US TSYS: TSYS SURGE POST FOMC, 3M10Y YLD CURVE COLLAPSE

US TSY SUMMARY: Tsys surged higher after dovish hold announcement from FOMC, 30Y

yld <3.0 to 2.972% after the bell. Yld curves in long end bull steepened while

3M10Y curve gapped >9.7 bps flatter to 5.832% late -- indicative of rising

probability of recession over medium term. US$ index dropped (DXY -.435,

95.948); equities traded higher post FOMC until prospect of waning economic

growth outweighed monetary accommodation (SPX -9.5, 2827.0).

- Looks dovish all around on the median economic projections... Weaker GDP and

lower PCE inflation for both 2019 and 2020 (not the expectation of most analysts

who saw weaker 2019 in SEP but not 2020), lower long-term NAIRU and higher

unemployment forecasts across 2019-21 = room to keep policy easy. Powell

downplayed wage growth

- Not exceptionally heavy volume on day -- but much better than lead-up to

meeting (TYM>1.4M). Tsy futures continued to grind higher late. On tap for Thu:

Wkly claims; Mar Philly Fed Mfg Index; Leading Indicators for Feb; natural gas

stocks; Fed wkly securities holdings for Mar. Tsy cash/ylds: 2Y 100-06 (2.398%),

5Y 100-06.75 (2.328%), 10Y 100-27 (2.526%), 30Y 100-16.5 (2.972%).

US TSY FUTURES CLOSE: Futures spiked higher post FOMC, Yyld curves bull steepen

for most part -- but note 3M10Y fell flattened more than 8bps -- probability of

recession in medium term on the rise. Update:

* 3M10Y -7.926, 7.695 (6.089L/15.467H)

* 2Y10Y -0.161, 13.793 (13.017L/15.900H);

* 2Y30Y +2.696, 57.649 (54.477L/59.633H);

* 5Y30Y +4.288, 63.801 (59.513L/65.669H);

Current futures levels:

* Jun Ultra bonds up 1-14/32 at 163-06 (161-23L/163-21H)

* Jun 30-yr Bond futures up 1-4/32 at 146-29 (145-23L/147-05H)

* Jun 10-yr futures up 18.5/32 at 123-11 (122-23L/123-17H)

* Jun 5-yr futures up 12.25/32 at 115-10.5 (114-29.25L/115-15H)

* Jun 2-yr futures up 4.38/32 at 106-10.12 (106-05.38/106-11.62H)

US EURODLR FUTURES CLOSE: Short end lags post FOMC rally across the strip,

levels just off top end of range, heavy volumes. Current White pack

(Jun'19-Mar'20):

* Jun'19 +0.005 at 97.400

* Sep'19 +0.020 at 97.435

* Dec'19 +0.045 at 97.445

* Mar'20 +0.070 at 97.550

* Red pack (Jun'20-Mar'21) +0.090-0.100

* Green pack (Jun'21-Mar'22) +0.090-0.095

* Blue pack (Jun'22-Mar'23) +0.085-0.075

* Gold pack (Jun'23-Mar'24) +0.075-0.070

US DOLLAR LIBOR: Latest settles

* O/N -0.0039 to 2.3862% (-0.0041/wk)

* 1 Month +0.0039 to 2.4906% (+0.0089/wk)

* 3 Month -0.0057 to 2.6070% (-0.0182/wk)

* 6 Month +0.0049 to 2.6790% (+0.0073/wk)

* 1 Year +0.0031 to 2.8135% (-0.0270/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.42%, $945B

* Broad General Collateral Rate (BGCR): 2.40%, $448B

* Tri-Party General Collateral Rate (TGCR): 2.40%, $427B

US SWAPS: 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.

Latest spd levels:

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

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

12:00       -0.12/10.19   -0.62/4.94     -0.69/0.00    -0.94/-24.19

10:45       -0.31/10.00   -0.50/5.06     -0.69/0.00    -0.81/-24.06

Wed Open    -0.06/10.25   -0.19/5.38     -0.31/0.38    -0.25/-23.50

Tue 3:00    -1.00/10.44   -0.75/5.62     -0.75/0.69    -1.19/-23.31

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

21-Mar 0830 16-Mar jobless claims (229k, 225k)

21-Mar 0830 Mar Philadelphia Fed Mfg Index (-4.1, 6.0)

21-Mar 1000 Q4 Service Revenue

21-Mar 1000 Feb leading indicators (0.0%, 0.1%)

