US TSYS: RATES GIVE UP EARLY GAINS EVEN AS STOCKS SOUR

US TSY SUMMARY: Rates trade softer, near low end narrow range after extending

highs in the first half. Relatively quiet week opener, TYM>1.1M.

- Tsy yld curves mostly flatter, 3M10Y off early inversion (+2.911 at 3.657,

L:-0.22/H:4.012). While exchange traded FI implieds inch lower, CBoE vol index,

VIX, gains (+.96, 16.92); equities extending lows in late trade (ESM9 -26.0).

- Session flow includes deal-tied hedging, props and fast$ two-way on net,

buying short end early, leveraged acct selling 5s, real$ selling 10s.

- On tap for Tuesday: May Philly Fed Nonmfg Index; Redbook retail sales m/m;

April existing home sales.

- The 2-Yr yield is up 2.3bps at 2.2208%, 5-Yr is up 2.8bps at 2.2012%, 10-Yr is

up 2.1bps at 2.4122%, and 30-Yr is up 0.7bps at 2.8323%.

US TSY FUTURES CLOSE: Near late session lows after extending session highs

midmorning -- generally quiet week opener w/no data to trade off of, no react to

Fed speakers (Fed Chair Powell tonight, Mar 30/Apr 1 FOMC minutes Wednesday.

Update: 

* 3M10Y  +2.911, 3.657 (L:-0.22/H:4.012)

* 2Y10Y  +0.071, 18.934 (L:17.692/H:19.495)

* 2Y30Y  -1.13, 61.176 (L:60.429/H:62.264)

* 5Y30Y  -1.915, 62.999 (L:62.626/H:64.712)

Current futures levels:

* Jun 2-Yr futures (TU) down 1.25/32 at 106-17.5 (L:106-17/H:106-19.25)

* Jun 5-Yr futures (FV) down 3.5/32 at 115-29.5 (L:115-28.75/H:116-03)

* Jun 10-Yr futures (TY) down 6/32 at 124-9.5 (L:124-08.5/H:124-19)

* Jun 30-Yr futures (US) down 10/32 at 149-12 (L:149-09/H:150-00)

* Jun Ultra futures (WN) down 11/32 at 167-14 (L:167-09/H:168-09)

US TSY FUTURES: *** Late session roll volume. September takes lead from June at

end of this month (first notice May 31). June future's staggered expiration on

June 19 for 10s, 30s and Ultras, and June 28 for 2s and 5s. Latest volume:

* TUM/TUU appr 297,800 from -7.62 to -7.25, -7.38 last;

* FVM/FVU appr 148,800 from -5.5 to -4.75, -5.25 last;

* TYM/TYU appr 101,600 from -9.5 to -8.75, -8.75 last;

* USM/USU appr 14,000, 20.0 to 20.25, 20.0 last;

* WNM/WNU appr 32,000 from -22.5 to -21.75, -22.0 last;

US EURODLR FUTURES CLOSE: Weaker across the strip, Blues underperforming.

Current White pack (Jun 19-Mar 20):

* Jun 19 -0.003 at 97.480

* Sep 19 -0.010 at 97.585

* Dec 19 -0.010 at 97.640

* Mar 20 -0.010 at 97.785

* Red Pack (Jun 20-Mar 21) -0.02 to -0.015

* Green Pack (Jun 21-Mar 22) -0.025 to -0.02

* Blue Pack (Jun 22-Mar 23) -0.025 to -0.02

* Gold Pack (Sep 22-Jun 23) -0.02 to -0.02

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0036 at 2.3593% (-0.0006 last wk)

* 1 Month -0.0059 to 2.4360% (-0.0071 last wk)

* 3 Month +0.0014 to 2.5233% (-0.0059 last wk)

* 6 Month +0.0059 to 2.5597% (-0.0332 last wk)

* 1 Year +0.0115 at 2.6468% (-0.0581 last wk)

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 2.40%, volume: $62B

* Daily Overnight Bank Funding Rate: 2.39%, volume: $148B

US TSYS: REPO REFERENCE RATES: (rate, volume) 

* Secured Overnight Financing Rate (SOFR): 2.42%, $1.036T

* Broad General Collateral Rate (BGCR): 2.39%, $479B

* Tri-Party General Collateral Rate (TGCR): 2.39%, $447B

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

21-May ---- Atl Fed, Financial Markets Conference

21-May 0830 May Philadelphia Fed Nonmfg Index (21.0, --)

21-May 0855 18-May Redbook retail sales m/m (1.3%, --)

21-May 1000 Apr existing home sales (5.21m, 5.40m)

21-May 1045 Chi Fed Pres Evans, Financial Markets Conference, FL, Q&A

21-May 1130 US TSY $26B 52W bill auction (912796SR1)

21-May 1200 Bos Fed Pres Rosengren, Economic Club of NY

US SWAPS: Spds running steady to marginally mixed, short end back to steady amid

modest deal-tied flow, 2s8s spd curve steepener, leveraged acct selling 5s

early. Latest spd levels: 

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Mon 3:00    +0.00/5.88     -0.06/1.00     +0.06/-4.69   +0.44/-27.81

