US TSYS: QUIET TWO-WAY TRADE AHEAD WED'S MAY FOMC MINUTES

US TSY SUMMARY: Tsys rotated in mostly lower/narrow range Tuesday, quiet session

w/no Fed speakers and limited second-tier data ahead Wednesday's May FOMC

minutes. Tsy correlation to US$ remained strong w/ little else to trade off of.

- Futures shifted lower as US$/Yen bounced to 111.04, but pair receded to 110.98

w/Tsys holding range. Equities took hit/pared gains (emini -2.0, 2731.0 vs.

2741.75H). Traders chalked up muted two-way chop to position squaring ahead

extended holiday weekend. 

- Upsized $33B ($1B larger than April 24 auction) 2Y awarded a 2.590% rate vs.

2.595% WI going into auction (2.498% previous, 1.715% avg) w/bid/cover 2.88 vs.

2.61 previous (2.85 avg). 

- Corporate debt issuance remained muted ($1B #US Bank NA 2-part), Jun/Sep Tsy

futures roll accelerated

- Tsy cash/ylds: 2Y 99-20 (2.570%), 5Y 99-09.75 (2.899%), 10Y 98-12 (3.063%),

30Y 98-12.5 (3.208%)

US TSY FUTURES CLOSE: Trading mixed near middle of the range, Curves steepening.

Curve update:

* 2s10s +0.139, 49.123 (50.440H/48.176L);

* 2s30s +0.508, 63.682 (64.633H/61.658L);

* 5s30s +0.391, 30.874 (31.108H/29.110L);

Current futures levels:

* Jun Ultra bonds down 05/32 at 154-03 (153-27L/154-22H)

* Jun 30-yr Bond futures down 01/32 at 141-08 (141-01L/141-18H)

* Jun 10-yr futures up 0.5/32 at 118-27.5 (118-23L/118-30.5H)

* Jun 5-yr futures down 0.5/32 at 113-1.5 (112-31L/113-03H)

* Jun 2-yr futures up 0.5/32 at 105-29.25 (105-27.75L/105-29.25H)

US TSY FUTURES: Jun/Sep roll accelerating. 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 144.6k from 6.5-7.0; 7.0 last

* FVM/FVU appr 98.1k from 9.5-10.0; 9.75 last

* TYM/TYU appr 150.8k from 11.25-11.75; 11.25 last

* USM/USU appr 33.1k, 26.75 last

* WNM/WNU appr 16.0k, 22.5 last

US EURODOLLAR FUTURES CLOSE: Trading steady/mixed with little movement

throughout the day. Majority of front end steady with long end outperforming

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

* Jun'18 0.0000 at 97.6750

* Sep'18 0.000 at 97.515

* Dec'18 0.000 at 97.330

* Jun'19 0.000 at 97.200

* Red pack (Jun'19-Mar'20) -0.005-Even

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

* Blue pack (Jun'21-Mar'21) +0.005-Even

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

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0025 to 1.7085% (+0.0013/wk)

* 1 Month +0.0042 to 1.9654% (+0.0127/wk)

* 3 Month +0.0000 to 2.3300% (+0.0006/wk)

* 6 Month +0.0007 to 2.4994 (+0.0007/wk)

* 1 Year -0.0012 to 2.7670% (-0.0008/wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): down to 1.69% from 1.73% prior, $772B

* Broad General Collateral Rate (BGCR): down to 1.66% from 1.69% prior, $371B

* Tri-Party General Collateral Rate (TGCR): down to 1.66% from 1.69% prior,

$345B

US SWAPS: Spds running mostly tighter by the bell, spd curve still flatter but

w/long end leading compression late. Two-way in 2s during second half helped

front end off narrows (decent $460M payer in 2s at 2.8109% earlier faded

compression in first half), fast$ 10s30s steepeners. Late flow included $190M

payer 5s at 3.003%, $170M receiver 7s at 3.0415%, $213.6k 2Y-5Y-7Y Fly,

receiving the belly. Latest spd levels:

* 2Y  -0.06/23.69

* 5Y  +0.25/10.12

* 10Y -0.31/3.38

* 30Y -1.06/-9.25

PIPELINE: $1B US Bank NA 2-part launched

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

05/22 $1B #US Bank NA $500M 3NC2 fix/FRN +60, $500M 3NC2 FRN +29

05/22 $1.3B Spirit Aero 3-part, $300M WNC 3NC1 FRN +95, 5Y +130a, 10Y +170a

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

- May 23 18-May MBA Mortgage Applications (-2.7%, --) 0700ET 

- May 23 May Markit Services Index (flash) (54.6, --) 0945ET 

- May 23 May Markit Mfg Index (flash) (56.5, --) 0945ET 

- May 23 Apr new home sales (694k, 678k) 1000ET 

- May 23 Apr bldg permits revision (1.352m, --) 1000ET 

- May 23 Q4 QCEW employment 1000ET 

- May 23 18-May crude oil stocks ex. SPR w/w (-1.4m bbl, --) 1030ET 

- May 23 US Tsy $36B 5Y Note auction, May 31 settle, 1300ET

- May 23 FOMC minutes from May 1-2 meeting, 1400ET 

- May 23 Mn Fed Pres Kashkari Q&A on New Energy Economic Reality, NDakota, Q&A

1415ET

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   318,749    320,174    638,923  140.50 w/ 11,030 (3,531c, 7,499p)

*                                           141.00 w/ 25,329 (5,781c, 19,548p)

*                                           141.50 w/ 7,865 (2,874c, 4,991P)

* Jun 10yr 1,247,875  1,272,854  2,520,729  118.75 w/ 61,571 (21,027c, 40,544p)

*                                           119.00 w/ 134,389 (40,073c, 94,316p)

*                                           119.25 w/ 71,235 (38,539c, 32,696p)

* Jun 5yr    385,095    779,178  1,164,273  112.75 w/ 28,585 (840c, 27,745p)

*                                           113.00 w/ 44,506 (7,207c, 37,299p)

*                                           113.25 w/ 59,659 (21,781c, 37,878p)

* Jun 2yr    189,887    118,819    308,706  105.88 w/ 15,615 (1,633c, 13,982p)

*                                           106.00 w/ 9,796 (6,542c, 3,254p)

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 3,500 Short Jul 68/71 2x1 put sprd at 10

UPDATE: Total -15,500 Long Green Dec 82 call at 6.5 vs 9686/0.10%

* 6,000 Short Sep 67/72 call over risk reversal for 1 vs 9701/0.36% 

* UPDATE: Total 6,000 Jun 76/77 strangle at 2 vs 9768.5/0.05%

* 5,000 Jun 76/77 strangle at 2 vs 9768.5/0.05%

* 5,000 Long Red Dec 62/65 put sprd at 4

* 5,000 Long Red Dec 60/63 put sprd at 3.5 vs 9696/0.20%

* -3,250 Green Sep 65/66/70 put fly for 13.5 vs 9688.5/0.32%

* 6,000 Short Mar 65/68 put strip at 25.5 vs 9691.5/0.68%

* 3,750 Short Jul 71/72/73 call tree at 1.5 vs 9702.5/0.10%

* 3,000 Dec 72/73 put sprd at 6.5 vs 9732/0.20%

* 2,500 Green Jun 68/70 2x1 put sprd at 2

Tsy options, Pit/screen:

* 1,500 TYQ 118.5 straddles, 1-27/64

* 2,100 TYM 118.5/119 call spds, 17/64 vs. 118-25

* 1,260 wk4 10Y 118.25/118.75/119.25 iron flys, 12/64

* +5,000 TYM 119/119.5 call spds, 4/64

* 1,500 TYN 117.5/TYQ 120 2x1 call spds, 38/64 net earlier

* -1,000 TYM 118/118.5/119 put flys, 10/64

* 1,185 TYM 118/118.75 put spds vs. TYN 116.5/117.5 put spds, even net

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

* 2,000 TYM 119.25 calls, 3/64

Aside from some soon to expire June options, Mon's sub-cab trade/open interest

up like amount:

* 20,000 TYU 106.5 puts, cab-7

* 70,132 FVU 106.25 puts, cab-7

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

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