US TSYS: RATES WEAKER/NARROW RANGE AHEAD MIDWEEK FOMC MINUTES

US TSY SUMMARY: Rates trade softer for second consecutive session, little to no

react to lower than expected home sales data, another generally quiet session

ahead Wed's FOMC minutes for Mar 30/Apr 1 meeting. Muted overall volume (TYM <1M

if you take away roll-related volume).

- Tsy yld curves mostly flatter again, 3M10Y off inversion but still on low

single digits (+0.894 at 4.906, L:2.711/H:6.229). CBoE vol index (VIX) cratered

(-1.33, 14.98); equities near highs in late trade (ESM9 +22.0).

- Session flow includes ongoing deal-tied hedging, decent Eurodlr spd volume in

first half (appr +50,000 EDZ9/EDH0 -0.140), several Block sales in Jun 2Y

futures kept front end anchored. Tsys extended session lows following UK

headlines PM May poised to offer MPs a vote on holding a second referendum,

conditional on the bill passing the first stage.

- On tap for Wednesday: MBA Mortgage Applications; Q4 QCEW employment; crude oil

stocks ex. SPR w/w; April 30/May 1 FOMC minutes.

- The 2-Yr yield is up 3.7bps at 2.2579%, 5-Yr is up 2.3bps at 2.228%, 10-Yr is

up 1.2bps at 2.4281%, and 30-Yr is up 0.7bps at 2.8439%.

US TSY FUTURES CLOSE: Mildly weaker after the bell, off late morning lows on

muted overall volume (TYM <1M if you take away roll-related volume). Little to

no react to lower than expected home sales data, another generally quiet session

ahead Wed's FOMC minutes for Mar 30/Apr 1 meeting. Update: 

* 3M10Y  +0.894, 4.906 (L: 2.711 / H: 6.229)

* 2Y10Y  -2.473, 16.815 (L: 16.637 / H: 19.763)

* 2Y30Y  -3.176, 58.232 (L: 58.154 / H: 61.692)

* 5Y30Y  -1.971, 61.092 (L: 61.092 / H: 63.347)

Current futures levels:

* Jun 2-Yr futures (TU) down 2.5/32 at 106-14.875 (L:106-14.875/H:106-17.75)

* Jun 5-Yr futures (FV) down 4.25/32 at 115-25.25 (L:115-24/H:115-30.5)

* Jun 10-Yr futures (TY) down 5.5/32 at 124-3.5 (L:124-01/H:124-11.5)

* Jun 30-Yr futures (US) down 7/32 at 149-5 (L:148-30/H:149-18)

* Jun Ultra futures (WN) down 9/32 at 167-4 (L:166-27/H:167-22)

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, Whites-Reds underperforming.

Decent spd trade pushed volume higher in first half (appr +50,000 EDZ9/EDH0 spds

at -0.140, took out offer). Current White pack (Jun 19-Mar 20):

* Jun 19 -0.007 at 97.470

* Sep 19 -0.025 at 97.555

* Dec 19 -0.030 at 97.605

* Mar 20 -0.040 at 97.740

* Red Pack (Jun 20-Mar 21) -0.04 to -0.03

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

* Blue Pack (Jun 22-Mar 23) -0.02 to -0.01

* Gold Pack (Sep 22-Jun 23) -0.01 to -0.005

US DOLLAR LIBOR: Latest settles resume 

* O/N -0.0040 at 2.3553% (-0.0004/wk)

* 1 Month -0.0064 to 2.4296% (-0.0123/wk)

* 3 Month +0.0002 to 2.5235% (+0.0016/wk)

* 6 Month +0.0035 to 2.5632% (+0.0094/wk)

* 1 Year +0.0068 at 2.6536% (+0.0183/wk)

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

* Daily Effective Fed Funds Rate: 2.39%, volume: $56B

* Daily Overnight Bank Funding Rate: 2.38%, volume: $152B

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

* Secured Overnight Financing Rate (SOFR): 2.39%, $1.038T

* Broad General Collateral Rate (BGCR): 2.36%, $488B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $450B

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

22-May 0100 StL Fed pres Bullard, US econ, mon/pol, Hong Kong, Q&A

22-May 0700 17-May MBA Mortgage Apps'

22-May 1000 Q4 QCEW employment

22-May 1000 NY Fed Pres Williams, Homeownership/Housing, NY

22-May 1010 Atl Fed Pres Bostic, Dallas Fed's Tech-Enabled Disruption conf,

Implications for Business, Labor Mkts and Mon/Pol conf, Dallas, TX.

