US TSYS: FED DELIVERS HAWKISH HIKE, CONF AFTER EVERY FOMC

US TSY SUMMARY: Tsy sell-off as Fed delivers a hawkish 25BP hike, IOER 20BP,

dots to 4 for 2018. US$ surged vs. Yen, retraced nearly all of move late with

Tsy ylds in tow (2.9737% late after tapping 3.0069%). Next up: ECB policy annc

Thu, BoJ Fri.

- USD index see-saws lower (DXY -.149, 93.669; US$/Yen +0.03, 110.41 vs.

110.85H); stocks weaker (emini -2.5, 2785.75); gold firmer (XAU +4.32, 1300.27;

West Texas crude firmer (WTI +0.32 to 66.68).

- Post FOMC chop included fast$, prop buying 10s, 30s covering at start of

presser. Mild two-way flow earlier, most sidelined to await Fed annc, moves more

directional w/US$/Yen and EGBs earlier, mixed curve flow, renewed chatter of Fed

presser after every FOMC spurring near end flatteners targeting serials that may

be considered "live" now. No auction or investment grade issuance, some option

flow.

- Tsy cash/ylds: 2Y 99-27.75 (2.565%), 5Y 99-19.5 (2.833%), 10Y 99-04.5

(2.974%), 30Y 100-15.5 (3.098%)

US TSY FUTURES CLOSE: Futures rebounded from new session lows as Fed chair

Powell held press conference after a hawkish hike, curves continued to flatten

post FOMC annc.

* 2s10s -2.047, 39.958 (39.135L/42.514H);

* 2s30s -2.777, 52.503 (50.732L/56.073H);

* 5s30s -2.004, 26.255 (24.381L/28.712H);

Current futures levels:

* Sep Ultra bonds down 11/32 at 156-07 (155-19L/156-28H)

* Sep 30-yr Bond futures down 11/32 at 142-18 (142-02L/143-04H)

* Sep 10-yr futures down 07/32 at 119-06 (118-29.5L/119-15H)

* Sep 5-yr futures down 5.25/32 at 113-1.75 (112-29L/113-08H)

* Sep 2-yr futures down 2.5/32 at 105-24.75 (105-23.25L/105-27.25H)

US EURODOLLAR FUTURES CLOSE: Weaker but have rebounded off new session lows,

near the middle of the range, Reds and Greens underperforming the rest of the

strip. Current White pack (Jun'18-Mar'19):

* Jun'18 -0.005 at 97.642

* Sep'18 -0.010 at 97.505

* Dec'18 -0.025 at 97.310

* Jun'19 -0.035 at 97.175

* Red pack (Jun'19-Mar'20) -0.045

* Green pack (Jun'20-Mar'21) -0.045-0.035

* Blue pack (Jun'21-Mar'21) -0.030-0.025

* Gold pack (Jun'22-Mar'22) -0.020-0.015

US DOLLAR LIBOR: Latest settles,

* O/N -0.0006 to 1.7126% (-0.0024/wk)

* 1 Month +0.0160 to 2.0732% (+0.0271/wk)

* 3 Month +0.0050 to 2.3406% (+0.0143/wk)

* 6 Month +0.0014 to 2.5001 (+0.0114/wk)

* 1 Year +0.0021 to 2.7668% (+0.0266/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.67% vs. 1.69% prior, $774B

* Broad General Collateral Rate (BGCR): 1.65% vs. 1.66%, $393B

* Tri-Party General Collateral Rate (TGCR): 1.65% vs. 1.66%, $380B

US SWAPS: Choppy day for spds, still mixed with spd curve re-steepening after

midday reversal. Decent two-way flow on net with payer unwinds in 2s-5s post

FOMC. Earlier trade included 2s5s flatteners, payer in 4s at 2.9385%, payer in

5s at 2.96497%; fly trade 2s3s10s and 6s7s10s flys, both receiving the belly.

Earlier payers in s at 2.82392% preceded spd curve steepeners in 3s5s and

5s10s.Latest spd levels:

* 2Y  -0.69/26.31

* 5Y  -0.12/14.19

* 10Y +0.06/6.25

* 30Y +0.19/-5.56

PIPELINE: No new supply yet, waiting until after FOMC annc

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

-

$8.4B priced Tuesday

06/12 $2.5B *Kommunivet +2Y MS+2

06/12 $900M *Alexandria Real Estate $450M 5Y +120, $450M 12Y +175

06/12 $2B *Sanofi $1B 5Y +60, $1B 10Y +75

06/12 $3B *HSBC 11NC10 fix to FRN +163

-

On the radar: German based multi-national pharma Bayer AG is looking looking to

issue $6.9B in 3- to 30Y US$ denominated debt to "simplify its capital

structure" after closing it's $63B buyout recently. Aside from US$ denominated

issuance, Bayer also looks to issue appr E14.2B Euro denominated supply between

4- and 12Y tranches in the near term.