21-Mar 1030 15-Mar natural gas stocks w/w

21-Mar 1630 20-Mar Fed weekly securities holdings

PIPELINE: $2.75B ADT continues to roll over; Quiet ahead FOMC

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

03/20 $2.75B ADT 5NCL, 7NCL, 8NCL

03/20 $350M Webster Financial 10Y +165a

-

$4.75B Priced Tuesday; $12.6B/wk

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

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

30Y +150

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

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

Block, 1521:52ET

* 10,000 Mar 68/70/71 put trees, 0.5 net vs. 97.495/0.05

* -6,000 Dec 72/75 strangles, 13.5

*  +5,000 Dec 78/80 1x2 call spds, 1.5

* +5,000 Jun 85/87 call spds, 1.5

* +5,000 Sep 75/77/80 call flys, 2.5

* -3,000 Sep 70/71/72 put flys, 0.5

* >20,000 Dec 73/76/78 call flys on screen/in pit, 5.0

* 17,500 short Sep 75/76 call spds, 6.0 vs. 97.63/0.16%

* Update, total 11,000 short Apr/short May/short Jun 76/77/78/80 call condor

strips, 6.0 total, package vs. 97.55-.555

* 4,000 Mar 71/73/76 3x4x1 put flys, 6.5 net/belly over

* 5,000 short Apr/short May/short Jun 76/77/78/80 call condor strips, 6.0 total,

package vs. 97.55

* +3,000 Green Jun 76/77 strangles, 18.0

* +3,000 long Green Dec 71/81 call over risk reversals, 6.0 vs. 97.67

* -2,000 short Apr 75/Blue Apr 76 straddle spds, 0.5/EOJ over

* +25,000 Jul 76 calls w/ Sep 73/75 1x2 call spds, 1.75 total

* +8,000 Dec 72/73/75/76 call condors on screen -- large offer remains

* appr 18,750 Sep 73/75/76 call flys on screen last minute

* -10,000 Red Dec'20 65 puts, 1.5 vs. 97.645/0.10%

* 4,000 short Sep/Blue Sep 81 call spds, 1.0

* Updates screen trade, appr 8,650 Mar 66/67 put strip (not spd), bought at 1.5

Recap overnight flow

* -20,000 Sep 72/75 call spds, 13.0

* 7,000 Mar 66/67 put spds

* >14,800 short Apr 76 calls

* >10,300 short Dec 75/76 put spds

* >6,700 short Apr 73 puts

* +7,500 Green Jun 71 puts, 1.0

* 2,500 Green May 72/73/76 broken put flys

Tsy options, Pit/screen 

* 8,000 USK 146.5/147.5 call spds, 29/64 vs. 146-25

* -40,000 TYK 122.5/123.5 call spds, 29/64 on screen

* 1,100 TYM 121/122/123 put trees, 18/64 earlier

more position clean-up ahead Fri's serial option expiry

* -3,000 FVJ 115.5 calls, 5.5/64 vs. 115-00.25/0.23%

* +1,500 FVJ 143.5/144.5 put spds, 1/64

* +2,000 TYM 121/124.5 strangles, 20/64, unwind

* 1,350 FVJ 114.5/114.75 put spds, 2/64

Reminder, Apr serial ops expire Friday. Ops 0.5 tic ITM (0.25 tic for 5-, 2-yr

opt's) auto-exercised. Traders usually have until 1900ET to notify clearing

intention to abandon option that would normally be exercised, some dealers

require earlier notice. According to CME Group data:

*             Calls     Puts      Total   Nearest-the-Money Strike Totals

* Apr 30yr   192,115  156,797    348,912  145.50 w/ 12,914 (6,351c, 6,563P)

*                                         146.00 w/ 30,905 (20,220c, 10,685P)

*                                         146.50 w/ 20,834 (18,773c, 2,061P)

* Apr 10yr   699,100  781,229  1,480,329  122.75 w/ 40,824 (28,099c, 12,725p)

*                                         123.00 w/ 101,980 (89,878c, 12,102p)

*                                         123.25 w/ 37,274 (35,692c, 1,582P)

* Apr 5yr    213,848  330,836    544,684  114.75 w/ 77,556 (26,880c, 50,676p)

*                                         115.00 w/ 49,201 (32,422c, 16,779p)

*                                         115.25 w/ 23,860 (31,880c, 980p)

* Apr 2yr     23,821    5,617     52,399  106.12 w/ 10,861 (5,383c, 5,478p)

*                                         106.25 w/ 9,816 (4,263c, 1,354p)

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

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