22-May 1030 17-May crude oil stocks ex. SPR w/w

22-May 1400 April 30/May 1 FOMC minutes

US SWAPS: Spds running steady/mixed after the bell, spd curve steeper. fairly

muted day for flow, incoming swappable supply weighing on front end. Latest spd

levels: 

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

Tue 3:00    -0.56/5.38     -0.19/0.62     +0.00/-4.38   +0.31/-27.50

12:30       -0.50/5.44     -0.19/0.62     +0.19/-4.56   +0.25/-27.56

10:45       -0.12/5.81     +0.00/0.81     +0.19/-4.56   +0.56/-27.25

9:15        +0.12/6.06     -0.06/0.75     +0.00/-4.75   +0.00/-27.81

Tue Open    +0.19/6.12     +0.12/0.94     +0.06/-4.69   +0.12/-27.69

Tue 7:30    -0.06/5.88     +0.00/0.81     +0.06/-4.69   -0.06/-27.88

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

Monday recap: 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.

PIPELINE: $4B World Bank 3Y priced; waiting for US Bank NA, Peidmont Natural to

price

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

05/21 $1.25B #US Bank NA $900M 3Y +48, +350M 3Y FRN L+44

05/21 $600M #Piedmont Natural WNG 10Y +110

05/21 $4B *World Bank long 3Y +2

05/21 $1.25B *Kommunivest 2Y +6

05/21 $1B *Tokyo Metro Gvt WNG 5Y +43

05/21 $1B *BP Capital Markets 1.5Y FRN L+25

05/21 $1B *Hong Kong SAR 5Y Green Bond +32.5

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* -25,000 Jul/Aug 77 call spds, 1.0 mostly on screen

* +10,000 Dec 77/80 call spds 1.5 over the 73 puts

* total 7,500 Green Mar 77/78 4x5 call spds vs. 73 puts, 4.5-5.0 net/puts over

* +15,000 short Sep 77/81 call over risk reversals, 0.0 vs. 97.90/0.66%

* 5,000 Green Mar 77/78 4x5 call spds vs. 73 puts, 4.5 net/puts over

BLOCK, 1125:18ET, adds to earlier +30k Block

* +30,000 Dec 78 calls Blocked at 7.0 vs. 97.62/0.19

BLOCK, 1002:58ET

* -10,000 Blue Sep 78/80 call spds, 4.5 vs.

* +10,000 Gold Sep 77/78 call spds, 4.5

* -17,000 (pit/screen) Red Jun20 78/85 call spds, 16.0 vs. 97.85/0.25%

* just over +32,000 Dec 83/87 call spds, 1.0 on screen

* 30,000 Dec 78 calls Blocked at 7.0 vs. 97.62/0.19, 0826:31ET

* +15,000 Sep 71/72/73 put flys, 0.5 and looking for more offers

* +5k 0EU9 (Sep) 97.375/96.875 put strip for 1.5

Tsy options, Pit/Screen:

* 2,000 FVM 115.5/116 call spds, 17/64 vs. 115-25/0.68%

* +4,000 TYM 124/124.5 call spds 13/64 vs. 124-05.5/0.40%

* FVM 116 calls trade 2.5/64 soon after

BLOCK, 1228:16ET appears to be a ratio call tree

* 8,804 TYN 124.5 calls, 31/64

* 9,283 TYN 125 calls, 20/64

* 18,597 TYN 125.5 calls, 11/64

* +10,000 Sep 75/76 2x1 put spds, 4.0

* +10,000 Mar/Green Mar 73/76 put spd spds2.5

* +8,000 Oct 75/76 2x1 put spds, 0.75

* +10,000 short Jun 81/83 call spds w/ +5,000 short Jun 81/82 call spds, 3.0

* -15,000 FVM 115.25/115.75 put 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$]