US TSYS: QUIET START TO WEEK, CHINA TRADE WAR POSTPONED!

US TSY SUMMARY: Quiet start to the week, Tsys trade steady/mixed on narrow range

into the close, curves see-saw flatter. General risk-on following Tsy Sec

Mnuchin comments over weekend China trade war "postponed" on lower tariffs,

stocks surge. Quiet start to wk w/ trio of Fed speakers answering audience Q&A

at separate events, second-tier data Tue, focus on May 1-2 FOMC minutes on Wed. 

- The USD index mildly higher/off highs (DXY +0.42, 93.679), US$/Yen +.32,

111.10; stocks strong (emini +18.25, 2731.25); West Texas crude near late

session highs (WTI +1.08, 72.36); gold near steady (XAU -0.20, 1292.34).

- Jun/Sep Tsy futures roll-volume picking up, inflating volumes, June Tsy option

volume up ahead Fri's expiration. Large limited downside put buys (+50k) Green

Jun Eurodollar 66/67/68 put flys at 2.5.

- Little/no react to Fed speakers: Fed Bostic looking for two more hikes this

year, Fed Harker says economy "clicking along just fine".

- Italy, Portugal, Spain 10Y spds vs Bunds surging wider.

- Tsy cash/ylds: 2Y 99-20.25 (2.566%), 5Y 99-10.5 (2.895%), 10Y 98-13 (3.061%),

30Y 98-16 (3.202%)

US TSY FUTURES CLOSE: Trading mixed into the close with long end outperforming

the short end, curves extend flattening. Curve update:

* 2s10s -1.338, 49.168 (51.452H/49.031L);

* 2s30s -1.155, 63.504 (65.016H/62.851L);

* 5s30s -0.034, 30.729 (31.045H/29.357L);

Current futures levels:

* Jun Ultra bonds up 6/32 at 154-10 (153-22L/154-18H)

* Jun 30-yr Bond futures up 4/32 at 141-10 (140-25L/141-15H)

* Jun 10-yr futures up 0.5/32 at 118-27.5 (118-21L/118-29H)

* Jun 5-yr futures down 0.5/32 at 113-02 (112-30.75L/113-02.5H)

* Jun 2-yr futures down 0.75/32 at 105-28.75 (105-28L/105-29.25H)

US TSY FUTURES: Jun/Sep roll update. June future's staggered expiration on June

20 for 10s, 30s and Ultras, and June 29 for 2s and 5s; expect to see a surge in

volume as September futures go "top step" on May 31. 

Latest volume:

* TUM/TUU appr 53.9k from 6.75-7.25; 6.75 last

* FVM/FVU appr 111.2k from 9.5-10.0; 10.0 last

* TYM/TYU appr 72.1k from 11.75-12.25; 11.75 last

* USM/USU appr 35.9k, 26.5 last

* WNM/WNU appr 17.1k, 22.75 last

US EURODOLLAR FUTURES CLOSE: Trading lower across the strip in the middle of the

range; Quiet day with little movement. Current White pack (Jun'18-Mar'19):

* Jun'18 -0.0125 at 97.6775

* Sep'18 -0.010 at 97.520

* Dec'18 -0.010 at 97.335

* Jun'19 -0.010 at 97.200

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

* Green pack (Jun'20-Mar'21) -0.010-0.005

* Blue pack (Jun'21-Mar'21) -0.010

* Gold pack (Jun'22-Mar'22) -0.010-0.005

US DOLLAR LIBOR: Latest settles, 

* O/N -0.0012 to 1.7060% (+0.0010 last wk)

* 1 Month +0.0085 to 1.9612% (+0.0340 last wk)

* 3 Month +0.0006 to 2.3300% (-0.0131 last wk)

* 6 Month +0.0000 to 2.4987 (-0.0163 last wk)

* 1 Year +0.0004 to 2.7652% (-0.0010 last wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): down to 1.73% from 1.74% prior, $750B

* Broad General Collateral Rate (BGCR): down to 1.69% from 1.71% prior, $371B

* Tri-Party General Collateral Rate (TGCR): down to 1.69% from 1.71% prior,

$349B

US SWAPS: Spds running mixed by the bell, wings tighter vs. wider intermediates.