1:30        +0.25/6.12     -0.12/0.94     +0.06/-4.69   +0.38/-27.88

11:45       +0.25/6.12     +0.00/1.06     +0.00/-4.62   +0.38/-27.88

9:30        -0.25/5.62     -0.31/0.75     -0.19/-4.94   -0.06/-28.31

Mon Open    -0.38/5.50     -0.31/0.75     -0.25/-5.00   +0.06/-28.19

Mon 7:30    +0.12/6.00     -0.06/1.00     +0.12/-4.62   +0.25/-28.00

Fri 3:00    -0.56/6.56     -0.44/1.19     -0.38/-4.75   -0.50/-28.38

PIPELINE: Decent list of early week financial names issuing

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

05/20 $1.75B #Bank of America 2NC1 L+35

05/20 $1.3B #Oncor Electric Delivery $500M 5Y +55, $300M 10Y +78, $00M 30Y +100

05/20 $1B #Goldman Sachs 2NC1 FRN SOFR +60, upsized from $500M

05/20 $600M #Schwab WNG 10Y +87.5

05/20 $400M #Ohio Power 30Y +118

05/20 $1B Cargill 10Y +100a, 30Y +130a

05/20 $1B Kommunivest 2Y +6a

05/20 $1B Tokyo Metro Gvt WNG 5Y +47a

05/20 $Benchmark Wells Fargo 3NC2 

05/21 $Benchmark World Bank long 3Y +3a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +7,500 Jul 77/78 1x2 call spds, cab

* +7,500 Dec 75 puts, 6.0

* +5,000 Sep 78/81/82 call flys, 1.25

* +4,000 Sep 75/76/77 call trees, 1.75

* +4,000 Sep 77 calls, 4.0 vs. 97.595/0.28%

* -5,000 short Jun 81 calls, 2.0

Adds to earlier 10kx5kx5k package:

* +24,000 Jul 76/78 1x2 call spds, 2.75 vs. 97.60/0.26 w/

* +12,000 Sep 76/77 call strip, 11.5 vs. 97.60/0.73% vs.

* -12,000 short Dec 80/82/85/87 call condors, 5.5 vs. 97.99/0.06

* -6,000 Green Jun 80/82/83 broken call flys, 5.0 vs. 97.995/0.25%

* -5,000 Sep 75/77/78 call trees, 6.5

* +30,000 Jul 76/78 1x2 call spds, 3.0 vs. 97.60/0.26 -- trades outright hedged

after package trade of 10k w/5k EDU 76/77 call strip vs. 5k EOZ 80/82/85/87 call

condors

* +18,500 Sep 75/76 put spds, 6.5 vs. 97.625/0.23%

* +5,000 short Jul 76 puts, 2.0

* +4,000 short Jun77 puts, 2.5

Prior call spds done as package:

* +10,000 Jul 76/78 1x2 call spds, 3.0 vs. 97.60/0.26 w/

* +5,000 Sep 76/77 call strip, 12.0 vs. 97.68/0.73% vs.

* -5,000 short Dec 80/82/85/87 call condors, 5.5 vs. 97.99/0.06

* 10,000 Jul 76/78 1x2 call spds, 3.0 vs. 97.60/0.26

* 5,000 short Dec 80/82/85/87 call condors, 5.5 vs. 97.99/0.06

* 5,000 Sep 76/77 call strip, 12.0 vs. 97.68/0.73%

* total 8,000 short Jun 75/76/77 call flys, 1.5

BLOCK, 0755:00ET

* 40,000 Dec 80 calls, 5.5 vs. 97.655/0.15%

BLOCK, 0755:00ET

* 7,500 Dec 77/80 call spds, 5.0 vs.

* 11,250 Dec 73 73 puts, 2.5 vs.

* 3,375 EDZ9 97.64

Overnight screen and Block highlights:

* 2,500 Jun 73/75 1x2 call spds

* total 11,500 Green Dec 80/82 call spds vs. 17,250 Green Dec 73 puts

* 6,300 short Jul 75/76/77 put trees

* 14,500 short Jun 77 puts

* 4,850 Blue Sep 80/82 call spds

* +20,000 short Jun 80/82 call spds, 3.5, Blocked at 0354ET

* +20,000 short Jun 80/81 call spds, 2.5, Blocked at 2224ET

Tsy options, Pit/screen:

* -10,000 TYU 122/126 risk reversals 18/64 over TYM 121.5/125.5 call over risk

reversals

second half volume recap

* >+85,600 TYQ 133 calls, 2/64

* >+65,000 TYQ 132.5 calls, 2/64

* >+70,000 FVQ 113.25 puts, 1.5

* 14,000 FVQ 113 puts 1.5

* +10,000 TYU 117.5 puts, 2/64

* 10,000 FVQ 113 puts, 1.5/64

* +7,000 FVQ 114 puts, 2.5/64

Large screen trade last few minutes

* +70,000 FVQ 113.25 puts, 1.5

* +25,000 TYQ 132.5 calls in pit at 2/64 w/ another 4k on screen

* 2,000 TYU 127 calls, 20/64

* 2,000 TYU 123 puts, 22/64

* +2,500 TYM 123.75/124 put spds, 3/64

* +4,500 TYM 124.5 calls, 14/64

* 4,300 TYM 125.75 calls, 1/64 vs. 124-15 to -15.5

* -2,000 TYN 126.5 calls, 8/64

Early  trade, muted overall trade volume so far

* +8,200 TYM 125 calls, 5/64 vs. 124-16.5/0.20%, .total volume >14.3k

* 2,000 TYM 124.5/TYN 125 call spds 13/64

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

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