US TSYS: TSY YLDS REBOUND, PERIPHERALS REMAIN IN FOCUS

US TSY SUMMARY: Tsys weaker but well off lows post ADP (+178k; Apr rev'n +163).

Tsys had reversed appr two-thirds Tue's safe-haven rally as Italy remains focus,

decent Italian BTP/CCTEU auction performance (and higher flash inflation data

from German regions and Spain) helped narrow peripherals (Italy 10Y vs. Bunds

-40.1, Spain -18.9. Portugal -23.9, Greece -29.2).

- USD index giving back (DXY -0.626, 94.194; US$ vs. Yen +0.12, 108.89); stocks

rebound (emini +34.5, 2726.75); gold firmer (XAU +3.20, 1302.06); West Texas

crude bounce (WTI +1.57 to 68.30).

- Trade off Tue's heavy pace w/real$ and bank portfolios selling intermediates

and long end earlier, two-way by late morning w/fast and real$ across the curve,

flatteners in 2s and 5s vs. 30s, Tsy futures roll volume slows ahead Thu final

notice. Cautious positioning ahead Fri's May NFP. rate hikes rebound, June at

100%, Sep appr 77%, fourth hike in Dec at 35% according to MNI PINCH model),

short end lagging w/3M LIBOR -0.0069 to 2.3003% (-0.0178/wk). 

- Tsy cash/ylds: 2Y 100-05.5 (2.407%), 5Y 100-11.5 (2.671%), 10Y 100-08.5

(2.842%), 30Y 102-05 (3.014%).

US TSY FUTURES CLOSE: Pared Tue strong gain, made session lows early but have

rebounded throughout the afternoon. Curves flattening, update:

* 2s10s -3.286, 42.499 (48.546H/42.318L);

* 2s30s -5.493, 59.652 (67.098H/59.573L);

* 5s30s -4.951, 33.926 (40.447H/33.731L);

Current futures levels:

* Jun Ultra bonds down 1-10/32 at 159-12 (158-04L/161-02H)

* Jun 30-yr Bond futures down 26/32 at 145-14 (144-17L/146-23H)

* Jun 10-yr futures down 20.5/32 at 120-19 (120-08.5L/121-12.5H)

* Jun 5-yr futures down 15/32 at 114-3.75 (113-31L/114-22.25H)

* Jun 2-yr futures down 06.5/32 at 106-7.25 (106-07.5L/106-16H) 

US TSY FUTURES: Close to wrapping it up after Tue's massive volumes across the

board, final notice date tomorrow (Sep takes "top step"). June future's

staggered expiration on June 20 for 10s, 30s and Ultras, and June 29 for 2s and

5s. Latest volume:

* TUM/TUU appr 278k from 3.0-5.0; 3.5 last (>79% complete)

* FVM/FVU appr 550k from 6.75-8.75; 7.25 last (>81% complete)

* TYM/TYU appr 550k from 9.0-11.0; 10.0 last (>81% complete)

* USM/USU appr 90k, 26.75 last (>80% complete)

* WNM/WNU appr 82k, 23.0 last (>83% complete)

US EURODOLLAR FUTURES CLOSE: 

US DOLLAR LIBOR: Latest settles,

* O/N +0.0031 to 1.7116% (+0.0044/wk)

* 1 Month +0.0021 to 1.9824% (+0.0068/wk)

* 3 Month -0.0069 to 2.3003% (-0.0178/wk)

* 6 Month -0.0032 to 2.4668 (-0.0150/wk)

* 1 Year -0.0075 to 2.7000% (-0.0313/wk)

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

* Secured Overnight Financing Rate (SOFR): down to 1.72% vs. 1.73% prior, $796B

* Broad General Collateral Rate (BGCR): steady at 1.70%, $365B

* Tri-Party General Collateral Rate (TGCR): steady at 1.70%, $355B

PIPELINE: Slow issuance for week

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

05/30 $1.8b L3 Technologies 5Y +125a, 10Y +160a

05/30 $650M Southern California 5Y +85a, Tap EIX 4.125% +140a

-

No issuance Tuesday

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

- May 31 Apr challenger layoff plans (-1.4%, --) 0730ET 

- May 31 26-May jobless claims (234k, 224k) 0830ET 

- May 31 Apr personal income (0.3%, 0.3%) 0830ET 

- May 31 Apr current dollar PCE (0.4%, 0.4%) 0830ET 

- May 31 Apr total PCE price index (0.0%, --)/core PCE (0.2%, 0.1%) 0830ET 

- May 31 May ISM-Milwaukee Mfg Index (58.3, --) 0900ET 

- May 31 May MNI Chicago PMI (57.6, 58.1) 0945ET 

- May 31 27-May Bloomberg comfort index 0945ET 

- May 31 Apr NAR pending home sales index (107.6, --) 1000ET 

- May 31 25-May natural gas stocks w/w 1030ET 

- May 31 25-May crude oil stocks ex. SPR w/w (+5.78m bbl, --) 1100ET 

- May 31 Atl Fed Pres Bostic moderated Q&A, Fl Prosperity Partnership, 1230ET 

- May 31 Fed Gov Brainard, economy, outlook, Forecaster's Club, NY, Q&A. 1300ET

- May 31 Dal Fed Pres Kaplan moderated Q&A Southwestern Grad School of Banking

Keynote Banquet Q&A, 2030ET

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:

