US TSYS: TSY CURVES STEEPER THREE DAY RUN, 10YY TAP 3.1205%

US TSY SUMMARY: Rates mixed into the closing bell, curve steeper with long end

underperforming much of the session, rather quiet session despite 10Y yld making

a couple attempts to revisit 3.1205% high tapped in early London hours.

- US$ index off midday high (DXY +.077 93.469 vs. 93.565H; US$/Yen +.29,

110.690); equities chopped lower (emini -3.0, 2720.0), West Texas crude well off

early highs (WTI +0.06, 71.55 vs. 92.30H); gold mildly higher (XAU +0.75,

1291.46).

- Carry-over cross-current trade from overnight -- mkt reacting to European

headlines then technicals. Little react to wkly claims above exp (+11k to 222k),

US APR LEADING INDEX +0.4% VS MAR +0.4%. No react to Fed speak: NY Fed exec VP

Hirtle open remarks Eco Press Brief, Mn Fed Pres Kashkari and Dal Fed Pres

Kaplan on separate moderated Q&A sessions.

- Flow included steady steepener and/or flattener unwinds interest in 5s10s and

10s30s since the open, deal-tied flow in the mix, Jun/Sep Tsy futures rolling

still hasn't kicked into high gear yet.

- Tsy ylds: 2Y 2.565%, 3Y 2.773%, 5Y 2.927%, 7Y 3.056%, 10Y 3.104%, 30Y 3.238%

US TSY FUTURES CLOSE: Trading mixed with long end extending session lows late,

curves steepening. Curve update:

* 2s10s +2.951, 53.666 (54.058H/49.996L);

* 2s30s +4.654, 67.449 (67.740H/62.466L);

* 5s30s +3.666, 31.294 (31.382H/27.539L);

Current futures levels:

* Jun Ultra bonds down 26/32 at 153-04 (153-04L/154-01H)

* Jun 30-yr Bond futures down 16/32 at 140-14 (140-12L/141-01H)

* Jun 10-yr futures down 1.5/32 at 118-16 (118-10.5L/118-19H)

* Jun 5-yr futures up 0.5/32 at 112-28.5 (112-25L/112-30.25H)

* Jun 2-yr futures up 01/32 at 105-28.25 (105-26.5L/105-28.5H)

US TSY FUTURES: Not much additional Jun/Sep roll volume since this morning. June

future's staggered expiration on June 20 for 10s, 30s and Ultras, and June 29

for 2s and 5s; September futures go "top step" on May 31. Latest volume:

* TUM/TUU appr 22.9k from 6.75-7.25; 7.0 last

* FVM/FVU appr 32.8k from 9.75-10.5; 10.0 last

* TYM/TYU appr 42.6k from 12.5-13.0; 12.5 last

* USM/USU appr <100, 27.0 last

* WNM/WNU appr <600, 22.75 last

US EURODOLLAR FUTURES CLOSE: trading steady to mixed into the close with the

long end underperforming the short end on moderate volume. Current White pack

(Jun'18-Mar'19):

* Jun'18 -0.0025 at 97.6800

* Sep'18 +0.005 at 97.520

* Dec'18 +0.005 at 97.335

* Jun'19 +0.005 at 97.185

* Red pack (Jun'19-Mar'20) +0.005-Even

* Green pack (Jun'20-Mar'21) Even

* Blue pack (Jun'21-Mar'21) -0.005-Even

* Gold pack (Jun'22-Mar'22) -0.010-0.005

US DOLLAR LIBOR: Latest settles,

* O/N +0.0006 to 1.7060% (-0.0002/wk)

* 1 Month +0.0127 to 1.9477% (+0.0290/wk)

* 3 Month +0.0056 to 2.3312% (-0.0113/wk)

* 6 Month +0.0050 to 2.4994 (-0.0156/wk)

* 1 Year +0.0050 to 2.7665% (+0.0007/wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): back down to 1.75% from 1.79% prior,

