US TSYS: RISK-OFF RATE RALLY/WIDER SOVEREIGN SPDS

US TSY SUMMARY: Tsys higher/off session highs by the early close, ylds continue

to recede from late last wk's multi-year highs (10YY 2.9332, -.0438), largely in

reaction to widening in sovereign peripherals (Spain 10Y vs. Bunds +15,

outpacing Italy +13 and Portugal, +12, Turkey only +6.7). Decent volumes belie

thin mkts on shortened pre-holiday weekend.

- USD index bouncing after some overnight chop (DXY +0.392, 94.167) US$ vs. Yen

+0.15, 109.40; stocks weaker (emini -7.25, 2720.25); gold little weaker (XAU

-0.53, 1304.08). West Texas crude hammered (WTI -3.07 to 67.64) on OPEC

headlines they looking to boost supply by ending excessive cuts.

- Futures traded strong post data, extending session highs on decent volume

(more due to June/Sep roll action and June option expiration hedging than to

data).

- Tsy cash/ylds: 2Y 100-01.2 (2.476%), 5Y 99-30 (2.762%), 10Y 99-16 (2.931%),

30Y 100-19.5 (3.092%).

US TSY FUTURES CLOSE: Trade higher following strong data on high volume, curves

trading mixed but working off flats, update:

* 2s10s -1.160, 45.330 (47.334H/44.053L);

* 2s30s +0.327, 61.615 (62.018H/59.679L);

* 5s30s +1.916, 32.837 (32.917H/30.259L);

Current futures levels:

* Jun Ultra bonds up 1-00/32 at 157-07 (155-31L/157-20H)

* Jun 30-yr Bond futures up 30/32 at 143-23 (142-19L/143-29H)

* Jun 10-yr futures up 12/32 at 119-28 (119-12.5L/119-31H)

* Jun 5-yr futures up 8/32 at 113-22.5 (113-12.25L/113-23.5H)

* Jun 2-yr futures up 2.25/32 at 106-04 (106-01L/106-04.25H)

US TSY FUTURES: Late Jun/Sep roll volume. 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 735.7k from 6.0-7.0; 6.5 last

* FVM/FVU appr >1.2M from 9.0-9.75; 9.25 last

* TYM/TYU appr >1M from 10.25-11.0; 10.5 last

* USM/USU appr 241.2k, 27.0 last

* WNM/WNU appr 129.7k, 23.0 last

US EURODOLLAR FUTURES CLOSE: Trading mixed with most of strip higher, parallel

shift throughout Reds-Golds. Current White pack (Jun'18-Mar'19):

* Jun'18 -0.0050 at 97.6975

* Sep'18 +0.015 at 97.580

* Dec'18 +0.025 at 97.415

* Jun'19 +0.040 at 97.315

* Red pack (Jun'19-Mar'20) +0.055-0.045

* Green pack (Jun'20-Mar'21) +0.060

* Blue pack (Jun'21-Mar'21) +0.065-0.055

* Gold pack (Jun'22-Mar'22) +0.060-0.050

US DOLLAR LIBOR: Latest settles,

* O/N -0.0013 to 1.7072% (+0.0000/wk)

* 1 Month +0.0074 to 1.9756% (+0.0229/wk)

* 3 Month -0.0013 to 2.3181% (-0.0113/wk)

* 6 Month -0.0032 to 2.4818 (-0.0169/wk)

* 1 Year -0.0061 to 2.7313% (-0.0365/wk)

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

* Secured Overnight Financing Rate (SOFR): climbs to 1.74% from 1.67% prior,

$772B

* Broad General Collateral Rate (BGCR): climbs to 1.71% vs. 1.63% prior, $361B

* Tri-Party General Collateral Rate (TGCR): climbs to 1.71% vs. 1.63% prior,

$350B

US SWAPS: Spds mildly wider by the bell, off steady/mixed levels from the open,

better but light payers in 3s, 4s, 5s and 10s last couple hours, flatteners in

4s5s and steepeners in 5s10s. Quiet ahead the extended holiday weekend. Latest

spd levels:

* 2Y  -0.12/22.94

* 5Y  +0.38/10.75

* 10Y +0.44/3.75

* 30Y +0.31/-9.44

PIPELINE: No new issuance on Friday's shortened/pre-holiday session

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

- 

$2.5B priced Thursday, $22B priced on week

05/24 $1B #Yara Int 10Y +180

05/24 $600M *Hunt Oil WNG 10Y 6-5-6.25%a

05/23 $500M *Tokyo Metropolitan Govt WNG 5Y +42

05/24 $400M *Graham Holdings 8NC3 5.75%

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

- May 29 StL Fed Pres Bullard, U.S. economy and mon/pol, Japan Center for Int

Finance's Global Finance Seminar, Minato-ku, Tokyo, audience & media Q&A 0040ET

- May 29 Mar Case-Shiller Home Price Index (0.8, --) 0900ET

- May 29 May Conference Board confidence (128.7, --) 1000ET

- May 29 May Dallas Fed manufacturing index (21.8, --) 1030ET

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   314,778    307,766    622,544  143.50 w/ 9,544 (7,553c, 1,991p)

*                                           144.00 w/ 19,560 (11,353c, 8,207p)

*                                           144.50 w/ 7,413 (7,201c, 212P)

* Jun 10yr 1,201,867  1,241,931  2,443,798  119.75 w/ 49,850 (36,869c, 12,981p)

*                                           120.00 w/ 169,317 (107,406c,

61,911p)

*                                           120.25 w/ 52,593 (49,381c, 3,212p)

* Jun 5yr    375,082    744,873  1,119,955  113.50 w/ 58,615 (35,819c, 22,796p)

*                                           113.75 w/ 32,117 (16,181c, 15,936p)

*                                           114.00 w/ 69,938 (36,865c, 33,073p)

* Jun 2yr    189,536    117,931    307,467  106.00 w/ 9,097 (6,542c, 2,555p)

*                                           106.12 w/ 36,884 (6,874c, 30,010p)

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 10,000 Short Dec 66/68 put sprd at 5.5

* 8,000 Short Mar 67/72 call over risk reversal at 4.5 vs 9706/0.60%

* 10,000 Dec 71 puts at 1.5 vs 9739/0.10%

* 47,000 Sep 72 puts at CAB vs 9758.5/0.05%

* 12,000 Jun 78 call at CAB vs 9770.5/0.10%

* 13,000 Green Jul 72 call at 3 vs 9704.5/0.19%

* 4,000 Dec 70/71/72 put fly at 2 vs 9738/0.10%

* 5,000 Short Sep 71 straddle at 24

* 2,500 Short Sep 68/71 1x2 call sprd at 4

* 5,000 Long Red Jun 70/71 put sprd at 5

* +5,000 Dec 75 calls, 6.5 vs. 97.405-.41

* 4,000 Green Jun 67/68/70 put flys, 3.0 vs. 96.985

* 1,000 Blue Jun 68/70/71 put flys, 4.0

pre-open screen-trade

* -4,200 Green Sep 65/67/70 put flys, 5.5

* +16,100 Jul 73 puts, cab

* 4,000 short Jun 70/71 2x1 put spds

* 1,400 short Jul 68/70/71 put trees

Tsy options, Pit/screen:

* 10,000 TYN 117 puts at 1/64, volume over 16.5k

* 16,000 TYN 116.5/118.5 put spds, 8/64

Block, 1003:15ET -- still not seeing this on Bbg option monitor

* another 7,500 Jul 113 calls, 15k total at 33/64 after 7.5k at 38/64 post

Block, 1003:15ET -- still not seeing this on Bbg

option monitor

* another 7,500 Jul 113 calls, this time at 38/64 after 7.5k at 33/64 post

Block, 0938:31ET -- not seeing this on Bbg option monitor

* 7,500 Jul 113 calls, 33/64

* Update, total 4,000 TYN 118/119.5 3x1 put spds 15/64 w/119.5/121 1x3 call

spds, from 15- to 14/64

* 1,100 TYN 118/119.5 3x1 put spds 15/64 w/119.5/121 1x3 call spds, also at

15/64

* 1,500 TYN 119.5 straddles 61- to 60/64

* two way TYM 120 comb trade, traders exiting strike to avoid pin risk ahead

today's expiration

* 5,000 USN 134/153 call over risk reversals, 1/64 vs. 143-03

*2,000 TYN 121 calls, 5/64 vs. 119-25/0.10%

Block, 0728:37ET

* 15,000 TYQ 114 puts, 1/64

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

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