US TSYS: TSYS ROTATE NEAR STEADYAHEAD THU'S DATA DROP

US TSY SUMMARY: Rates rotated around steady after the bell, near middle of range

on decent volume (TYM>1.3M -- near half of that by midmorning) amid two-way

positioning ahead Thu's heavy data drop/shortened session ahead Fri close. 

- Early risk-on, Tsys yields tracked China and Bund gilts higher, latter

underperforming Tsys, 10YY back to mid-March levels. Gold continued decline (5

days running) partially tied to persistent China green-shoots chatter (MORGAN

STANLEY RAISES 2019 CHINA GDP FORECAST BY 2 PPT TO 6.5%; China 10Y yld through

200DMA; China O/N repo 3%/4Y high).

- Tsy futures Blocked: large 2s10s flattener (-20,925 TUM 106-07.38 vs. +10,844

TYM 122-25); large short end buy/block at midday (+16,564 TUM 106-08.5). Decent

deal-tied hedging, dealer issuance active.

- On tap for Thursday: February business inventories; weekly claims; March

retail sales; Apr Philadelphia Fed Mfg Index; April Markit Mfg and Services

Indexes; February business inventories; March leading indicators.

- The 2-Yr yield is down 1.4bps at 2.3981%, 5-Yr is down 0.8bps at 2.3975%,

10-Yr is unchanged at 2.5904%, and 30-Yr is down 0.2bps at 2.9895%.

US TSY FUTURES CLOSE: Back to near steady/middle of range on decent volume

(TYM>1.3M), yld curves mostly steeper. Curve update:

* 3M10Y  -0.755, 15.758 (L: 13.904 / H: 18.518)

* 2Y10Y  +1.217, 18.812 (L: 17.079 / H: 19.02)

* 2Y30Y  +1.059, 58.808 (L: 57.115 / H: 59.253)

* 5Y30Y  +0.505, 58.942 (L: 57.41 / H: 59.408)

Current futures levels:

* Jun Ultra futures (WN) up 1/32  at 162-28 (L: 162-09 / H: 163-07)

* Jun 30-Yr futures (US) down 1/32  at 146-10 (L: 145-31 / H: 146-18)

* Jun 10-Yr futures (TY) up 1.5/32  at 122-28 (L: 122-20.5 / H: 122-30)

* Jun 5-Yr futures (FV) up 1.5/32  at 115-2.25 (L: 114-29.75 / H: 115-03.75)

* Jun 2-Yr futures (TU) up 0.875/32  at 106-8.25 (L: 106-06.625 / H: 106-08.75)

US EURODLR FUTURES CLOSE: Steady to marginally mixed after the bell, Reds

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

* Jun 19 -0.005 at 97.410

* Sep 19 -0.005 at 97.445

* Dec 19 +0.010 at 97.450

* Mar 20 +0.015 at 97.545

* Red Pack (Jun 20-Mar 21) +0.010 to +0.015

* Green Pack (Jun 21-Mar 22) +0.005 to +0.005

* Blue Pack (Jun 22-Mar 23) steady

* Gold Pack (Jun 23-Mar 24) -0.005 to steady

US DOLLAR LIBOR: Latest settles

* O/N -0.0035 at 2.3856% (-0.0066/wk)

* 1 Month +0.0076 to 2.4873% (+0.0100/wk)

* 3 Month -0.0093 to 2.5915% (-0.0095/wk)

* 6 Month +0.0023 to 2.6336% (-0.0041/wk)

* 1 Year +0.0066 at 2.7618% (+0.0135/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.47%, $961B

* Broad General Collateral Rate (BGCR): 2.43%, $466B

* Tri-Party General Collateral Rate (TGCR): 2.43%, $438B

US SWAPS: Spds inching wider, wings outpace intermediates amid some deal-tied

paying as financial names resume issuance post earnings. Otherwise, swap-flow

rather muted, couple payer flys: 2s5s6s and 4s6s8s on moderate size. Latest spd

levels:

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

12:15       +0.88/10.31   +0.06/3.69     +0.19/-0.81   +0.62/-22.75

10:45       +0.25/9.69    +0.06/3.69     +0.31/-0.69   +0.75/-22.62

9:15        +0.12/9.56    -0.06/3.56     +0.19/-0.81   +0.56/-22.81

Wed Open    +0.31/9.75    +0.12/3.75     +0.44/-0.56   +0.75/-22.62

Wed 7:30    +0.31/9.75    +0.12/3.75     +0.44/-0.56   +0.75/-22.62

Tue 3:00    -0.56/9.50    -0.19/3.44     -0.25/-1.12   +0.12/-23.69

Tuesday recap: Spds ground tighter late amid an unexpectedly decent amount of

corporate issuance on the session ($12.75B). Otherwise rather quiet session for

swaps.

