US TSYS: ITALY HEADLINES SUPPLANT GREENBACK FOR THE DAY

US TSY SUMMARY: Rates slip to new session lows by the closing bell after

chopping around narrow/higher range from O/N through early NY trade. US$ index

gaining late (DXY +.156 93.375 vs. 93.632H; US$/Yen -.08, 110.270; equities

stronger after weaker start (emini +13.25, 2722.25), West Texas crude firmer

(WTI +0.10, 71.41); gold bounce (XAU +1.25, 1291.76).

- While Tue's focus on strong US$ & Tsy ylds to multi-yr highs, Wed focus on

Italy amid coalition govy headlines: admission Italian debt forgiveness to EU

NOT part of program corresponded w/Tsys trading lower by late morning.

Correlation w/US$ less a factor today, while anything calming re: Italy (ergo

allaying demise of EU) deemed as risk on. Italy/Bund 10Y spd held near highs

(150.1; Greece lead +26.5 to 372; Portugal +10.2 to 118.0).

- Muted react to data (Apr housing starts -3.7% to 1.287m; IP +0.7%; CapU +0.4

to 78.0%) , as well as Fed speak (Bostic and Bullard, StL Fed Pres Bullard later

in the evening, 1830ET. Eurodlr futures mixed, short end weaker as 3M LIBOR set

+0.0050 to 2.3256%, still -0.0169/wk.

- Tsy ylds: 2Y 2.585%, 3Y 2.756%, 5Y 2.932%, 7Y 3.056%, 10Y 3.093%, 30Y 3.217%

US TSY FUTURES CLOSE: New session lows at the close, Curves steepening. Curve

update:

* 2s10s +0.770, 50.344 (50.824H/47.849L);

* 2s30s +0.299, 62.713 (63.582H/60.171L);

* 5s30s +0.104, 28.148 (29.265H/26.820L);

Current futures levels:

* Jun Ultra bonds down 8/32 at 153-28 (153-28L/154-29H)

* Jun 30-yr Bond futures down 6/32 at 141-02 (140-27L/141-19H)

* Jun 10-yr futures down 3/32 at 118-16.5 (118-16.5L/118-25.5H)

* Jun 5-yr futures down 1/32 at 112-28 (112-27.75L/113-0.75H)

* Jun 2-yr futures down 0.5/32 at 105-27.25 (105-27.25L/105-28.75H)

US TSY FUTURES: Latest Jun/Sep roll volume. 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 30.7k from 6.75-7.25; 7.0 last

* FVM/FVU appr 36.5k from 10.0-10.25; 10.0 last

* TYM/TYU appr 43.9k from 12.25-12.75; 12.5 last

* USM/USU appr 3.9k, 26.75-27.0, 26.75 last

* WNM/WNU appr 11.2k, 22.75 last

US EURODOLLAR FUTURES CLOSE: Trading lower across the strip with the long end

underperforming the short end, moderate volume. Current White pack

(Jun'18-Mar'19):

* Jun'18 -0.0325 at 97.6800

* Sep'18 -0.015 at 97.515

* Dec'18 -0.010 at 97.320

* Jun'19 -0.010 at 97.180

* Red pack (Jun'19-Mar'20) -0.015-0.010

* Green pack (Jun'20-Mar'21) -0.025-0.015

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

* Gold pack (Jun'22-Mar'22) -0.030-0.025

US DOLLAR LIBOR: 

* O/N +0.0004 to 1.7054% (-0.0008/wk)

* 1 Month -0.0037 to 1.9350% (+0.0163/wk)

* 3 Month +0.0050 to 2.3256% (-0.0169/wk)

* 6 Month +0.0019 to 2.4944 (-0.0206/wk)

* 1 Year +0.0077 to 2.7615% (-0.0043/wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): up to 1.79% from 1.75% prior, $770B

* Broad General Collateral Rate (BGCR): up to 1.73% from 1.70% prior, $362B

* Tri-Party General Collateral Rate (TGCR): up to 1.73% from 1.70% prior, $341B

US SWAPS: Spds holding mixed levels after the bell, spd curve flatter amid more

muted flow, limited swappable supply adding to widening in short end. Decent

mixed swap fly action late: $291.2k 5Y-7Y-10Y Fly, paying the belly, $194k

2Y-4Y-5Y Fly, receiving the belly, $291.2k 5Y-7Y-10Y Fly, receiving the belly.

