US TSYS: TSYS REVERSE EARLY RISK-ON TONE EVEN AS EQUITIES SOAR

US TSY SUMMARY: Quiet week opener, Tsys drifting off session lows by the bell,

curves extending to new 10+ year lows. Tsys opened w/risk-on tone w/equities

higher -- likely due to the limited response/react from Syria, Russia after

US/French/UK coordinated missile strike against Syrian chem sites.

- US$ index lower/off lows (DXY -.339, 89.461); equities pushing higher (emini

+25.75, 2683.0); gold firmer (XAU +1.26, 1346.69); West Texas crude weaker (WTI

-1.05, 66.34).

- With the wick of geo-pol sensitivity never far from being lit, early focus

turned to data, Mar retail sales +0.6%, stronger than analysts' exp +0.3% and

whisper exp +0.2%. Tsys drifted off lows following the better than expected

data, fast$ covering during brief participation vacuum. Early FX-tied sales in

10s carry-over from overnight. Little react to Fed Dudley comments. 

- Rather decent corp issuance (awaiting details on Citi, JPM) generating early

hedging. Light two-way swap flow w/spds running mildly tighter, 2s and 10s

leading. Decent Eurodollar put buying, targeting Dec 18. 

- Late ylds: 2Y 2.361%, 3Y 2.500%, 5Y 2.669%, 7Y 2.772%, 10Y 2.821%, 30Y 3.024%

US TSY FUTURES: CFTC COT LARGE SPEC POSITIONS PD END APR 10

                      Apr 10      Apr 3      Rec Long          Rec Short

Fut Only 2Y Notes    -81,805   -132,636   234,808 7/31/12   -329,066 1/30/18

Combined 2Y Notes    -71,464   -124,014   235,621 5/03/11   -310,549 10/17/17

Fut Only 5Y Notes   -520,483   -579,306   402,448 5/06/08   -579,306 4/3/18

Combined 5Y Notes   -509,319   -576,570   387,383 5/06/08   -576,570 4/3/18

Fut Only 10Y Note   -330,635   -375,365   608,492 8/14/07   -409,659 2/28/17

Combined 10Y Note   -282,859   -325,655   668,018 8/7/07    -386,239 1/10/17

Fut Only 30Y Bond     34,850      9,677   106,002           -178,500

Combined 30Y Bond     30,819     17,796   122,839 12/19/17  -172,009

Fut Only Ultra Bd   -153,666   -149,956    28,763 6/05/12   -170,410 3/6/18

Combined Ultra Bd   -153,627   -149,836    28,763 6/05/12   -170,357 3/6/18

Fut Only 3m Euro$ -4,018,653 -4,013,166 1,822,601 3/4/08  -4,013,166 4/3/18

Combined 3m Euro$ -2,920,183 -3,023,241 1,501,690 4/20/10 -3,030,466 3/27/18

Fut Only 30d Fed Fd  153,855     73,533   332,320 6/24/08   -286,041 8/8/17

Combined 30d Fed Fd  153,635     73,548   333,657 6/24/08   -286,025 8/8/17

US TSY FUTURES CLOSE: Treasury futures continue to rally off lows, making new

session highs post data. Curve update:

* 2s10s -1.293, 45.303 (48.065H/45.119L);

* 2s30s -1.502, 65.133 (69.245H/64.892L);

* 5s30s -0.699, 34.576 (37.504H/34.505L);

Current futures levels:

* Jun Ultra bonds up 05/32 at 158-29 (157-25L/159-00H)

* Jun 30-yr Bond futures up 01/32 at 145-14 (144-21L/145-17H)

* Jun 10-yr futures down 01/32 at 120-14 (120-07L/120-15.50H)

* Jun 5-yr futures down 01/32 at 113-29.75 (113-25.75L/113-31H)

* Jun 2-yr futures Even 0/32 at 106-04.75 (106-03.25L/106-05H)

US EURODOLLAR FUTURES CLOSE: Euro dollar futures steady to mix after the bell.

Current White pack (Jun'18-Mar'19):

* Jun'18 +0.015 at 97.635

* Sep'18 +0.005 at 97.535

* Dec'18 UNCH at 97.410

* Jun'19 UNCH at 97.310

* Red pack (Jun'19-Mar'20) -0.005-0.010

* Green pack (Jun'20-Mar'21) -0.005

* Blue pack (Jun'21-Mar'21) +/-0.005-Even

* Gold pack (Jun'22-Mar'22) +0.005-0.010

US DOLLAR LIBOR: Latest settles,

* O/N -0.0007 to 1.7012% (-0.0012 last wk)

* 1 Month -0.0013 to 1.8942% (-0.0016 last wk)

* 3 Month +0.0023 to 2.3551% (+0.0154 last wk)

* 6 Month +0.0131 to 2.5031% (+0.0178 last wk)

* 1 Year +0.0139 to 2.7440% (+0.0219 last wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): down to 1.72% vs. 1.73% prior, $776B

* Broad General Collateral Rate (BGCR): steady at 1.68%, $346B

* Tri-Party General Collateral Rate (TGCR): steady at 1.68%, $333B

US SWAPS: Spds holding mildly tighter by the bell, off lows in 2s and 10s with

intermediates outpacing wings. Muted early  flow included receivers in 5s around

2.824% small 2s3s and 3s 5s steepener, deal-tied hedging vs. Citi and JPM

issuance in the mix.

