US TSYS: BACK TO BULL FLATTENING, 5S30S NEW 10+ YR LOWS

US TSY SUMMARY: Quiet session despite early chop, couple notable rallies in long

end futures while 10Y yld held below 3.0% to 2.968% by the bell. Early focus

turned from BoE steady rate annc and lower inflation profile to wkly claims

(211k) and April CPI +0.2% (unrounded +0.221%) vs +0.3% exp. Tsys made new

session highs on the latter, choppy two-way flow on the follow. 

- Early flow included bank portfolio and real$ selling out the curve, fast$

2-way in short end, some profit taking in curve flatteners as well. Tsys pared

gains after the London close, holding narrow range until revisiting session

highs following strong 30Y auction (stopped .08 through to 3.130%), curves fall

to session lows (still off mid-April 10+ year lows).

- Jun/Sep futures rolling underway ahead May 31 first notice dat, FVM/FVU lead

w/near 50k on day.

- US$ index ratcheted lower (DXY -.380, 92.660; US$/Yen 109.373); equities

little firmer (emini +23.75, 2179.75) while West Texas crude higher (WTI +0.29,

71.43, 71.89H); gold stronger (XAU +8.05, 1320.76).

- Tsy ylds: 2Y 2.534%, 3Y 2.688%, 5Y 2.833%, 7Y 2.940%, 10Y 2.968%, 30Y 3.119%

US TSY FUTURES CLOSE: US Treasury Futures settling mixed, curves sharply flatter

with

5Y-30Y reaching lowest in 10+ years. Curve update:

* 2s10s -3.899, 43.110 (46.804H/42.835L);

* 2s30s -4.726, 58.045 (63.245H/57.881L);

* 5s30s -3.538, 28.498 (33.686H/28.416L);

Current futures levels:

* Jun Ultra bonds up 31/32 at 156-19 (155-12L/156-22H)

* Jun 30-yr Bond futures up 18/32 at 143-07 (142-17L/143-12H)

* Jun 10-yr futures up 4/32 at 119-12 (119-06.5L/119-21.5H)

* Jun 5-yr futures Steady 00/32 at 113-08.75 (113-07.75L/113-17.25H)

* Jun 2-yr futures down 0.5/32 at 105-29.75 (105-29.75L/106-00.5H)

US TSY FUTURES: Still a bit early, but front quarterly futures are starting to

roll, Jun/Sep volume light with FVM/FVU leading today. June future's staggered

expiration on June 20 for 10s, 30s and Ultras, and June 29 for 2s and 5s;

September futures go "top step" on May 31. Latest volume:

* TUM/TUU appr 4K from 6.5 to 7.0; 7.0 last

* FVM/FVU appr 48K from 9.25 to 9.75; 9.5 last

* TYM/TYU appr 7K from 10.75 to 11.25; 10.75 last

* USM/USU appr only 300 from 26.75 to 27; 26.75 last

* WNM/WNU appr only 360 at 22.75

US EURODOLLAR FUTURES CLOSE: Steady to mildly higher by the bell, long end well

off early session highs. Current White pack (Jun'18-Mar'19):

* Jun'18 +0.015 at 97.645

* Sep'18 +0.010 at 97.505

* Dec'18 0.000 at 97.330

* Jun'19 0.000 at 97.215

* Red pack (Jun'19-Mar'20) +0.005-Even

* Green pack (Jun'20-Mar'21) +0.005-0.015

* Blue pack (Jun'21-Mar'21) +0.015-0.025

* Gold pack (Jun'22-Mar'22) +0.025-0.035

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0000 to 1.7050% (-0.0006/wk) 

* 1 Month -0.0101 to 1.9184% (-0.0093/wk)

* 3 Month -0.0007 to 2.3550% (-0.0140/wk)

* 6 Month -0.0013 to 2.5168 (-0.0034/wk)

* 1 Year -0.0028 to 2.7681% (-0.0085/wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): steady at 1.72%, $783B

* Broad General Collateral Rate (BGCR): steady at 1.68%, $354B

* Tri-Party General Collateral Rate (TGCR): steady at 1.68%, $333B

US SWAPS: Spds mixed by the bell, spd curve sharply steeper in the face of bull

flattening in Tsys. Late session steepeners in 2s and 5s vs. 10s and 30s

partially flattener unwinds, deal-tied flow helped keep short end anchored.

