register nowRegister now
CHINA RATES

China Repo Rates Rise on Tuesday

JGB TECHS

(M1) Erratic Spike Erased

AUSSIE 10-YEAR TECHS

(M1) Fragile Outlook

     
US TSY SUMMARY: Mostly higher/curves flatter, choppy ahead Fri's May NFP (+194k
est). Limited data reacts, rates continue to react to Italian bond & political
headlines and US$ moves. Shorts press on increased rate hike chances past Jun.
- Tsys opened weaker on day two of relief for Italian bonds (2Y vs. Bunds -44.1,
5Y -31.1); traded higher midmorning as US$/Yen slips lower (-.24, 108.67) while
Italian bonds vs. Bunds are moving off lows (10Y near steady). Tsy bid
evaporated midday on headline "FIVE STAR, LEAGUE AGREE ON GOVT TEAM" Bbg w/10YY
back over 2.8622%. Midday flow: fast$, program sellers chased bids before they
were cancelled on the Italy headline induced sale. Long end rebounding last
couple minutes, real$ +30s. Curve flatteners, steepener unwinds in in 2s and 5s
vs. 10s and 30s. Cautious positioning ahead Fri's May NFP.
- USD index lower late (DXY -.101, 93.968; US$ vs. Yen -0.25, 108.65); stocks
weaker (emini -16.5, 2708.0); gold softer (XAU -.56, 1300.84); West Texas crude
weaker (WTI -1.11 to 67.10). Fed Brainard takeaway: hawkish
- Tsy cash/ylds: 2Y 100-05.2 (2.411%), 5Y 100-12 (2.668%), 10Y 100-12.5
(2.828%), 30Y 102-19 (2.992%).
US TSY FUTURES CLOSE: Make new session highs right before the close then fell
back a bit, remain at the top end of the range, curves continue to flatten,
update:
* 2s10s -2.522, 41.425 (44.969H/40.217L);
* 2s30s -3.045, 58.099 (61.613H/55.955L);
* 5s30s -1.880, 32.532 (34.921H/30.590L);
Current futures levels:
* Sep Ultra bonds up 15/32 at 159-05 (157-26L/159-19H)
* Sep 30-yr Bond futures up 10/32 at 144-29 (143-30L/145-06H)
* Sep 10-yr futures up 02/32 at 120-11.5 (119-30L/120-15H)
* Sep 5-yr futures down 0.75/32 at 113-27.25 (113-20.75L/113-29.25H)
* Sep 2-yr futures down 0.75/32 at 106-03.5 (106-01.5L/106-04.5H)
US EURODOLLAR FUTURES CLOSE: Pared some of it loses before the close with the
Blue and Golds mildly lower. Current White pack (Jun'18-Mar'19):
* Jun'18 -0.0275 at 97.6775
* Sep'18 -0.030 at 97.565
* Dec'18 -0.025 at 97.440
* Jun'19 -0.025 at 97.350
* Red pack (Jun'19-Mar'20) -0.020-0.015
* Green pack (Jun'20-Mar'21) -0.020-0.010
* Blue pack (Jun'21-Mar'21) -0.010-0.005
* Gold pack (Jun'22-Mar'22) -0.005
US DOLLAR LIBOR: Latest settles, 1M set over 2.0% first time since late 2008
when all the fun began
* O/N +0.0000 to 1.7116% (+0.0044/wk)
* 1 Month +0.0183 to 2.0007% (+0.0241/wk)
* 3 Month +0.0209 to 2.3212% (+0.0031/wk)
* 6 Month +0.0069 to 2.4737 (-0.0081/wk)
* 1 Year +0.0181 to 2.7181% (-0.0132/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): steady at 1.72%, $801B
* Broad General Collateral Rate (BGCR): steady at 1.70%, $374B
* Tri-Party General Collateral Rate (TGCR): steady at 1.70%, $368B
US SWAPS: Spds broadly wider by the bell, at/near late session highs amid decent
rate and spd paying in shorts to intermediates late, spd curve flatteners in
intermediates. Latest spd levels:
* 2Y  +1.62/26.25
* 5Y  +1.56/13.31
* 10Y +1.19/5.19
* 30Y +1.44/-8.56
PIPELINE: No new issuance Thursday
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
$2.45B priced Wednesday
05/30 $1.8b *L3 Technologies $800M 5Y +122, $1B 10Y +157
05/30 $650M *Southern California $300M 5Y +75, $350M Tap EIX 4.125% +135
OUTLOOK: Data/speaker calendar (prior, estimate): 
- Jun 01 May NA-made light vehicle sales SAAR (9.91m, 12.8m) 