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

18-Apr 0500 Feb business inventories

18-Apr 0830 13-Apr jobless claims (196k, 206k)

18-Apr 0830 Mar retail sales (-0.2%, 1.0%)

18-Apr 0830 Mar retail sales ex. motor vehicle (-0.4%, 0.8%)

18-Apr 0830 Mar retail sales ex. mtr veh, gas (-0.6%, --)

18-Apr 0830 Apr Philadelphia Fed Mfg Index (13.7, 11.0)

18-Apr 0945 Apr Markit Mfg Index (flash)

18-Apr 0945 Apr Markit Services Index (flash) (55.3, --)

18-Apr 1000 Feb business inventories (0.8%, 0.3%)

18-Apr 1000 Mar leading indicators (0.2%, 0.4%)

18-Apr 1030 12-Apr natural gas stocks w/w

18-Apr 1630 17-Apr Fed weekly securities holdings

PIPELINE: $4.5B Bank of America 2-part priced late

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

04/17 $4.5B *Bank of America $3B 8NC7 +107, $1.5B 21NC20 +110

04/17 $1.75B *Province of Ontario 3Y +15

04/17 $1B #Nationwide 4NC3 +125

04/17 $1B #Blackrock 10Y +75

04/? $Benchmark Tokyo Metropolitan Gov 3-7Y US$ or Euro issue chatter

04/? $Benchmark Waste Management

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

Legging EOU 76/78/81 call fly, 4.25

* 15,000 short Sep 78/81 1x2 call spds, 0.0

* 15,000 short Sep 76/78 2x3 call spds, 8.5

* +5,000 short Dec 78 calls, 14.0 vs. 97.69/0.40%

* 5,000 short Dec 80/86 1x2 call spds, 5.5

* +8,500 short Dec 80/86 1x2 call spds, 5.5 vs. 97.70/0.10%

* +5,000 Green Jun 75 puts, 3.5 vs. 97.67/0.22%

* 4,000 Sep 71/72 put spds, 0.5

* +10,000 Jul 76 calls, 1.5

* -2,000 short Jun/Blue Jun 76 straddle strip, 37.5

* +15,000 Blue Jul 68/72 put spds, 1.5 (after +25k Green Jul put spd bought)

* +25,000 Green Jul 68/72 put spds, 1.0

* near 20,000 short May 75 puts, 2.5

* +4,000 Mar 76/80/83 call flys, 4.0 vs. 97.53/0.11%

Highlight overnight flow/Blocks

* +42,000 short Jul 77/80 call spds, 5.0 (20k Blocked)

* 15,000 short Jul 75/77 put spds

* 30,000 short Jul 76/77 put spds

* 20,000 short Dec 73/75/76 put trees

* 3,500 short May 75/76 put spd

Tsy options, Pit/screen:

* +11,300 FVK 115 puts, 7.5/64

* 7,500 FVK 114.75/115 put spds, 5.5/64

* +2,000 TYK /TYM 122 put spds, 12/64 vs. 122-26.6

* -7,500 FVM 115/116 call spds, 15/64

* -4,000 TYM 124 calls vs. 2,000 wk1 TY 123 calls, 2/64db

* +2,600 TYM 125 calls, 4/64

* 2,000 FVM 115.5/115.75/116/116.25 call condors, 2/64

* 10,000 FVM 115.75/116.25 call spds, 3.5/64

* 6,100 FVM 114 puts, 3.5

* 10,000 TYK 122.5 puts, 6- to 11/64

* 1,800 TYK 122.25/123.25 call over risk reversals, 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$]