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

- Jun 14 09-Jun jobless claims (222k, 224k) 0830ET

- Jun 14 May imports price index (0.3%, 0.4%) 0830ET

- Jun 14 May exports price index (0.6%, --) 0830ET

- Jun 14 May retail sales (0.2%, 0.4%) 0830ET

- Jun 14 May retail sales ex. motor vehicle (0.3%, 0.5%) 0830ET

- Jun 14 May retail sales ex. mtr veh, gas (0.3%, --) 0830ET

- Jun 14 10-Jun Bloomberg comfort index (54.8, --) 0945ET

- Jun 14 Apr business inventories (0.0%, 0.3%) 1000ET

- Jun 14 08-Jun natural gas stocks w/w 1030ET

- Jun 14 Fed Brd on final rule establishing single-counterparty credit limits

for large US bank holding companies and foreign banking organization,

Washington. 1430ET

- Jun 14 13-Jun Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 4,500 Short Sep 70 Straddle at 24.5, Note +1,000 bought earlier

UPDATE: Total +30,000 Blue Dec 67/71 Strangle at 26

UPDATE: Total 12,000 Short Jun 70/72 risk reversal at 0 vs 9711.5/0.18%

UPDATE: Total 10,000 Short Jun 70/72 Call over risk reversal at 0 vs

9711.5/0.18%

* +25,000 Blue Dec 67/71 Strangle at 26

* 6,000 Short Jun 70/72 Squash at EVEN vs 9711.5/0.18%

* +5,000 Short Jun 70/71 put sprd vs Green Jun 67/68/70 put tree for net 1.5

* +5,000 Green Jul 70/71 1x2 call sprd at 0.5

UPDATE: Total 5,000 Short Jun 70/71 put strip at 5

Block, 1223:23ET, ongoing sale >41k on day, closer w/OI >580k

* -10,400 Dec 72 puts, 6.0

* +15,000 Blue Dec 67/71 strangles, 26.0

* 2,500 Short Jun 70/71 put strip at 5

UPDATE: Total 6,000 Short Jun 70/72 call over risk reversal at 0 vs 9711.5/0.18%

* 5,000 Short Jun 71 call at 2.5 vs 9709.5/0.36%

* 5,000 Sep 73 put at 1 vs 9750.5/0.15%

* 4,500 Short Jun 70/72 call over risk reversal at 0 vs 9711.5/0.18%

* -10,000 Dec 72 put at 6, note earlier +20k at 6.5

* +4,000 Short Jun 71/72 1x2 call sprd at 1.5

* 5,000 Sep 73 put at 1 vs 9750.5/0.15%

* -5,000 Short Jul 68 put vs Green Aug 65/67 put sprd for net 1.75

* +4,000 Short Aug 73/75 call sprd vs Green Aug 73/75 call sprd at 0.25

* 4,000 Short Aug 73/75 call sprd at 1

* 2,500 Green Aug 65/67 put sprd at 3.5

* 2,500 Short Dec 63/66 put sprd at 3.5 vs 9698.5/0.10%

* 5,000 Dec 70 put at 1 vs 9730/0.10%

* 4,000 Short Nov 65/67 put sprd at 5

* 2,500 Short Dec 67/68 put sprd vs Short Dec 75 calls for net 1.5

* -5,000 Short Sep 68/72 put over risk reversal at 0.5 vs 9703/0.54%

* 2,000 Short Aug 68/71 Strangle at 9.5

UPDATE: Total 7,500 Blue Jun 66/67 put sprd at CAB

* 5,000 Blue Jun 66/67 put sprd at CAB

* 3,500 Short Jun 71 call at 2 vs 9709/0.36%

* 3,000 Short Sep 70 Straddle at 24.5

* -28,000 Dec 72 put at 6.5

* 10,000 Short Aug 67/68 put sprd at 2.5 on screen, adds to recent 10k block

heavy overnight trade, 2Y midcurve put fly

* +60,000 Green Dec 61/63/66 put flys, 3.0 vs. 96.935

* +6,500 Dec 71/72/73 put flys, 2.5

* -6,600 Sep 73 puts, 1.0

* -6,250 Dec 72 puts, 6.5

Tsy options, Pit/screen:

* 2,500 FVN 113 puts, 7.5/64 vs. 113-06.5/0.34%

* -1,300 USN 140/145 strangles, 10/64 earlier

* 4,000 TYN 120.2/121.2/122.2 call flys, 3/64 vs. 119-12.5/0.10%

* > +6,000 TYQ 117.5/121.5 strangles, 14/64

* 1,000 TYQ 118/120.5 strangle,28/64

* 1,500 TYU 119 puts, 43/64

* -550 USU 142/144 strangles, 2-55/64

* 2,000 FVX 112.25/112.75 put spds, 2.5/64 vs. 113-06.5

* 2,500 TUU 105.7/106 put spds, 9/64

* +31,600 TYQ 120/122 call spds on screen, 20/64

* -1,000 TYU 118.5/120 strangles, 1-3/64

* -5,000 TUU 105.7/106 put spds, 9/64 prior data

* -3,100 TYU 119 puts, 42/64

Screen trade

* -2,000 TYQ 119.5 straddles, 1-20/64

* 2,500 TYU 119 puts

* 2,000 TYN 119 puts, 11/64

* 2,000 TYN 118.75/119.25/119.75 put trees

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

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