US TSYS: RATE HIKE CHANCES REBOUND, TSY CURVES CRUSHED

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$]