US TSYS: CURVE STEEPENING CONTINUES FOLLOWING THE WEEK'S TREND

US TSY SUMMARY: Tsys trading slightly higher into the bell on a tight range,

decent volume today (TYZ 1.02M), Curves slightly steeper maintaining the overall

trend of the week, 2s10s sits over 25.5 bps while 2s30s sits over 39.5 and 5s30s

sits over 25.0; Light data Friday with Markit Manufacturing comes in stronger

than expected, Markit Services comes in weaker than expected, and composite PMI

come in just under its previous performance;

-We've seen large trades in Eurodollars and Sterling this week with the theme

being affirmation of expectations of US Fed and BOE rate hike projections 

-US$ higher DXY +.302, 94.214 (93.814L/94.332H), $/Eur lower -0.0028 at 1.1749,

$/Yen lower +.04 112.53, (112.43L/112.87H); equities lower (emini -3.50, 2936.00

vs. 2947.00H); Gold down (XAU -8.89, 1198.31); West Texas crude higher (WTI

+0.50, 70.82).

-Tsy cash/ylds: 2Y 99-21.25 (2.800%), 5Y 99-2.5(2.950%), 10Y 98-12 (3.065%), 30Y

96-2.5 (3.204%).

US TSY FUTURES CLOSE: Trading slightly higher in the middle of a tight range,

strong volume (TYU 1.03M), curves steeper continuing the overall trend

throughout the week; update:

* 2s10s +0.733, 26.235 (24.342L/26.468H);

* 2s30s +1.272, 40.066 (37.709L/40.322H);

* 5s30s +1.066, 25.117 (23.477L/25.280H);

Current futures levels:

* Dec Ultra bonds up 07/32 at 154-02 (153-20L/154-16H)

* Dec 30-yr Bond futures up 04/32 at 140-12 (140-03L/140-22H)

* Dec 10-yr futures up 2.5/32 at 118-21.5 (118-17L/118-23.5H)

* Dec 5-yr futures up 1.25/32 at 112-13 (112-10L/112-14H)

* Dec 2-yr futures up 01/32 at 105-11.5 (105-10L/105-11.75H)

US EURODOLLAR FUTURES CLOSE: Trading slightly higher with a parallel shift

across the strip, at the top of a tight range with decent volume. Current White

pack (Sep'18-Jun'19):

* Dec'18 +0.010 at 97.335

* Mar'19 +0.010 at 97.155

* Jun'19 +0.015 at 97.005

* Sep'19 +0.015 at 96.915

* Red pack (Sep'19-Jun'20) +0.020-0.015

* Green pack (Sep'20-Jun'21) +0.015-0.010

* Blue pack (Sep'21-Jun'21) +0.015-0.010

* Gold pack (Sep'22-Jun'22) +0.015-0.010

US DOLLAR LIBOR: Latest settles,

* O/N +0.0035 to 1.9209% (+0.0058 wk)

* 1 Month +0.0036 to 2.2158% (+0.0511 wk)

* 3 Month +0.0062 to 2.3726% (+0.0355 wk)

* 6 Month +0.0071 to 2.5920% (+0.0232 wk)

* 1 Year +0.0117 to 2.9083% (+0.0281 wk)

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

* Secured Overnight Financing Rate (SOFR): 1.92% vs. 1.92% prior, $808B

* Broad General Collateral Rate (BGCR): 1.90% vs. 1.90% prior, $415B

* Tri-Party General Collateral Rate (TGCR): 1.90% vs. 1.90% prior, $403B

US SWAPS: Latest spd levels:

* 2Y -0.87/17.25

* 5Y -0.33/12.18

* 10Y -0.53/5.98

* 30Y -0.53/-6.53

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +10,000 Jun 66/67/68 put fly for net 2.5 vs 96.96/0.10%

* +10,000 Jun 66/67/68 put fly for net 2.5 vs 96.96/0.10% BLOCKED

* 3,000 Short Mar/Front Mar 66 1x2 put sprd at 25 vs 9684/0.45%

* +10,000 Jun 66/67/68 put fly for net 2.5 vs 96.96/0.10%, note +10k blocked

earlier and +15k traded in pit for a total of +35k traded today

* -5,000 Dec 71/73 put sprd at 7

* -2,500 Mar 71 Straddle at 21.5

* 10,000 Short Oct 68/70 call sprd at 2.5

     US TSY OPTIONS

* 10,000 TYZ 120.5/122 call sprd at 7 vs 118-21.5

* 1,500 TYX 119/120 1x2 call sprd at 9

* +9,000 TYZ 118 puts at 27 vs 22.5/0.36%

* 19,000 FVZ 114/115 call sprd at 2 vs 11.75/0.06%

* +7,000 TYZ 118 puts with TYZ 120 calls at 14, bought the put

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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