US TSYS: WEAK GERMAN PMI SET STAGE FOR TSY RALLY THURSDAY

US TSY SUMMARY: Tsys ylds slipped lower on Thu's shortened pre-holiday session,

initial impetus from weaker than expected German PMI and then Eurozone metrics.

Better rate futures selling post retail sales data, selling evaporated soon

after -- not a risk-on move w/equities trading strong on session.

- Heavy Eurodollar option trade in Dec 1Y midcurve upside calls targeting rate

cuts by year end. short Dec 80/85/86/91 call condors w/ short Dec 80/85/90 call

flys, total db from 10.5-11.0 between pit and screen. Limited downside call

package painting a wide swath in the underlying while positioning for rate cuts

to be priced into late 2020 (EDZ0 currently 97.72).

- On tap for Friday: Markets closed for Easter weekend, nevertheless March

housing starts and building permits will be released as will March BLS state

payrolls, St. Louis and NY Fed Real GDP Nowcasts. Note, the Federal Reserve's

media blackout start Saturday April 20 and runs through May 2.

- The 2-Yr yield is down 2bps at 2.3802%, 5-Yr is down 3.5bps at 2.3675%, 10-Yr

is down 3.8bps at 2.556%, and 30-Yr is down 3.6bps at 2.9587%.

US TSY FUTURES CLOSE: Drifting near midmorning highs on healthy volume

(TYM>1.3M) for a shortened session; yld curves mostly flatter. Curve update:

* 3M10Y  -1.938, 13.925 (L: 10.972 / H: 15.503)

* 2Y10Y  -2.007, 17.167 (L: 17.068 / H: 19.096)

* 2Y30Y  -1.851, 57.354 (L: 57.354 / H: 59.487)

* 5Y30Y  -0.133, 58.867 (L: 58.717 / H: 60.797)

Current futures levels:

* Jun Ultra futures (WN) up 29/32  at 163-25 (L: 162-25 / H: 163-26)

* Jun 30-Yr futures (US) up 17/32  at 146-27 (L: 146-07 / H: 146-31)

* Jun 10-Yr futures (TY) up 9/32  at 123-4.5 (L: 122-27 / H: 123-07.5)

* Jun 5-Yr futures (FV) up 4.75/32  at 115-7 (L: 115-01.5 / H: 115-08.75)

* Jun 2-Yr futures (TU) up 1/32  at 106-9.25 (L: 106-08 / H: 106-10.125)

US EURODLR FUTURES CLOSE: Modestly higher across the strip by the early close,

front end underperforming. Current White pack (Jun'19-Mar'20):

* Jun 19 +0.005 at 97.415

* Sep 19 +0.010 at 97.455

* Dec 19 +0.015 at 97.460

* Mar 20 +0.025 at 97.565

* Red Pack (Jun 20-Mar 21) +0.035 to +0.045

* Green Pack (Jun 21-Mar 22) +0.035 to +0.045

* Blue Pack (Jun 22-Mar 23) +0.040 to +0.040

* Gold Pack (Jun 23-Mar 24) +0.035 to +0.040

US DOLLAR LIBOR: Latest settles

* O/N +0.0000 at 2.3856% (-0.0066/wk)

* 1 Month -0.0065 to 2.4808% (+0.0035/wk)

* 3 Month -0.0104 to 2.5811% (-0.0199/wk)

* 6 Month -0.0046 to 2.6290% (-0.0087/wk)

* 1 Year -0.0155 at 2.7463% (-0.0020/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.50%, $954B

* Broad General Collateral Rate (BGCR): 2.47%, $451B

* Tri-Party General Collateral Rate (TGCR): 2.47%, $434B

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

19-Apr 0830 Mar housing starts (1.162m, 1.230m)

19-Apr 0830 Mar building permits (1.291m, 1.296m)

19-Apr 1000 Mar BLS state payrolls (300k, --)

19-Apr 1100 Q2 St. Louis Fed Real GDP Nowcast

19-Apr 1115 Q2 NY Fed GDP Nowcast

- The Federal Reserve's media blackout start Saturday April 20 and runs through

May 2.

PIPELINE: Issuance expected to be absent on Thu's short session

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

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

04/? $Benchmark Waste Management

-

$8.25B priced Wednesday, $26.35B/wk

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

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +10,000 Blue Jun 71 puts, 0.5 vs. 97.685/0.03%

* +5,000 short Dec 73/81 call over risk reversals, 3.0

* Block: +25,000 Jul 75 calls, 3.5 vs. 97.46/0.38%

* Block: +5,000 Green Dec 73/75 3x2 put spds, 1.5

* +5,000 short Dec 73/81 call over risk reversals earlier

* total -20,000 Dec/Mar 78 call strip, 12.0 vs. 97.44-.45/0.10%

Update on Dec midcurve fly/condor strip volume (216,000 put package -- so far)

* total +27,000 short Dec 80/85/86/91 call condors w/ short Dec 80/85/90 call

flys, total db from 10.5-11.0 between pit and screen. Limited downside call

package painting a wide swath in the underlying while positioning for rate cuts

to be priced into late 2020 (EDZ0 currently 97.72). Other recent trade:

* +10,000 Red Jun'20 77/82 call spds, 10.5

* +20,000 short Dec 80/85/90 call flys, 5.0 - 5.5

* +4,000 Sep 75/77 1x2 call spds, 1.75

* +4,000 Jul 75 calls, 3.25

* short Dec 80/85/90 call flys, 5.0

* +10,000 short Dec 80/86 1x2 call spds, 6.0

* +15,000 Dec 78/83 1x4 call spds, 1.0

* buyer Green Dec 80 calls 2.0 over the Gold Dec 77 calls

* total -20,000 Dec/Mar 78 call strip, 12.0 vs. 97.44/0.10% pre-data

Block, 0747:26ET,

* +3,500 Green Dec 70/73/75 4x5x4 broken put flys, 15.0 net

Tsy options, Pit/screen:

Block, 1104:38ET,

* 9,217 TYM 123.5/124.5 call spds, 15/6

* >4,000 TYK 122.5/123 put spds, 10/64

* 2,000 TYK 122.25 puts, 2/64

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

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