PIPELINE: $4.5B JPM 3-part and $2B Citigroup launched

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

04/16 $4.5B #JPMorgan, $1.75B 6NC5, $500m 6NC5 FRN, $2.25B 11NC10

04/16 $2B #Citigroup Inc, 11NC10 Fxd-to-FRN IPT +140a

04/16 $1.75B #Taqa $750M 7yr +160, $1B 12Y +205

04/16 $1B #Hanwa Life 30NC5 at 4.7%

04/16 $1.6B Delta Air Lines 3Y, 5Y Fxd/FRN, 10Y

04/16 F$550M Fidelity & Guaranty Life 7NCL Sr Notes

04/16 $Benchmark United Overseas Bank (UOB) 3Y fix/FRN +90

04/16 $Benchmark JFM 5Y MS +50 area

04/16 $Benchmark IDA 5Y Reg S/144a

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

- Apr 17 Mar housing starts (1.236M, 1.258M) 0830ET

- Apr 17 Mar building permits (1.321M, 1.328M) 0830ET

- Apr 17 Apr NY Fed Business Leaders Index (11.2, --) 0830ET

- Apr 17 14-Apr Redbook retail sales m/m (0.3%, --) 0855ET

- Apr 17 International Monetary Fund World Economic Outlook. 0900ET

- Apr 17 SF Fed Pres Williams NABE-Bank of Spain, Madrid, Q&A. 0915ET

- Apr 17 Mar industrial production (0.9%, 0.4%) 0915ET

- Apr 17 Mar capacity utilization (77.7%, 77.9%) 0915ET

- Apr 17 Fed Vice Chair/Supervision Gov Randal Quarles, semi-annual testimony

House Financial Services Comm 1000ET

- Apr 17 Phil Fed Pres Harker, Saint Joseph Univ, Philadelphia, Q&A. 1100ET

- Apr 17 Chi Fed Pres Evans, Chicago Rotary Club Luncheon, Q&A. 1340ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

Block, 1341:49ET, adds to earlier pit/block buys >70k at 5.0-4.5

* +10,000 short Jun 71 puts, 4.5 vs. 97.22/0.34%

* +17,500 Dec 70 puts, 1.0 vs. 97.395/0.10%

* +20,000 Dec 67/70/72 put flys, 4.5 vs. 94.39/0.17%

* -5,000 Blue Jun 73/75 call spds, 1.0

* -5,000 Jun 77/78 call spds, 1.25

* -5,000 Green Jun 68/72 call over risk reversals, 1.0

* -5,000 Blue May 68/72 call over risk reversals, 1.0

* 5,000 Green Jun 66/67/70 2x3x1 broken put flys, 4.0 net/wings over

* -5,000 Dec 70/72 put spds, 4.75

* 5,000 Sep 72/73 put spds, 2.0

* Update, total 12,500 Sep 73/75/76 2x3x1 put trees, belly 2.25 over the wings

* 4,000 Sep 71/72/73 put trees, 1.75

* 3,300 Sep 73/75/76 2x3x1 put trees, belly 2.25 over the wings

Block, 0946:51ET

* +10,000 Dec 70 puts, 1.0, still offered

* 10,000 Red Sep 62/65 2x1 put spds, 1.0

* 10,000 Dec 81/Green Jun 78 call strip, 1.0

* -10,000 Jun 76/77 1x2 call spds, 1.5

* +40,000 short Jun 71 puts, 5.0, adding to 20k Block

* +10,000 Sep 72/73/75 put flys 0.5-0.25 over Sep 77 calls

* +3,000 Aug 72/73 put spds, 1.75

Blocks, 0834:47-:58ET

* total +20,000 short Jun 71 puts, 5.0

* -10,000 Jun 76 puts, 5.5 vs. 97.625/0.50%

* -4,000 Sep 73/75/76 call trees, 0.5

Early screen highlights include

* 35,000 Sep 72/73 put spds

* 15,000 Dec 70/71/72 put flys

* 8,000 Red Dec'19 65/68 put spds

Tsy options, Pit/screen:

* 1,500 FVN 118.5/121.5 strangles, 3/64

* 1,000 TYK 121/121.5 1x2 call spds, 1/64 vs. 120-11.5

* 2,000 FVQ 112.25/113/113.25 put trees 1.5/64 over the FVM 112.5 puts

* 1,000 FVM 113/113.5 2x1 put spds, 3/64

* +2,500 USM 142puts, 61- to 62/64

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

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