US TSYS: US$/TSY YLD CORRELATION FALTERS, 10YY SUB-3.0%

US TSY SUMMARY: Tsys trading mostly higher by the bell, off late morning highs,

curves giving back portion of wk's steepening, 10YY below 3.0. Limited react

wkly claims (-24k to 209k vs. 231k exp), durable goods new orders +2.6%, well

above +1.7% exp. Next up Fri's Q1 GDP, ECI data.

- Early bid w/EGBs, Gilts post dovish Swedish Riksbank, steady ECB policy annc

(ECB Draghi didn't talk June meet outlook; early on weaker US$. US$ index

rebounded (DXY +.407, 91.579) as WH seeks auto concessions on steel-duty talks. 

- US$/Yen at 109.359 late. Equities stronger (emini +22.75, 2667.25); gold

weaker (XAU -5.12, 1318.0); West Texas crude steady (WTI +.0, 68.05).

- Tsys held higher levels/narrow range after $29B 7Y auction stopped through w/

2.952% rate vs. 2.957% WI (previous $29B 7Y auction stopped through to 2.720%);

2.56 bid/cover vs. 2.34 prior (2.62 avg).

- Decent volume, better buying on 2-way flow, heavy upside call buying

continues. Short end Eurodollar buying (EDM8 +3.0 to 97.635) after 3M LIBOR

slipped -0.0069 to 2.3587% (-0.0065/wk).

- Late ylds: 2Y 2.488%, 3Y 2.625%, 5Y 2.819%, 7Y 2.944%, 10Y 2.990%, 30Y 3.173%

US TSY FUTURES CLOSE: Treasury futures trading moderately higher into the close,

off top end of range. Muted overall volume with June 10-yr futures (1.1M),

Curves are flatter, updates:

* 2s10s -3.571, 50.033 (54.591H/49.658L);

* 2s30s -3.631, 68.319 (72.892H/67.854L);

* 5s30s -1.769, 35.250 (37.692H/34.915L);

Current futures levels:

* Jun Ultra bonds up 28/32 at 155-00 (153-29L/155-13H)

* Jun 30-yr Bond futures up 20/32 at 142-12 (141-19L/142-20H)

* Jun 10-yr futures up 6.50/32 at 119-09 (119-0.50L/119-12.5H)

* Jun 5-yr futures up 1.75/32 at 113-11.25 (113-8.50L/113-14.25H)

* Jun 2-yr futures down 0.25/32 at 106-0.25 (106-00L/106-01.75H)

US EURODOLLAR FUTURES CLOSE: Higher across the strip, short end well bid all

session after 3M LIBOR set lower (-0.0069 to 2.3587%, -0.0065 for wk now),

levels near middle of range out the strip. Current White pack (Jun'18-Mar'19):

* Jun'18 +0.030 at 97.635

* Sep'18 +0.025 at 97.505

* Dec'18 +0.020 at 97.360

* Jun'19 +0.015 at 97.245

* Red pack (Jun'19-Mar'20) +0.015-0.020

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

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

* Gold pack (Jun'22-Mar'22) +0.025-0.030

MONTH-END EXTENSIONS: Bloomberg-Barclays US month-end index extensions compared

to the average increase for the past year and the same time in 2017.

*.....................Projected...1Y Avg Incr..Last May

*US Tsys.................0.06........0.06........0.05

*Agencies................0.02........0.08........0.07

*Credit..................0.06........0.05........0.05

*Govt/Credit.............0.06........0.06........0.05

*MBS.....................0.07........0.05........0.14

*Aggregate...............0.06........0.05........0.08

*Long Govt/Credit........0.04........0.01.......-0.03

*Interm Credit...........0.06........0.04........0.06

*Interm Govt.............0.05........0.04........0.05

*Interm Govt/Cred........0.06........0.03........0.06

*High Yield..............0.07........0.00........0.01

US DOLLAR LIBOR: Latest settles,

* O/N +0.0000 to 1.7031% (+0.0000/wk) 

* 1 Month +0.0009 to 1.9007% (+0.0037/wk)

* 3 Month -0.0069 to 2.3587% (-0.0065/wk)

* 6 Month +0.0025 to 2.5217 (+0.0105/wk)

* 1 Year -0.0020 to 2.7699% (+0.0096/wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): steady at 1.71%, $747B

* Broad General Collateral Rate (BGCR): down to 1.67% vs. 1.68% prior, $345B

* Tri-Party General Collateral Rate (TGCR): down to 1.67% vs. 1.68% prior, $329B

US SWAPS: Spds running mixed after the bell, spd curve on steepest lvls of day

with short end leading move while long end unwinds earlier narrowing. In-line,

continued receiving in 2s is well over $1B, recent 5k Eurodlr Red pack Block

likely swap related as well, receiving in 5s at 2.93288% and modest 2s10s

steepener. Early morning flow included $1B scale receiver in 2s

(2.7410-2.7425%), $200M payer 3Y at 2.8493%, two-way 2Y-3Y-5Y Fly, paying the

belly. Latest spd levels:

* 2Y  -1.62/25.44

* 5Y  -0.56/11.38

* 10Y +0.06/3.06

* 30Y +0.00/-12.25

PIPELINE: $2B Capital One 2-part launch, $500M Turk Eximbank 6Y priced

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

04/26 $2B #Capital One $1.25B 3Y +85, $750M 7Y +130

04/26 $500M *Turk Eximbank 6Y MS +330

Potential issuance this week:

04/26 $Benchmark, United Technologies

04/26 $Benchmark, Coca-Cola (KO)

40/26 $Benchmark Qualcomm, history of large annual issuance

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

- Apr 27 Q1 ECI (0.6%, 0.7%) 0830ET

- Apr 27 Q1 GDP (adv) (2.9%, 2.0%) 0830ET

- Apr 27 Q1 GDP Price Index (2.3%, 2.4%) 0830ET

- Apr 27 Apr Michigan sentiment index (f) (97.8, 98.0) 1000ET

- Apr 27 Q2 St. Louis Fed Real GDP Nowcast  ( %, --)

- Apr 27 Q2 NY Fed GDP Nowcast (2.9%, --)

- Apr 27 Mar farm prices (5.7%, --)

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

Latest Block, 12:35:04ET

* 10,000 Short Jun 75 calls 97.175/0.05%

* 5,000 Jun 75/77 call over risk reversal at 0.5 vs 9762/0.20%

* 3,500 Short May 70/71 3x2 put sprd at 4.5

* 7,000 Blue Jun 66/67 put sprd at 2 vs 9694/0.10%

UPDATE: Total 4,500 Green Dec 65/73 call over risk reversal at 0

* 2,500 Green Dec 65/73 call over risk reversal at 0

* 3,000 Jun 76 put at 3.5 vs 9763.5/0.10%

* 10,000 Jun 76/77 1x2 call call sprd at 2.25

UPDATE: Total 7,000 Jun 75 put at 0.5

* 3,000 Jul 73 put at 1 vs 9750/0.19%

* 3,000 Short Jul 70 put at 6 vs 9707.5/0.35%

* 3,000 Jun 76 put at 3.5

* 10,000 Mar 68/70 2x1 put sprd at 0

* 4,000 Short Sep 72 Straddle at 30.5

* 2,000 Sep 72 Straddle at 47

* 6,000 Mar 73 put at 22.5 vs 9725/0.64%

* 2,500 Short July 71 Straddle at 20

* -7,500 Short Aug 71 Straddle at 23.5-24.0, adding to 5,000 BLOCK this morning

Blocks, adding to 5k in pit, 12.5 total debit

* +35,000 short Dec 76 puts, 5.5 vs. 96.985/0.20% at 0913:02ET

* +35,000 Dec 72 puts, 7.0 vs. 97.345/0.40% at 0913:01ET

* 2,000 Jun 75 put at 0.5

* 5,000 Short Dec 66 put at 5.5 with Dec 72 put at 12.5

UPDATE: Total 11,500 Short Jun 73/75/76 put fly at 0.5, adding on screen

* 6,000 Blue June 67/71 put over risk reversal at 1 vs 9691.5/0.44%

* 10,000 Short Jun 75 call at 1.0 vs 9717/0.05%

* 3,000 Jun 76/80 put over risk reversal at 3.25

* 3,500 Short Jun 73/75/76 put fly at 0.5

Blocks, adds to earlier Block/+20k total

* +10,000 short Aug 75 calls, 2.0 vs. 97.085/0.08% at 0819:51ET

Blocks,

* +10,000 short Aug 75 calls, 2.0 vs. 97.085/0.08% at 0801:03ET

* -5,000 short Aug 71 straddles, 24.0 at 0758:00ET

Tsy options, Pit/Screen:

* +7,000 USM 131.5 puts, 2/64 and bid (after some 16,000 USM 132 puts bought at

2/64 on screen earlier)

* +15,000 TYM 123.5 calls, 1/64 in pit with another 4,500 on screen

net mixed combo trade turns bearish as underlying pares gains on US$ bounce

* -4,000 TYM 118.25/120.25 put over risk reversals, 1/64 vs. 119-09/0.40%

earlier

* +3,700 TYN 117.5/120.5 put over risk reversals, 2/64 vs. 119-00/0.38%

* +2,500 TYN 118 puts, 24/64

* -2,000 TYM 118/120.5 put over risk reversals, 2/64 vs. 119-08/0.30%

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

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