Latest spd levels:

* 2Y  -0.56/24.50

* 5Y  -0.50/11.38

* 10Y +1.62/4.62

* 30Y +1.69/-8.50

PIPELINE: $6B HSBC 3-part launched

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

05/10 $6B #HSBC $2B 3NC2 FRN +60, $2B 6NC5 +112, $2B 6NC5 +100

05/10 $400M #Southern California Fas WNG 30Y +100

05/10 $Benchmark GlaxoSmithKline 3Y fix/FRN, 5Y, 7Y, 10Y

05/10 $Benchmark ANZ 3Y fix +70a, 3Y FRN L equiv

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

- May 11 StL Fed Pres Bullard U.S. economy, mon/pol, Springfield Biz Dev Corp

Meeting, Mo, Q&A 0830ET

- May 11 Apr imports price index (0.0%, 0.5%) 0830ET

- May 11 Apr exports price index (0.3%, --) 0830ET

- May 11 May Michigan sentiment index (p) (98.8, 99.0) 1000ET

- May 11 Q2 St. Louis Fed Real GDP Nowcast 1100ET

- May 11 Q2 NY Fed GDP Nowcast (3.0%, --) 1115ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 4,000 Short Jun 72 Straddle at 16.5

UPDATE: Total 18,500 Mar 70/71 put sprd at 4.5 vs 9719.5/0.10%

* 17,500 Mar 70/71 put sprd at 4.5 vs 9719.5/0.10%

* 4,000 Green Jul 67/71 Strangle at 6

* 4,000 Blue Jul 67/71 Strangle at 7.5

* 10,000 Short Sep 70 puts with 30,000 Short Dec 70 puts vs 20,000 Green Dec

65/66 put strip, net of 2 on package

* 5,000 May 76/June 75 put sprd at 0

* 3,650 Sep 75/March 72 Straddle Spread at 14

* 3,750 Green Dec 75 call at 4 vs 9697/0.10%

* 2,500 Short Dec 75 call at 3 vs 9700.5/0.10%

UPDATE: Total +10,000 Short Dec 65/67 put at 4 vs 9702/0.16%

UPDATE: Total -10,000 Green Jun 66/67 put strip for 1.5

UPDATE: Total -5,000 Jun 72/75 Strangle at 10

UPDATE: Total -4,000 Jun 77/80 1x2 call sprd vs Short Jun 76 call

* 7,000 Short Sep 76/78 call sprd at 0.5

UPDATE: Total 4,500 Short Sep 71 Straddle at 23

* 3,500 Short May 71 call at 1 vs 9713/0.35%

* 4,000 Short May 71 Straddle at 2.5 vs 9713/0.30%

* 5,000 Green May 70 call at 1 vs 9698.5/0.30%

* 2,500 Green Dec 61/65/66 put tree for 1.5 vs 9692/0.05%, (NOTE: 30k Green Dec

61/65/66 put tree for 1.5 traded yesterday)

* 2,500 Short Sep 71 Straddle at 23

* 8,000 Green Jun 66/67 put strip for 1.5

* 2,000 May 76/77/78 Iron Fly at 10.5

* 2,700 Gold Jun 68 Straddle at 16.5

* 2,150 Jun 72/75 Strangle at 10

* 2,000 May/Jun 76 put at 2

* 2,000 Blue Aug 68/70 Strangle at 20

* 2,000 Dec 71/75 call sprd at 19

Tsy options, Pit/screen:

* 4,000 TYU 121.5/122 call spds, 4/64 vs. 119-19

* 2,805 FVQ 112.25/113.25 2x1 put spds, 6/64 net

* BLOCK, -12,250 TYM 118.5 puts, 4/64 at 0920:28ET

* +2,000 TYM 118.5/TYN 118 put spds, 8/64 vs. 119-11.5/0.05%

* 2,000 TYM 119.5 calls, 21/64 vs. 119-16/0.50%

* -2,500 TYM 118.5/119/119.25 put strips, 28/64

* +5,000 TYM 119 puts, 12/64 on screen

* 1,000 USM 143.5 calls, 41/64 vs. 143-04/0.43%

* -5,000 TYM 119.5 puts, 21/64

* 1,600 117/121 strangles 34/64 vs. 119-07

Decent screen trade

* 13,000 TYU 121/121.5 call spds

* +11,400 TYM 119.75 calls, 13/64, 20k total volume from 11- to 13/64

* just over 40,000 TYM 119 puts from 12- to 16/64, 13/64 last

* 29,000 TYM 118 puts from 3- to 4/64

* 11,000 TYM 118.75 puts, 9/64

* appr 30,000 TYN 117.5/118.5 put spds

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

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