$754B

* Broad General Collateral Rate (BGCR): back down to 1.70% from 1.73% prior,

$350B

* Tri-Party General Collateral Rate (TGCR): back down to 1.70% from 1.73% prior,

$333B

US SWAPS: Spds session extremes by the bell, curve flatter for third consecutive

session. Decent earlier flow included receivers in 10s preceded decent $410M

paying in 2s at 2.8243%, receiver 5s at 3.02225%, $291k 5Y-7Y-10Y Fly, paying

the belly. By midday, near $1B receiver in 1Y at 2.57228-2.573%, payers in 4s

and 5s (2.98875% and 3.03125% respectively), two-way fly trade includes $291.2k

5Y-7Y-10Y Fly, paying the belly and $291.2k 2Y-3Y-10Y Fly, receiving the belly.

Latest spd levels:

* 2Y  +1.69/24.62

* 5Y  +0.38/10.00

* 10Y -0.25/3.12

* 30Y -0.94/-8.31

PIPELINE: $1.95B Schwab 3-part launched, still waiting on @2.5B Svenska to price

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

05/17 $2.5B #Svenska $1.25B 3Y fix +65, 1.25B 3Y FRN +47

05/17 $1.95B #Schwab $600M 3Y fix +50, $600M 3Y FRN L+32, $750M 7Y +80

05/17 $750m *Valero Energy 10Y +125

05/17 $500M *Province of New Brunswick 10Y +50

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

- May 17 12-May jobless claims (211k, 215k) 0830ET

- May 17 May Philadelphia Fed Mfg Index (23.2, 21.5) 0830ET

- May 17 13-May Bloomberg comfort index 0945ET

- May 17 Q1 e-commerce retail sales 1000ET

- May 17 Apr leading indicators (0.3%, 0.4) 1000ET

- May 17 NY Fed exec VP Hirtle open remarks Eco Press Brief/Homeownership &

Housing Wlth, Q&A, 1000ET

- May 17 11-May natural gas stocks w/w 1030ET

- May 17 Mn Fed Pres Kashkari, moderated Q&A w/ Julie Gugin, exec dir Mn Home

Ownership Cntr, Q&A. 1045ET

- May 17 Dal Fed Pres Kaplan, moderated Q&A, Richardson CoC, Tx, Q&A, 1330ET

- May 17 16-May Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 12,000 Short Jul 67/68 put at 1 over Short Jul 72 call

* 3,500 Jun 76 put at 1.5 vs 9767.25/0.30%

* 10,000 Short Sep 67 put at 3.5 vs 9696/0.10%

* 10,000 Short Jun 68/70 put sprd at 2

* 3,250 Sep 76/77/78 call tree at 1.25

* 2,500 Green Sep 62/63 2x1 put sprd at 0

UPDATE: Total +35,000 Green Dec 78 call at 1, adding to 22k screen and block

UPDATE: Total +6,000 Short Sep 70 Straddle at 22.5

* 20,000 Short Dec 65/66 put strip at 8.5 vs 9691.5/0.36%

* 10,000 Green Sep 72/73/75 call strip for net 5.5 vs 9684.5/0.26%

* 3,000 Green Dec 65 put at 8 vs 9681/0.25%

UPDATE: Total -10,000 Red Dec 65 put at 7.5

UPDATE: Total +4,000 Short Sep 70 Straddle at 22.5

* 6,000 Jun 76/77 Strangle at 2.5 vs 9768/0.05%, note earlier trade of 7,000 Jun

76/77 Strangle at 2.75

* 3,000 Green Sep 66 put at 6 vs 9684.5/0.25%

Block, 1014:19ET, 

adds to prior screen & Blocks, +65.5k total

* +10,000 Mar 80 calls, 1.0 vs. 97.205/0.05%

* 5,000 Jun 76/77 call sprd at 5.25

* 3,500 Green Jun 67/70 put over risk reversal at 1 vs 9685.5/0.45%, Note:

