US TSYS: WEAKER RATES SHRUGGING OFF ADP, ISM MISSES

US TSY SUMMARY: Tsys weaker across the board -- trading narrow band, near

session lows all day; yld curves modestly steeper. Tsys followed EGBs lower on

day (Bund 10Y yld climbed off negative first time since March 22). Surge in

equities back to mid-Oct 2018 levels added to weaker rates as did incoming

corporate debt issuance, near $14B.

- Moderate futures volume (TYM>1.4M); US$ index lower/off early session lows

(DXY -.279, 97.082); equities firmer but well off midday highs (SPX +5.0,

2872.0).

- Relative quiet trade, shrugging off less than exp ADP private March employ

data (+129k), long end clawed off lows following lower than exp ISM NON-MFG COMP

56.1. Two-way flow w/better fast- and real$ flow, deal-tied hedging in mix.

- On tap for Thursday: Relative quiet ahead Friday's headline data, Thursday's

session includes March challenger layoff plans; weekly claims; March Treasury

STRIPS Holdings and Fed weekly securities holdings after the close.

- The 2-Yr yield is up 2.6bps at 2.3288%, 5-Yr is up 2.9bps at 2.315%, 10-Yr is

up 3.6bps at 2.5098%, and 30-Yr is up 4.7bps at 2.9242%.

US TSY FUTURES CLOSE: Weaker across the board -- trading narrow band, near

session lows all day; yld curves modestly steeper. Update:

* 3M10Y  +2.732, 8.117 (L: 4.416 / H: 10.217)

* 2Y10Y  +1.108, 18.079 (L: 16.662 / H: 18.973)

* 2Y30Y  +2.174, 59.425 (L: 56.961 / H: 60.22)

* 5Y30Y  +1.954, 60.832 (L: 57.965 / H: 61.167)

Current futures levels:

* Jun Ultra futures (WN) down 1-6/32  at 164-26 (L: 164-19 / H: 166-11)

* Jun 30-Yr futures (US) down 24/32  at 147-18 (L: 147-14 / H: 148-16)

* Jun 10-Yr futures (TY) down 8/32  at 123-16.5 (L: 123-13 / H: 123-27)

* Jun 5-Yr futures (FV) down 4/32  at 115-15.75 (L: 115-12.75 / H: 115-21.25)

* Jun 2-Yr futures (TU) down 1.5/32  at 106-13.75 (L: 106-13.125 / H: 106-16)

US EURODLR FUTURES CLOSE: Modestly lower across the strip, near middle of range,

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

* Jun 19 -0.010 at 97.430

* Sep 19 -0.010 at 97.50

* Dec 19 -0.020 at 97.520

* Mar 20 -0.020 at 97.625

* Red Pack (Jun 20-Mar 21) -0.025 to -0.015

* Green Pack (Jun 21-Mar 22) -0.02 to -0.015

* Blue Pack (Jun 22-Mar 23) -0.025 to -0.02

* Gold Pack (Jun 23-Mar 24) -0.035 to -0.03

US DOLLAR LIBOR: Latest settles

* O/N +0.0059 to 2.3861% (+0.0041/wk)

* 1 Month -0.0022 to 2.4771% (-0.0174/wk)

* 3 Month -0.0046 to 2.5977% (-0.0020/wk)

* 6 Month +0.0045 to 2.6551% (-0.0044/wk)

* 1 Year +0.0163 to 2.7495% (+0.0389/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.46%, $978B

* Broad General Collateral Rate (BGCR): 2.43%, $442B

* Tri-Party General Collateral Rate (TGCR): 2.43%, $411B

US SWAPS: Spds running tighter/spd curve continues to flatten amid moderately

heavy deal-tied flow. Other flow over last couple hours includes receiving in 2s

at 2.4465%, receiving in 3s at 2.372%, light payers in 5s at 2.3745% and 10s at

2.504%, 2s3s5s receiver fly. Latest spd levels:

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

Tue 3:00    +0.38/12.00   -0.31/4.75     -1.12/-1.06   -1.25/-24.50

1:30        -0.16/11.75   -0.56/4.12     -0.75/-1.88   -1.22/-25.62

12:15       -0.29/11.62   -0.25/4.44     -0.31/-1.44   -0.72/-25.12

10:00       +0.15/12.06   +0.00/4.69     +0.19/-0.94   +0.02/-24.38

Wed Open    -0.04/11.88   -0.50/4.19     -0.38/-1.50   -0.41/-24.81

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

04-Apr 0730 Mar challenger layoff plans (117.2%, --)

