US TSYS: BONDS REVERSE EARLY LOSSES, POSITIONING AHEAD FOMC

US TSY SUMMARY: Quiet start to busy central bank week -- four policy anncs:

FOMC, BOJ, BOE and Norges bank. Tsy ylds opened higher amid tepid carry-over

risk-on tone from overnight, not much to write home about as equities held

little gains, narrow range all day.

- FOMC Wed: no change expected, June cut chances drift around 93% priced in (Sep

or Oct evenly distributed around 75%, Dec appr 70%); positioning varies around

2-3 cuts for 2019; effect of US tariffs on global trade difficult to price with

lack of certainty.

- Yield curves reversed/flattened out as Tsy futures quietly extend session

highs -- long end outperforming. Desks reporting little substantive flow heading

into midday, moderate position squaring flows ahead mid-week FOMC.

- On tap for Tuesday: May housing starts and permits; Jun NY Fed Business

Leaders Index; Redbook retail sales.

- The 2-Yr yield is up 2bps at 1.8606%, 5-Yr is up 1.1bps at 1.844%, 10-Yr is up

0.3bps at 2.0838%, and 30-Yr is down 0.9bps at 2.5762%.

US TSY FUTURES CLOSE: Mixed, curves flatter after mixed start, long end rebounds

mid-morning to near top end of range for much of second half. Trading after the

bell:

* 3M10Y  -0.846, -10.393 (L: -11.167 / H: -6.426)

* 2Y10Y  -1.632, 21.947 (L: 21.633 / H: 24.105)

* 2Y30Y  -2.814, 71.288 (L: 71.083 / H: 74.167)

* 5Y30Y  -1.999, 72.979 (L: 72.814 / H: 75.255)

Current futures levels:

* Sep 2-Yr futures down 0.875/32  at 107-13.875 (L: 107-12.75 / H: 107-15.5)

* Sep 5-Yr futures down 0.25/32  at 117-23 (L: 117-19 / H: 117-25.25)

* Sep 10-Yr futures up 1.5/32  at 127-11 (L: 127-03 / H: 127-13)

* Sep 30-Yr futures up 9/32  at 154-20 (L: 154-00 / H: 154-24)

* Sep Ultra futures up 14/32  at 176-3 (L: 175-02 / H: 176-08)

US EURODLR FUTURES CLOSE: Mixed by the bell, short end under pressure all

session, carry over from overnight/prior to rebound in 3M LIBOR +0.0165 to

2.4185% (-0.0486 last wk). Current White pack (Sep 19-Jun 20):

* Sep 19 -0.025 at 97.900

* Dec 19 -0.045 at 98.010

* Mar 20 -0.040 at 98.200

* Jun 20 -0.040 at 97.280

* Red Pack (Sep 20-Jun 21) -0.030 to -0.020

* Green Pack (Sep 21-Jun 22) -0.015 to -0.010

* Blue Pack (Sep 22-Jun 23) steady to +0.010

* Gold Pack (Sep 23-Jun 24) +0.010 to +0.015

US SWAPS: After a brief retrace around midday, spds forged wider in the second

half, rebounding off new all-time lows in front tapped last week. Early

directionality w/higher Tsy ylds in first half gave way to rate paying and spd

curve flatteners in 2s vs. 5s and 10s so far, also decent pick-up in deal-tied

hedging. Latest spd levels:

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

Mon 1500    +1.62/3.31     +1.25/-1.00    +1.25/-5.69   +1.50/-31.62

1330        +1.56/3.25     +0.88/-1.38    +0.31/-6.62   +0.75/-32.38

1200        +1.38/3.06     +0.69/-1.56    +0.12/-6.81   +0.00/-33.12

1015        +1.25/2.94     +0.94/-1.31    +0.62/-6.31   +0.50/-32.62

0900        +1.00/2.69     +1.00/-1.25    +0.62/-6.31   +0.56/-32.56

Mon Open    +0.44/2.12     +0.75/-1.50    +0.38/-6.56   +0.38/-32.75

US DOLLAR LIBOR: Latest settles resume 

* O/N -0.0023 at 2.3443% (-0.0051 last wk)