Latest spd levels:

* 2Y  +1.25/22.50

* 5Y  +1.06/9.31

* 10Y -0.06/3.06

* 30Y -0.12/-7.88

PIPELINE: $1B Kommunivest 3Y priced, slow issuance day continues

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

05/16 $1B *Kommunivest 3Y +6

05/16 $500M Province of New Brunswick 10Y +50a

05/16 $Benchmark, Harley-Davidson Fncl 2Y FRN, 3Y

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

- May 17 12-May jobless claims (211k, 215k) 0830ET

- May 17 May Philadelphia Fed Mfg Index (23.2, 21.5) 0830ET

- May 17 13-May Bloomberg comfort index 0945ET

- May 17 Q1 e-commerce retail sales 1000ET

- May 17 Apr leading indicators (0.3%, 0.4) 1000ET

- May 17 NY Fed exec VP Hirtle open remarks Eco Press Brief/Homeownership &

Housing Wlth, Q&A, 1000ET

- May 17 11-May natural gas stocks w/w 1030ET

- May 17 Mn Fed Pres Kashkari, moderated Q&A w/ Julie Gugin, exec dir Mn Home

Ownership Cntr, Q&A. 1045ET

- May 17 Dal Fed Pres Kaplan, moderated Q&A, Richardson CoC, Tx, Q&A, 1330ET

- May 17 16-May Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

UPDATE: Total 12,500 Sep 75/76 call sprd at 4.25

* 5,000 Long Green Jun 61/63 3x2 put sprd at 4

* 3,000 Short Jun 71 put at 8.5 vs 9707/0.60%

* 12,000 Jun 68/75 call over risk reversals, 2.0 net vs. 97.20/0.30%

* +12,000 Green Aug 65/67 put spds, 5.25/legged (adds to 6k on 2x1 basis earlier

* total > 15,000 Jun 76 puts, 1.5-1.25

Block, 1228:28ET, still offered

* +10,000 Sep 72 puts, 0.5 vs. 97.50/0.05%

* 4,000 Sep 75 call at 7.5 vs 9752/0.54%

* 3,000 Jun 76 put at 1.5 9768/0.25%

* 2,500 Sep 75/76 call sprd at 4.25

* 2,000 Green Jun 66/67/68 put tree at 3.5 vs 9687.5/0.20%

* 2,000 Jun 76/77 Strangle at 3

* 2,000 Jul 73/76 Strangle at 1.5

UPDATE: Total 7,000 Sep 76 call at 3 vs 9751.5/0.26%

UPDATE: Total -5,000 Green Jun 68/70 call sprd at 5 vs 9689.5/0.26%

* 5,000 Sep 76 call at 3 vs 9751.5/0.26%

* 5,000 Jun 75/78 put over risk reversal at 0 vs 9768/0.10%

* 3,000 Long Red Sep 67/68 put sprd at 5

* 3,000 Long Red Sep 72/73 call sprd at 3

* 10,000 Blue Jun 67 put at 4.5 vs 9684/0.32%

* 5,000 Jun 76/77 call sprd at 6 vs 9769/0.25%

* 4,000 Sep 76/77 call sprd at 1.75 vs 9751/0.125%

* 2,000 Mar 71/72 Strangle at 20.5

* 2,000 Blue Jun 67/68 Strangle at 10.5

* 2,000 Green Jun 68 Straddle at 14.5

UPDATE: Total 11,000 Green Jun 66/67 put sprd at 1.5 vs 9690.5/0.10%

* 5,000 Jun 77 call at 1.75 vs 9769.25/0.20%

