

* 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 +0.005

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

US DOLLAR LIBOR: Latest settles

* O/N +0.0005 to 2.3901% (-0.0002/wk)

* 1 Month -0.0010 to 2.4867% (+0.0050/wk)

* 3 Month -0.0199 to 2.6127% (-0.0125/wk)

* 6 Month +0.0035 to 2.6741% (+0.0024/wk)

* 1 Year -0.0072 to 2.8104% (-0.0301/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.41%, $942B

* Broad General Collateral Rate (BGCR): 2.38%, $450B

* Tri-Party General Collateral Rate (TGCR): 2.38%, $431B

US SWAPS: Spds running tighter across the curve, wings just outpacing belly.

Second half flow includes receiver in 2s at 2.565%, better paying in 7s, 9s and

10s. Earlier flow included better receivers in 2s-5s; two-way flys w/2s3s4s

payer, 2s5s6s receiver. Latest spd levels:

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

1:45        -1.00/10.44   -0.75/5.62     -0.75/0.69    -1.19/-23.31

11:30       -0.94/10.50   -0.56/5.81     -0.69/0.75    -1.25/-23.38

9:00        -0.81/10.62   -0.88/5.50     -1.00/0.44    -1.50/-23.62

Tue Open    +0.25/11.69   -0.06/6.31     -0.06/1.38    -0.38/-22.50

Mon 3:00    -0.94/11.12   -0.31/6.56     -0.31/1.44    +0.25/-22.25

Monday recap: Well off early wides by the closing bell, swappable incoming

supply has weighed on spds, decent issuance in 3s-10s and 30s after dearth of

supply late last week. 

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

20-Mar 0700 15-Mar MBA Mortgage Applications (+2.3%, --)

20-Mar 1030 15-Mar crude oil stocks ex. SPR w/w

20-Mar 1400 FOMC policy announcement

20-Mar 1430 Fed Chair Powell policy news conference

PIPELINE: $1.5B #Ingersoll-Rand Luxembourg Fin 3-part launched

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

03/19 $1.5B #Ingersoll-Rand Luxembourg Fin $400M 7Y +100, $750M 10Y +120, $350M

30Y +150

03/19 $2B #RBS 6NC5 fix/FRN +185

03/19 $1.25B #Nordea perp NC7 6.625%

03/19 $2.75B ADT 5NCL, 7NCL, 8NCL

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* -8,000 short Sep 75 straddles 21.0 over short Sep 77 calls

* +10,000 short Jul 75/76 put spds, 6.5

* +12,000 Mar 66 puts, 0.5

* +20,000 Dec 81/82 call strip, 3.0

* Update, total -30,000 Dec 77 calls 3.0 over the Sep 77/78 call spds

* 5,000 Mar 78 calls, 1.0

* 7,750 Dec 77 calls 3.0 over the Sep 77/78 call spds

* 10,000 Jul 76/78 call spds, 1.0

* 10,000 Sep 78/80 call spds, cab

* +20,000 Mar 71/72 put spds, 3.0

* +5,000 Sep 75/77 call spds, 0.5 vs. 97.39/0.04%

* Update, -5,500 Blue Dec 75 straddles, 38.5

* +10,000 short May 73 puts, 3.0 vs. 97.53/0.22%

* 10,000 short Sep/Blue Sep 77/81 call spd spds, 0.0 (same short Sep call spd

traded vs. Green Sep Monday, 2.0 net debit bull curve flattener)

* 8,000 short Jul 75/76 put spds, 6.5 vs. 97.565 vs.

* 8,000 Gold Jul 72/73 put spds, 3.5

* 5,000 Jun/short Jun 72/73 put spd spds, short Jun over cab net

* 6,500 short May 73 puts, 6.5

* -3,500 Blue Dec 75 straddles, 38.5

* +5k 0EK9 (May) 97.625/97.875 1x2 call spread for 2.5 -mkt src

Tsy options, Pit/screen: note April options expire Friday

* 8,500 FVM 116 calls, 8.5/64

* 4,150 FVM 111.75/112 put strip, 2/64

* 4,500 TYJ 122 puts, 1/64

* -4,000 TYM 121.5/124 strangles, 22/64

* +1,500 TYK 122.5 straddles, 1-1/64

* +5,000 FVJ 114.5 puts, 1.5/64

* -8,000 USM 147 calls, 54- to 53/64

* 2,000 TYJ 122.75/123/123.25 1x1x2 call trees, 2/64 net

* -30,000 TYJ 123.25 calls at 2/64 on screen (apparently bought 25k at 6/64 Mon)

* +4,000 TYK 122.5 puts, 25/64

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

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