04-Apr 0830 30-Mar jobless claims (211k, 216k)

04-Apr 0900 NY Fed Pres Williams, Comm Bankers Conf, NY

04-Apr 1030 29-Mar natural gas stocks w/w (-36.0 Bcf, --)

04-Apr 1130 US TSY 4W bill auction (912796VA4)

04-Apr 1130 US TSY 8W bill auction (912796VE6)

04-Apr 1300 Clev Fed Pres Mester, Ohio Banker's Day, Columbus, Ohio, Q&A

04-Apr 1500 Mar Treasury STRIPS Holdings

04-Apr 1630 03-Apr Fed weekly securities holdings

PIPELINE: $3B Lowe's 2-part launch; $13.25B supply launch/day ($19B/wk so far)

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

04/03 $1.25B *GM Fncl long 3Y +128

04/03 $850M *NY Life 5Y +57 (after securing $1B 50Y +160 on Mon)

04/03 $6B #Tencent Holdings Ltd $1.25B 5Y +95, $750M 5Y FRN L+91, $500M 7Y +115,

$3B 10Y +145, $500M 30Y +160

04/03 $3B #Lowe's $1.5B 10Y +115, $1.5B 30Y +165

04/03 $1B #AIB 6NC5 fix/FRN +195

04/03 $1B #Vinci 10Y +127

04/03 $1B #IHS Markit $400M 5Y +137, $600M 10Y +180

04/03 $2.12B Staples 7NC3, 8NC3

04/?  Saudi Aramco

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* 5,000 Dec 75/76/77/78 call condors 2.0 vs. 97.50/0.05%

* 7,500 May 77 calls, cab

* 7,500 Sep 78/81 call spds, 1.0

* +5,000 Jul 73/76 call spds 4.5 over Jun 73 calls

* 10,000 Green Sep 78/81 call spds, 1.0 vs. 97.51/0.06%

* +17,000 short Jun 78 calls 0.5 over the Green Jun 80 calls

* over +30,000 May 77 calls, cab

* -5,000 Dec 75 calls, 14.0 vs. 97.52

* -5,000 Dec 73/75 call spds 4.5 over the Dec 71/72 put spd

* +5,000 Blue Jul 73 puts, 2.0

* +50,000 Mar 67 puts, 0.5

* -7,000 Dec 77 calls, 7.0 pit/screen

* +10,000 May 75 calls w/20,000 Jun 72/73 1x2 call spds, 12.0 total

* +8,000 Jun 72/73/75 2x4x1 call flys, 12.0 vs. 97.44/1.20%

* +5,000 Sep 75/76/77 call flys, 1.25

* +7,500 Red Jun 62 puts, cab

* +5,000 Green Sep 71/72 put strip .5 over the Sep 73 puts

* +5,000 Green Sep/Green Dec 70 put spd, 1.0 net/Dec over

* +40,000 Dec 85 calls, 1.0 on screen. Putting skew in perspective via Dec call

buying this morning -- EDZ9 currently 9752.5, EDZ 85 calls are 97.5 bps OTM

w/paper 1.0 bid, EDZ 71 puts are 40bp OTM w/small 1.0 offer. Option accts have

not bailed out of the massive put positions covering year end bought over the

past three weeks -- but upside skew bid paints another picture as to markets

concern over direction for year end.

Tsy options, Pit/screen:

* +9,200 TUM 105.25 puts, 0.5

* Update, total +6,000 TYK 125.5 calls, 3/64

Block 1051:35ET,

* +11,600 TYK 123 puts, 12/64 vs. 123-19.5/0.29%

* +2,500 wk2 TY 123.5/124 1x2 call spds, 2/64

* 2,200 TYK 125.5 calls, 3/64

* -1,300 FVM 115.5 straddles, 52.5/64

* Update, total -20,000 TYM 122.5 puts, 16/64

* -12,000 TYM 122.5 puts, 16/64

* +4,000 wk2 TY 124.5 calls

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

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