US TSY SUMMARY: Tsys finish higher but well off early session highs after knee-jerk risk-off geo-pol react. Tsys extended past overnight highs following early tweet from US pres Trump apparently taunting Syria and Russia about launching missiles at Syria in retaliation over gas attack. Prior to tweet, modest sideways trade on light volume (TYM was just ticking over 200k) with many sidelined ahead FOMC minutes later in day, CPI data (0.0% est). - US$ index weaker (-.038, 89.549); equities weaker/off early lows (emini -12.75, 2642.25); gold higher but well off early session highs (XAU+12.64, 1352.11); West Texas crude adding to Tue's rally amid ongoing mid-east tensions (WTI +1.17, 66.68, new 3y highs). - Mixed/two-way flow on net as participants hit sidelines heading into minutes -- showed 'almost all' wanted to raise rates at the latest meeting, with a couple pointing to benefits of waiting for a rise in infl, as data show infl goal of 2% more likely. Tsy futures trade softer following little weak 10Y note auction R/O, 2.795% yld with softer B/C from last month at 2.46. - Late ylds: 2Y 2.305%, 3Y 2.443%, 5Y 2.610%, 7Y 2.722%, 10Y 2.779%, 30Y 2.994%
US TSY FUTURES CLOSE: Stronger across the curve but well off early session highs as initial risk-off tone tempered, equities paring losses. Curve update: * 2s10s -2.061, 46.929 (49.806H/45.693L); * 2s30s -2.730, 68.313 (71.939H/66.975L); * 5s30s -1.474, 38.027 (40.337H/37.216L); Current futures levels: * Jun Ultra bonds up 12/32 at 159-24 (158-30L/160-21H) * Jun 30-yr Bond futures up 8/32 at 146-06 (145-19L/146-28H) * Jun 10-yr futures up 2.5/32 at 120-27 (120-21.5L/121-03.5H) * Jun 5-yr futures up 1/32 at 114-07.75 (114-05.25L/114-13.5H) * Jun 2-yr futures steady at 106-8.25 (106-08L/106-10.25H)
US EURODOLLAR FUTURES CLOSE: Steady to mixed, short end under pressure by the bell, near session lows. Current White pack (Jun'18-Mar'19): * Jun'18 -0.015 at 97.665 * Sep'18 -0.015 at 97.580 * Dec'18 -0.010 at 97.470 * Jun'19 -0.010 at 97.380 * Red pack (Jun'19-Mar'20) steady to -0.005 * Green pack (Jun'20-Mar'21) steady * Blue pack (Jun'21-Mar'21) steady * Gold pack (Jun'22-Mar'22) steady to +0.005
US DOLLAR LIBOR: Latest settles, * O/N +0.0000 to 1.7019% (-0.0012/wk) * 1 Month +0.0012 to 1.8956% (-0.0015/wk) * 3 Month +0.0026 to 2.3416% (+0.0042/wk) * 6 Month +0.0050 to 2.4725% (+0.0003/wk) * 1 Year +0.0053 to 2.7095% (+0.0013/wk)
REPO REFERENCE RATES: (rate, volume) * Secured Overnight Financing Rate (SOFR): steady 1.75%, $811B * Broad General Collateral Rate (BGCR): steady at 1.70%, $336B * Tri-Party General Collateral Rate (TGCR): steady 1.70%, $250B
US SWAPS: Spds running wider across the curve by the bell, inside range day with levels paring move late, spd curve flatter. Modest flow included better rate paying in 1s-5s, 5Y switch around 2.75346%, and some steepener interest in the intermediates. Modest deal-tied flow in the mix.
PIPELINE: $2.5B total Democratic Socialist Rep of Sri Lanka 2-part launch Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #: 04/11 $2.5B SRILAN (Democratic Socialist Rep of Sri Lanka) $1.25B each 5Y, 10Y 04/11 $Benchmark IADB 3Y Global
OUTLOOK: Data/speaker calendar (prior, estimate): - Apr 12 07-Apr jobless claims (242k, 230k) 0830ET - Apr 12 Mar imports price index (0.4%, 0.1%) 0830ET - Apr 12 Mar exports price index (0.2%, --) 0830ET - Apr 12 08-Apr Bloomberg comfort index 0945ET - Apr 12 06-Apr natural gas stocks w/w 1030ET - Apr 12 US Tsy $13B 30Y Bond auction, settle Apr 16 1300ET - Apr 12 11-Apr Fed weekly securities holdings 1630ET - Apr 12 Mn Fed Pres Kashkari moderated Q&A w/Tim Worke, CEO Assc General Contractors Mn 1700ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen: * -4,000 Red Sep 72 straddles, 48.0 * -3000 short Sep 72 straddles, 30.0 * 2,000 Jun 76/78 put spds, 17.5 vs. 97.68 Earlier flow includes * +10,000 long Green Jun 60/68 4x1 put spds, 6.0 * -3,000 Red Jun 72 puts, 18.0 * -10,000 Blue Jun 72 puts, 18.0 vs. 97.18/0.66% * Update +40,000 Dec 70/71 put spds, 1.0 (25k vs. 97.48) * +14,000 Dec 70/71 put spds, 1.0 * +20,000 short Apr 70 puts, 4.5vs. 97.185/0.30% * Update, total +8,000 Jun 75/76 put spds, 3.0-3.25 * +5,000 Green Apr 71/72 call over risk reversals, 0.5 vs. 97.195/0.37% * +4,000 Green Jun 70 puts, 4.5 vs. 97.185 Pre-data flow includes * +3,000 Jun 75/76 put spds, 3.0 * +2,500 May/Jun 76 put strips, 5.5
Tsy options, Pit/Screen: * -9,000 TYM 122/123 call spds, 10/64 vs. 121-02/0.15% still offered * +3,000 TYK 121 calls, 20/64 vs. 121-02/0.52% * -5,485 wk2 TY 121.5/122 call spds, 2/64 * +/-1,600 USM 139/156 risk reversals, 0.0 * -1,000 USU 150 calls, 1-0/64 * -9,000 TYM 122/123 call spds, 10/64 vs. 121-02/0.15% still offered * +3,000 TYK 121 calls, 20/64 vs. 121-02/0.52% * -5,485 wk2 TY 121.5/122 call spds, 2/64 * +/-1,600 USM 139/156 risk reversals, 0.0 * -1,000 USU 150 calls, 1-0/64 * +12,500 TYK 121/122 call spds, 15/64 * -2,500 TYK 120 puts, 3/64 * +1,000 FVM 114.25 straddles, 46/64
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]