* -10,000 Jun 75/76 put sprd at 0.75 vs 9769.5/0.25%

* +5,000 Short Jun 71/72/75 call tree at 8.5 vs 9728.5/0.20%

* -5,000 Blue Sep 68/73 put over risk reversal at 2 vs 9708/0.52%

* +4,000 Short Jun 71 Straddle at 18

* +3,000 Blue Sep 71 Straddle at 33

UPDATE: Total -30,000 Short Jul 72 calls at 9.5 vs 9726/0.50%, note earlier sale

of -15k at 10.5 for a total of -45k

UPDATE: Total -14,000 Short Jun 72/73 1x2 call sprd at 2

UPDATE: Total +6,500 Short Jun 71 put at 1

* 9,000 Sep 77/78 1x2 call sprd at 0

Block, 1150:17ET, still offered,

* 37,500 Jun 75 puts, cab, adds to prior, 75k total now

* 5,000 Short Jul 68/71 put sprd at 3.5 vs 9723.5/0.10%

* 4,000 Jun 73 put at CAB vs 9767.25/0.05%

* 7,000 Long Red Sep 65 put at 2 vs 9726/0.10%

* 5,000 Dec 71/73/76 put fly at 9, note earlier buy of +10k at 8.5

* 20,000 Short Jun 73 puts at 8.5 vs 9733/0.60%

* 20,000 Green Jul 72 call at 7 vs 9716.5/0.30%

* 20,000 Short Sep 72 Straddle at 27.5

* 10,000 Short Jul 72 calls at 9.5 vs 9726/0.50%, note earlier sale of -15k at

10.5

* 10,000 Dec 72/73 put sprd at 3.5

UPDATE: Total 8,500 Oct 73 put at 5 vs 9748/0.23%

* 10,000 Sep 75/76 call sprd at 7 vs 9760.5/0.25%

*13,000 Green Sep 68/71 2x1 put sprd at 3

*10,000 Sep 76/77 1x2 call sprd at 0.5

*6,500 Oct 73 put at 5 vs 9748/0.23%

*5,000 Blue Jun 70/71 2x1 put sprd at 2

*4,000 Short Jun 72/73 1x2 call sprd at 2

*4,000 Jul 76 call at 5 vs 9761.5/0.50%

*3,000 Jun 78/80 4x1 call sprd at CAB

UPDATE: Total -36,000 Short Jun 73 call at 4.5 vs 9733/0.40%

UPDATE: Total 10,000 Short Jun 71/72 2x1 put sprd at 1.5

* +10,000 Dec 71/73/76 put flys, 8.5

* -20,000 short Jun 73 calls 4.5 vs. 97.33

* -15,000 short Jul 72 calls, 10.5 vs.97.27/0.50%

* 2,000 Sep 72/73/75 put flys, 1.75

* 1,000 Red Jun 66/70/72/76 put condors, 17.5 vs.

* 5,000 short Jun 71/72 2x1 put spds, 1.5

Block, 0751:58ET,

* 5,000 short Jun 71/73 2x1 put spds, 9.0

Block, 0735:28ET, adds to 10k Blocked earlier

* 6,000 Mar 78/80 call spds, 1.5 vs. 97.43/0.05%

Block, 0641:56ET, adds to decent Green Dec option blocks from earlier

* 5,000 Green Dec 76/80 call spds, 4.0

Blocks:

* -20,000 Green Dec 65/72p spds, 23.0 vs. 97.16/0.45%

* -5,000 Oct 73 puts, 5.0 vs. 97.495/0.34%

* +25,000 Green Dec 61/62/65 put trees, 1.5 vs. 97.08/0.10%

Tsy options, Pit/screen:

* 5,000 TYN 118 puts, 3/64 vs. 119-22.5

* 3,900 TYN 119.5/120.5 strangles, 40/64 

* 3,000 wk2 TY 119.2 puts, 3/64 vs. TYN 120.5/122 call spds, 19/64 vs.

120-07.5/0.40%

* 2,400 TYU 125 calls, 7/64

* 4,300 TYN 120.75 calls, 26/64 vs. 120-12.5/0.40%

* TYU 120 and 120.5 straddles trading 1-63 and 1-60/64 respectively

* 3,000 TYN 118/119.5 3x1 put spds, 3/64

* 1,200 TYN 118/118.5 put spds, 2/64

Earlier screen trade

* -11,000 FVQ 114.5 calls, 17- to 15/64

* -5,000 TYN 119.5/120.5 strangles, 38/64

* 2,500 TYN 119.5 puts, 17/64

* +5k TYU8 117 puts at 9

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

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