US TSYS: TSYS REBOUND, RISK-OFF AS EQUITYS CRATER

US TSY SUMMARY: US TSY SUMMARY: Tsys started session weaker on very light volume

on what was expected to be a quiet session w/London out for post-Easter holiday.

Tsys rebounded into midday as equities cratered eminis -84.0 and change to

8558.0 lvl last seen mid-Nov'17, Indu's -707.0, paring gains late, curves

recovering small portion last wk's flattening.

- Other risk assets reflected the risk-off move w/gold higher (XAU off highs at

+16.27, 1341.27 in late trade), West Texas crude broadly lower (WTI -1.8, 63.14)

on inventory build and chatter Saudi to lower crude prices in Asia. US$ index

gained (DXY +0.55, 90.029).

- China responds to US tariff w/slap on wrist: China annc tariffs on 128 US

products (25% on portk/pork products, 15% on appr 120 fruits/fruit products,

nuts, wine).

- Muted react to Feb construct spending +0.1%, well below the +0.5% exp, and

Jan's flat reading unrevised, but Dec rev up to +1.6%. Accts waiting for Fri's

headline Mar NFP (+190k est after Feb blow-out +313k), AHE est +0.3%.

- Swap spds mixed, decent scale payer in short end, >$1.5B 2Y payer.

- Late ylds: 2Y 2.242%, 3Y 2.358%, 5Y 2.547%, 7Y 2.672%, 10Y 2.732%, 30Y 2.970%

US TSY FUTURES CLOSE: Higher but off second half highs, Tsys rebounded off lower

opening levels -- risk-off short cover/buy support as S&Ps fell below 200 dma.

Curve update:

* 2s10s +1.531, 48.410 (48.837H/46.515L);

* 2s30s +1.910, 72.272 (72.719H/69.696L);

* 5s30s +1.055, 42.059 (42.395H/39.933L);

Current futures levels:

* Jun Ultra bonds up 6/32 at 160-21 (159-14L/160-31H)

* Jun 30-yr Bond futures up 7/32 at 146-26 (145-31L/147-03H)

* Jun 10-yr futures up 4/32 at 121-08.5 (120-29.5L/121-12H)

* Jun 5-yr futures up 3.75/32 at 114-18.5 (114-10.25L/114-20.75H)

* Jun 2-yr futures up 2.25/32 at 106-12 (106-08.75L/106-12.75H)

US EURODOLLAR FUTURES CLOSE: Mildly higher across the strip, off top end of

range on modest volume -- rebounding w/Tsys in rather modest risk-off

buying/short covering as equities fell. Current White pack (Jun'18-Mar'19):

* Jun'18 +0.010 at 97.710

* Sep'18 +0.020 at 97.645

* Dec'18 +0.030 at 97.535

* Jun'19 +0.040 at 97.450

* Red pack (Jun'19-Mar'20) +0.035-0.030

* Green pack (Jun'20-Mar'21) +0.025-0.020

* Blue pack (Jun'21-Mar'21) +0.025

* Gold pack (Jun'22-Mar'22) +0.025-0.020

US DOLLAR LIBOR: Settles resume Tuesday with London back from extended holiday.

US SWAPS: Mixed by the bell, spd curve broadly flatter with long end extending

tighter vs. wider short end spds after decent scale rate-paying in 2s early,

over $1.5B from 2.59%-2.58875%, in addition to 2s7s spd flattener.

PIPELINE: High-grade supply expected to pick up after slow start to week, 

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

04/02 $400M Securian Financial Group 30Y IPT +190a

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

- Apr 03 Mar NA-made light vehicle sales SAAR (12.8m, 12.9m)

- Apr 03 31-Mar Redbook retail sales m/m (0.1%, --) 0855ET

- Apr 03 Mn Fed Pres Kashkari moderated Q&A, Reg Eco Ind Forum, Mn, Q&A. 0930ET

- Apr 03 Mar ISM-NY current conditions (54.5, --) 0945ET

- Apr 03 Apr IBD/TIPP Optimism Index (55.6 --) 1000ET

- Apr 03 $55B Tsy 4Wk bill auction 1130ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +5,000 Dec 70 puts, 1.0

* +2,500 Green Apr 70/71 2x1 put spds, 1.5

* +3,500 Blue Jun 60/61 put strip, 0.5

* +8,000 short Jun 70/71 put spds, 2.0

* total -40,000 short Jun 76 calls, 3.0 vs. 97.335/0.18% w/

* total -40,000 Green Jun 76 calls, 2.5 vs. 97.20/0.14%

* total +15,000 Green Dec 66/72/73 put trees, 0.5

* -30,000 short Jun 76 calls, 3.0 vs. 97.335/0.18% w/

* -30,000 Green Jun 76 calls, 2.5 vs. 97.20/0.14%

* 5,000 short Dec/Green Dec 75 call spds, 0.5

* +12,500 Green Dec 66/72/73 put trees, 0.5

* -4,000 Red Sep'19 72 straddles, 51.5

* +2,500 Red Dec 75 calls, 19.0

* -1,000 Blue Sep 71 straddles, 41.0

* -6,000 Blue Sep 66/76 call over risk reversals, 0.5 vs. 97.135/0.30%

* -4,000 Sep 775puts, 5.0

Block, 1110:54ET

* 10,000 short Jun 67/77 put over risk reversals, 2.0 vs. 97.19/0.45%

* +7,000 Green Apr 71/-Green May 70 put spds, 0.0

* +5,000 short Apr 75 calls, 1.0

* +2,500 Blue Apr 68/71 4x1 put spds, 4.0

* 2,000 Blue Apr 72/75 put spds, 2.0

* 1,100 Jun 75/76/77 put flys, 3.75

Tsy options, Pit/screen:

* +2,000 FVK 114.25/114.75 1x2 call spds, 2/64

* total -4,000 TYK 120.5/121.5 strangles, 29- to 28/64

* -1,000 TYM 121 straddles, 1-29/64

* -1,000 TYK 121 straddles, 55/64

* +1,000 USK 124.5/USM 142 1x2 put spds, 10/64

* 1,000 wk1 TY 119.5/120.25 2x1 put spds, 2/64

Earlier screen trade

* 2,200 TYM 108.5/111 2x3 put spds

* 1,000 TYK 121.75 calls, 11/64

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

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