- Jun 01 May nonfarm payrolls (164k, 194k)) 0830ET 
- Jun 01 May private payrolls (168k, 200k) 0830ET 
- Jun 01 May unemployment rate (3.9%, 3.9%) 0830ET 
- Jun 01 May average hourly earnings (0.1%, 0.2%) 0830ET 
- Jun 01 May average workweek, all workers (34.5h, 34.5h) 0830ET 
- Jun 01 Mn Fed Pres Kashkari, "Collaborative Strategies to Build Tomorrow's
Workforce", Mn 0855ET
- Jun 01 May Markit Mfg Index (final) (56.6, --) 0945ET 
- Jun 01 May ISM Manufacturing Index (57.3, 58.9) 1000ET 
- Jun 01 Apr construction spending (-1.7%, 0.8%) 1000ET 
- Jun 01 Q2 St. Louis Fed Real GDP Nowcast 1100ET 
- Jun 01 Q2 NY Fed GDP Nowcast 1115ET
MONTH-END EXTENSIONS: Bloomberg-Barclays updated US month-end index extensions
compared to the average increase for the past year and the same time in 2017.
*.....................Projected...1Y Avg Incr..Last May
*US Tsys.................0.11........0.06........0.05
*Agencies................0.08........0.07........0.15
*Credit..................0.11........0.04........0.05
*Govt/Credit.............0.11........0.06........0.06
*MBS.....................0.07........0.06........0.11
*Aggregate...............0.09........0.05........0.07
*Long Govt/Credit........0.15........0.01........0.01
*Interm Credit...........0.08........0.04........0.05
*Interm Govt.............0.09........0.03........0.05
*Interm Govt/Cred........0.09........0.03........0.05
*High Yield..............0.08........0.00........0.00
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* screen 10,000 short Oct 65/67/70 put flys
* 3,000 Dec 71/72/73 put fly at 2 vs 9741.5/0.05%
* 8,000 Oct 72/73 put sprd at 9.5 vs 9743/0.60%
* 4,000 Short Dec 72/73/75/76 call Condor at 2 vs 9715/0.10%
block, 1212:16ET, adds to screen volume, 23k total
* 11,500 short Dec 67 puts, 5.5
* 7,000 Green Dec 61/62/65 put tree for 1.5 vs 9705.5/0.10%
* 4,000 Dec 70/72 2x1 put sprd at 3 vs 9742/0.05%
* +4,500 Short Dec 66/66/67 put tree at 0
* -20,000 Dec 70 puts at 0.5 vs 9746/0.10%
Total Volume 55,000 Jun 75 puts
Total Volume 23,000 Short Jul 68 puts
* 8,000 Oct 71 puts, 1.0 vs. 97.45/0.10%, adding to a recent 10k block
block, 1101:00ET,
* 10,000 Oct 71 puts, 1.0 vs. 97.45/0.10%
* 5,000 Long Red Dec 62/65 5x2 put sprd at 0
* 7,000 Long Green Jun 61/63 2x1 put sprd at 0
* 3,250 Dec 72/75 Strangle at 13
* 5,000 Short Jun 71/73 2x1 put sprd at 11
block, 0727:30ET,
* 10,000 Jun 75 puts, cab vs. 97.662/0.05%
* 5,000 Jun 76/78 Strangle at 1.5
* +10,000 Jun 78 call at 0.25, note total -52k Jun 78 call at 0.25 sold plus a
-10k block sold at 0.5 during yesterdays trading session
* 5,000 Long Red Dec 63/66 5x2 put sprd at 1
* 2,500 Sep 77/78 1x2 call sprd at 0
block, 0727:30ET,
* 5,000 Jun 75/76 put spds, 1.0 vs. 97.675/0.20%
block, 0703:26ET,
* 5,000 Oct 72/73 put spds, 4.5 vs. 97.44/0.60%
Tsy options, Pit/screen:
* 4,000 TYN 122 calls 1/64 over the 119/119.5 put spds
Block,12:59:13ET
* 16,775 TYN8 121.5/122.5 call sprd net '05
* 4,000 FVN 111/112.5/113 2x1x1 put trees, 3/64 net
* 3,000 FVU 112.75/113.5 2x1 put spds, 3.5/64
* +4,000 USN 146 vs. USQ 149 call spds, 11/64 July bought over
* 2,000 TYN 118.75/119.25/119.75 put trees, 4/64
* 1,000 TYN 120.25straddles, 1-0/64
* 2,500 FVN 113.5/114.5/115 1x1x2 call trees, 32.5/64 net
block, 0935:30ET, 
* 5,000 TUU 106.8/107.1 call spds 1.5/64 vs. 106-05.7/0.05%
* +5,000 TYQ 118 puts, 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$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com