* 8,000 Green Jun 66/67 put sprd at 1.5 vs 9690.5/0.10%

UPDATE: Total -8,000 Green Aug 68 Straddle at 24

UPDATE: Total 7,500 Short Jun 71 Straddle at 12 vs 9708/0.28%

* 3,500 Short Jul 70 Straddle at 12

* 3,500 Short Jun 71 Straddle at 15 vs 9708/0.28%

* 4,000 Short Jun 71 Straddle at 12 vs 9707.5/0.36%

* 4,000 Short Jul 68/71 Strangle at 6.5

* 50,000 Short Jun 68/70/72/73 Put Condor at 9.75 (legged)

* 14,000 Long Red Jun 66/71 2x1 put sprd at 14.5 vs 9708/0.30%

* 6,000 Green Aug 65/67 2x1 put sprd at 3.5

* 10,000 Front Green Mar 63/66 2x1 put sprd at 0.5

UPDATE: Total 4,000 Green Jun 63 put at CAB vs 9687.5/0.05%

Block, 0906:50ET,

* 10,000 Red Jun19 66/71 2x1 put spds, 14.5 vs. 97.08/0.30%

* 10,000 Mar 68/70/71 put tree at 2.5

* -2,500 Short Sep 65/71 put sprd at 18.5

* 2,000 Front Red Jun 63 put at CAB

* 2,000 Green Jun 63 put at CAB vs 9687.5/0.05%

* 3,833 Aug 73/75 2x1 put sprd at 2.5

* 3,000 Green Aug 68 Straddle at 24

* 3,000 Green Jun 68/70 call sprd at 5 vs 9689.5/0.26%

* 2,000 Long Red Jun 80 call at 1.5 vs 9709.5/0.10%

* 2,000 Dec 78 call at 1 vs 9735.5/0.05%

* 2,000 Short Dec 77/80 call sprd at 1 vs 9700/0.05%

Blocks, 0736:40-0737:46ET, macro fund buyer in

good size Monday at 1.5

* total 10,000 Jul 76/77 call spds, 1.0

Block, 0724:09ET,

* 5,000 Mar 75 puts, 34.5, mid-market

Block, 0707:07ET,

* 5,000 Jul 75/76 put spds, 8.5

* 5,000 Sep 75/76 put spds, 8.0

Tsy options, Pit/screen:

* 3,000 TYM 117.75/119.25 put spds 41/64 vs.

* 3,000 wk2 TY 117/119.25 put spds, 1-2/64

* 1,000 USN 134/136 put spds, 9/64

* 10,000 TYM 119 puts, 31/64 vs. 118-21.5/0.70%

* 5,000 TYM 118.75 puts, 23/64 vs. 118-20

* 2,500 TYM 118 puts, 6/64 vs. 118-20.5

* 3,000 USM 141 puts, 37/64 vs. 141-08/0.44%

* >5,000 TYM 118/119.25 call over risk reversals, 1/64 to even

* 1,000 TYQ 118.5 straddles, 1-34/64

* +2,500 FVN 112/112.5 2x1 put spds, 3/64

* -5,000 TYM 119/TYU 117 put spds, 2/64

* -1,000 TYN 118.5 straddles, 1-8/64

* +4,000 TYM 118/118.5 2x1 put spds, 3/64

* 2,500 TYM 119.5 calls, 4/64 vs. 118-23.5/0.16%

* +2,000 TYU 116/120 call over risk reversals, 6/64

* -8,500 TYN 117/120 put over risk reversals, 3- to 2/64

* 4,300 TYM 117.5/120 call over risk reversals, 0.0

Additional pre-open screen trade includes

* 2,500 USQ 144 calls, 36/64

* +20,000 TYM 119 calls, 10/64

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

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