* 1 Month +0.0085 to 2.3902% (-0.0304 last wk)

* 3 Month +0.0165 to 2.4185% (-0.0486 last wk)

* 6 Month +0.0314 to 2.3087% (-0.0944 last wk)

* 1 Year +0.0402 at 2.2867% (-0.0996 last wk)

STIR: Federal Reserve Bank of New York EFFR for prior session:

Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 2.36%, volume: $63B

* Daily Overnight Bank Funding Rate: 2.35%, volume: $169B 

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

* Secured Overnight Financing Rate (SOFR): 2.35%, $1.047T

* Broad General Collateral Rate (BGCR): 2.32%, $470B

* Tri-Party General Collateral Rate (TGCR): 2.32%, $437B

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

18-Jun FOMC policy meeting gets underway

18-Jun 0830 May housing starts (1.235m, 1.240m)

18-Jun 0830 May building permits (1.29m, 1.30m) 

18-Jun 0830 Jun NY Fed Business Leaders Index

18-Jun 0855 15-Jun Redbook retail sales m/m (-2.6%, --)

PIPELINE: Modest supply for week estimated at over $15B

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

06/17 $600M #ERP Operating 10Y +97

06/17 $500M *Korea Electric Power (KEPCO) 5Y +75

06/17 $500M KKR Grp Finance WNG 10Y +190a

06/17 $350M Wisconsin Power and Light 10Y +110a

06/17 $Benchmark Chile 30Y +120a

06/17 $Benchmark Jackson National Life 5Y, 10Y

06/17 $Benchmark Hyundai Capital AM, 3Y +130a, 5Y +160a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

BLOCK, 1424:34, adds to -10k at 5.0 earlier

* -10,000 short Aug 87 calls, 4.5

BLOCK, 1347:42ET,

* -20,000 Red Dec'20 77/81 call spds, 23.0 vs.

* +20,000 Red Dec'20 73 puts, 6.0

- when you think you've seen the last of par call trade --

* +2,000 Red Dec'20/Mar'21/Jun'21 92/95/97/100 call condor strip, paying 9.0 for

the package

* -7,500 Sep 78/80 2x3 call spds, 2.0

* +10,000 Red Dec 73 puts, 6.0 vs. 98.365

* update, appr -10,000 Jul 81/Aug 82 call strip, 3.0-3.25

* +10,000 Red Dec 77/81 call spds, 23.5 vs. 98.37

* 5,000 Jun 82 calls, 32.5 vs. 98.285

* 3,500 Sep 75/76/77 put flys, 1.75 vs. 97.92

BLOCK, 1047:07ET,

* +27,500 Red Dec 73 puts, 6.0 vs. 98.38/0.12%

BLOCK, 1014:13ET,

* -17,750 Aug 82 calls, 1.5

* -15,000 Jul 78 calls, 9.5 to 10.0

* another 20,000 (10k Blocked) Mar 90/92 call spds, 2.5 adding to earlier (appr

50k total)

BLOCK, 0851:27ET,

* +10,000 Mar 90 calls 0.5 over short Mar 92 calls

* 4,000 Aug 76/77/78 2x3x1 put flys, 1.0 net, belly over

* >15,500 short Aug 87 calls, 5.0

* 13,500 Green Jul 88/90 call spds, 1.0

* Update, 30,000 (5k Blocked) Mar 90/92 call spds, 2.5

Tsy options

* +60,000 TYU 1196.5/121.5 put spds, 1.0/screen

* 25,000 TYU 1196.5/121.5 1x2 put spds

BLOCK, 1014:03ET, still bid

* -9,086 TYQ 126.5 calls, 1-11/64

* 13,000 TYN 127.5 calls, 11-14

* 50,000 TYN 126 puts, 2/64, open interest 59,593 coming into the session

Blocks/overnight

* 10,000 TYQ 128/129 call spds, 16/64

* 20,000 TYN 127.5 call spds, 13/64

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

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