Earlier flow includes $240mln+ receiver of USD 3Y at 2.915%, $170mln+ payer of

USD 7Y at 3.055%, two-way 2s5s curve flow since the open, $145.7k DV01 2s10s

steepener and $291.4k 2Y-5Y-10Y Fly, receiving the belly. No incoming corp

supply hedging. Latest spd levels:

* 2Y  -0.62/23.50

* 5Y  +0.12/10.00

* 10Y +0.50/3.88

* 30Y -0.06/-8.25

PIPELINE: Quiet start to the week -- 

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

05/21 $300M Citizens Financial PerpNC5 fix/FRN 6.125$a 

OUTLOOK: 

- May 22 May Philadelphia Fed Nonmfg Index (27.6, --) 0830ET 

- May 22 19-May Redbook retail sales m/m (0.8%, --) 0855ET 

- May 22 May Richmond Fed Mfg Index (-3, --) 1000ET 

- May 22 US Tsy $33B 2Y Note auction, May 31 settle 1300ET

- May 22 May Treasury Allotments (p) 1500ET

US TSY OPTIONS: June options expire on Fri's shortened post-holiday session,

latest open interest as of last Fri's close below. Options 0.5 tic ITM (0.25 tic

for 5-, 2-yr opt's) are auto-exercised.

*             Calls       Puts      Total  Nearest-the-Money Strike Totals

* Jun 30yr   318,429    322,186    640,615  140.50 w/ 11,148 (3,525c, 7,623p)

*                                           141.00 w/ 27,758 (6,045c, 21,713p)

*                                           141.50 w/ 8,834 (3,626c, 5,208P)

* Jun 10yr 1,229,724  1,294,710  2,524,434  118.75 w/ 63,860 (20,627c, 43,233p)

*                                           119.00 w/ 141,053 (39,746c,

101,307p)

*                                           119.25 w/ 61,472 (28,163c, 33,309p)

* Jun 5yr    387,075    789,468  1,176,543  112.75 w/ 31,789 (840c, 30,949p)

*                                           113.00 w/ 50,725 (10,134c, 40,591p)

*                                           113.25 w/ 60,508 (21,996c, 38,512p)

* Jun 2yr    187,400    118,819    306,219  105.88 w/ 15,615 (1,633c, 13,982p)

*                                           106.00 w/ 7,309 (4,055c, 3,254p

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +25,000 Green Dec 61/62/65 put tree for net 2 vs 9689/0.05%

* 7,500 Short Sep 75 call at 1 vs 9702/0.06%

* 7,500 Green Sep 72/75 call strip at 5 vs 9689/0.22%

* 7,500 Short Dec 65/66 put strip at 8 vs 9695.5/0.34%

* 4,000 Dec 71/76 call over risk reversal at 0 vs 9733/0.32%

* 2,500 Short Mar 67 put at 14 vs 9690.5/0.40%

* 6,500 Mar 78/80 call strip at 2.5 vs 9722.5/0.10%

* 2,500 Green Sep 72/73/75 call fly at 0.5 vs 9683.5/0.20%

* 5,000 Short Jun 72/73 call sprd at 0.5

UPDATE: Total 47,000 Green Jun 66/67/68 put fly at 2.5

* 5,000 Green Sep 65/67 put sprd at 6.5 vs 9685/0.22%

* 4,500 Long Red Jun 65/66 put sprd at 1 vs 9709.5/0.60%

UPDATE: Total 7,500 Short Jun 72 calls at 1 vs 9709.5/0.15%

UPDATE: Total 42,000 Green Jun 66/67/68 put fly at 2.5

* 5,000 Short Jun 72 calls at 1vs 9709.5/0.15%

* 4,000 Mar 80 calls at 1 vs 9721.5/0.05%

* 3,000 Mar 77/78 call sprd at 3 vs 9720.5/0.10%, adds to earlier Block

* 4,000 Short Dec 72/77 call sprd at 5

* 4,000 Blue Dec 71/75 call sprd at 6.5

* 10,000 Mar 70/75 put sprd at 28 vs 9721.5/0.52% 

Block, 0746:04ET

* 10,000 Mar 77/78 call spds, 1.0 vs. 97.205/0.10%

Tsy options, Pit/Screen: reminder -- June options expire on Fri's shortened

pre-holiday session

* 1,800 USM 139/139.5 put spds, 3/64 vs. 140-30

* 1,500 TYM 118/118.5 2x1 put spds, 3/64 vs. 118-26.5

Blocks, 1028:48-1029:49ET

* +10,000 TYM 119.25 calls, 4/64 vs. 118-24/0.22%

* +16,900 wk1 TY 119 calls, 8/64 vs. 118-25/0.23%

* 4,000 FVU 111.5/113.5 call over risk reversals, 6.5/64 vs. 113-01

* 1,500 TYM 119.25/119.50 1x2 call spds, 24/64 vs. 118-25

* 1,100 TYM 119.25 calls, 4/64 vs. 118-25

* 2,367 TYM 118.5 and 2,360 TYM 120 conversions at even

* 1,500 FVM 113.25/113.5 call spds, 1.5/64 vs. 112-31.75

* 1,000 TYM 119/wk1 TY 118.75 call spds, 4/64

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

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