earlier trade 4,000 Green Jun 67/70 put over risk reversal at 0.5 vs

9686.6/0.51%

UPDATE: Total 6,000 Mar 80 call at 1 vs 9720.5/0.05%, adding to 54K on screen

and block earlier

* 4,000 Green Jun 67/70 put over risk reversal at 0.5 vs 9686.6/0.51%

* 3,000 Green Jun 67/68 put sprd at 2

* 2,500 Dec 72/73 3x2 put sprd at 6.5

* 2,500 Dec 71/72 2x1 put sprd at 2

* 2,000 Short Jun 70/71 strangle at 5.5

* 2,000 Short Dec 71 call at 8.5 vs 9692.5/0.30%

* 2,000 Blue Sep 66 put at 8 vs 9681/0.30%

* 25,000 Green Dec 78 call at 1, adding to 22k screen and block

* 4,000 Aug 73/75 2x1 put sprd at 3

* 2,000 Short Jun 70/71 2x1 put sprd at 3.5

* 5,000 Green Sep 63/65/67 put fly for net 5

* 5,000 Green Sep 63/66 put sprd at 4

* 5,000 Green Sep 65/67 put sprd at 7

* 7,000 Jun 76/77 Strangle at 2.75

* 6,000 Short Jul 67/70 put sprd at 7.5

* 2,500 Green Sep 70/73 call sprd at 6 vs 9683/0.33%

* 2,500 Blue Jun 63/66 put sprd at 2 vs 9680/0.07%

UPDATE: Total 5,000 Short Mar 65/67 put sprd 4 over Short Mar 75 call vs

9685.5/0.10%

* 3,750 Short Mar 65/67 put sprd 4 over Short Mar 75 call vs 9685.5/0.10%

* 2,000 Mar 80 call at 1 vs 9720.5/0.05%, adding to 54K on screen and block

* 15,000 Green Dec 67/70 put sprd for 10 over Green Dec 73 call vs 9681/0.35%

Block, 0742:04ET, +20k total/corrects price on prior 15k to 1.0

* another 5,000 Mar 80 calls at 1.0 vs. 97.21/0.05%

Blocks, 0722:20-0725:58ET, still offered

* total +10,000 Green Dec 78 calls, 1.0

Screen trade bumping volume over 125k

* over 19,000 Dec 72 puts, 7.0

* total 15,000 Mar 80 calls, .75

More 1Y midcurve Blocks:

* 5,000 short Aug 72 calls, 2.0 at 0712:30ET

* 10,000 short Aug 75 calls, 0.5 at 0717:40ET

* 5,000 short Aug 76 calls, 0.5 at 0709:13ET

* 5,000 short Jul 70/71 1x2 call spds, 1.5 net at 0702:00ET

Tsy options, Pit/screen:

* 3,000 FVM 113 puts, 14/64vs. 112-28.25

* 3,400 TYU 118.5/120/120.5 call flys, 19/64 vs.

* 1,700 TYM 118.75 calls, 9/64, 29/64 net/package

* 2,450 FVM 113/113.75 put spds, 41.5

* 2,750 TYM 120.5straddles, 34/64 vs.

* 1,100 USM 140.5 straddles, 1-17/64

* 5,000 TYN 116.5 puts on screen at 9/64

* 5,000 TYQ 116/118 2x1 put spds, 22/64 vs. 118-06/0.16% earlier

Block, 0742:04ET,

* -5,000 TYM 118.5/119 put spds, 18/64, unwind/taking profits

* +2,500 TYM 119 calls, 6/64 vs. 118-17.5

* small sales TYQ/TYU 118 straddle strip, 3-25/64

* +4,000 TYN 119/120/120.5 broken call trees, 8/64

* 1,500 TYN/TYU 118 straddle spds, 46/64

* 1,000 TYQ 118 straddles, 1-35/64

* 1,400 USM 139 puts, 11/64 vs. 140-21/0.17%

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

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