US TSYS: TSYS BULLFLATTEN/HOLD GAINS POST MAY FOMC MINUTES

US TSY SUMMARY: Tsys traded strong in lead-up to May FOMC minutes release,

showed little react to dovish/less hawkish tone (depending on viewpoint, as

others see "symmetry" as being "pre-emptively hawkish") with multiple mentions

of symmetrical objective, willingness to let things run hot. Still digesting

mention of tweaking IOER.

- Tsys rallied, curves bull flattened, late chop in long end, 10YY slipped below

3.0% briefly (3.0045% late). The USD index stronger (DXY +0.389, 93.997) but US$

vs. Yen -0.76, 110.14 vs. 109.56L on improved Japan outlook; stocks rebound

(emini +1.5, 2727.5); West Texas crude softer (WTI -0.48, 71.72 vs. 71.19L);

gold firm (XAU +2.66, 1293.80). Heavy futures volume on large Jun/Sep rolling

- Rates held gains on relative narrow range as mkts awaited the minutes release

after concerted/broad-based risk-off this morning w/ Italy, Turkey, China trade,

EM stress, NKorea summit delay talk, weak German/UK data all contributing to

theme; long end-lead Tsy rally, curves (mostly) flatter, US$ climbing. 

- Tsy cash/ylds: 2Y 99-30 (2.532%), 5Y 99-19.75 (2.832%), 10Y 98-28 (3.004%),

30Y 99-04.5 (3.169%)

US TSY FUTURES CLOSE: Trading near high end of the range after the Fed minutes

were released. Curves trading mixed. Curves update:

* 2s10s -2.088, 46.874 (48.986H/44.143L);

* 2s30s -0.195, 63.284 (64.061H/59.289L);

* 5s30s +2.925, 33.559 (33.966H/30.248L);

Current futures levels:

* Jun Ultra bonds up 1-5/32 at 155-10 (154-04L/155-19H)

* Jun 30-yr Bond futures up 1-2/32 at 142-10 (141-08L/142-12H)

* Jun 10-yr futures up 16.5/32 at 119-13 (118-27L/119-13H)

* Jun 5-yr futures up 9.75/32 at 113-12 (113-01.5L/113-12H)

* Jun 2-yr futures up 3.5/32 at 106-00.5 (105-28.75L/106-00.75H)

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 399.4k from 6.5-7.0; 6.75 last

* FVM/FVU appr 599.5k from 9.0-9.75; 9.5 last

* TYM/TYU appr 401.1k from 10.25-11.5; 10.75 last

* USM/USU appr 69.3k, 27.0 last

* WNM/WNU appr 323.2k, 23.75 last

US EURODOLLAR FUTURES CLOSE: Trading just off session highs, parallel shift

between Reds-Golds slight up tick following the release of the Fed Minutes.

Current White pack (Jun'18-Mar'19):

* Jun'18 +0.0200 at 97.6950

* Sep'18 +0.020 at 97.535

* Dec'18 +0.035 at 97.365

* Jun'19 +0.045 at 97.245

* Red pack (Jun'19-Mar'20) +0.065-0.055

* Green pack (Jun'20-Mar'21) +0.065-0.060

* Blue pack (Jun'21-Mar'21) +0.065-0.060

* Gold pack (Jun'22-Mar'22) +0.065

US DOLLAR LIBOR: Latest settles,

* O/N -0.0007 to 1.7078% (+0.0006/wk)

* 1 Month -0.0057 to 1.9597% (+0.0070/wk)

* 3 Month +0.0000 to 2.3300% (+0.0006/wk)

* 6 Month -0.0019 to 2.4975 (-0.0012/wk)

* 1 Year -0.0129 to 2.7541% (-0.0137/wk)

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

* Secured Overnight Financing Rate (SOFR): down to 1.65% from 1.69% prior, $748B

* Broad General Collateral Rate (BGCR): down to 1.63% from 1.66% prior, $359B

* Tri-Party General Collateral Rate (TGCR): down to 1.63% from 1.66% prior,

$337B

US SWAPS: Spds running mixed, spd curve flatter w/2s and 5s leading expansion

late. Decent flow on day, deal and auction hedging, curve flatteners in short

end, two-way in belly, talk in minutes of tweaking OIOER adding to moves in

front end. Latest spd levels:

* 2Y  +1.25/22.75

* 5Y  +1.44/11.19

* 10Y +0.56/3.44

* 30Y -0.44/-10.12

PIPELINE: $11.5B Vodaphone Grp 6-tranche launched, $1.5B Export-Import Bank of

Korea priced

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

05/23 $11.5B #Vodaphone Grp 6-tranche launched:

$2B long 5Y fix +110, $1B long 5Y FRN +99, $1.5B 7Y +135,

$3B 10Y +155, $1B 20Y +200, $3B 30Y +215

05/23 $1B #Equifax (upsized from $600M) 300M 3Y fix +105, $300M FRN +87, $400M

5Y +135

05/23 $850M #Harris Corp 10Y +140

05/23 $1.75B #Santander UK PLC, $1B 3Y fix +80, $750M 3Y FRN +62

05/23 $1.5B *Export-Import Bank of Korea $800M 3Y FRN +57.5, $700M 5Y FRN +77.5

05/23 $500M Tokyo Metropolitan Govt WNG 5Y +45a

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

- May 24 NY Fed Pres Dudley, "Ref Rate Reform/Improving FICC Mkts" London, Q&A

0415ET 

- May 24 19-May jobless claims (222k, 220k) 0830ET 

- May 24 Mar FHFA Home Price Index (0.6%, --) 0900ET 

- May 24 Q1 FHFA Quarterly Home Prices (1.61%, --) 0900ET 

- May 24 20-May Bloomberg comfort index 0945ET 

- May 24 Apr existing home sales (5.60m, 5.58m) 1000ET 

- May 24 18-May natural gas stocks w/w 1030ET 

- May 24 Atl Fed Pres Bostic, Tech-Enabled Disruption: Impl'ns for Biz, Labor

Mkts & MonPol, Dallas, 1035ET

- May 24 May Kansas City Fed Mfg Index (26, --) 1100ET 

- May 24 $30B 7Y note auction, May 31 settle, 1300ET

- May 24 Phi Fed Pres Harker, Tech-Enabled Disruption: Impl'ns for Biz, Labor

Mkts & MonPol, Q&A, 1400ET 

- May 24 23-May Fed weekly securities holdings 1630ET

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   318,975    318,960    637,935  140.50 w/ 9,923 (3,531c, 6,392p)

*                                           141.00 w/ 25,477 (6,005c, 19,472p)

*                                           141.50 w/ 7,120 (2,947c, 4,173P)

* Jun 10yr 1,245,973  1,269,341  2,515,314  118.75 w/ 55,756 (20,394c, 35,363p)

*                                           119.00 w/ 140,743 (45,077c, 95,666p)

*                                           119.25 w/ 60,405 (27,851c, 32,554p)

* Jun 5yr    389,181    776,151  1,165,332  112.75 w/ 27,874 (840c, 27,034p)

*                                           113.00 w/ 43,859 (7,715c, 36,144p)

*                                           113.25 w/ 62,890 (25,263c, 37,627p)

* Jun 2yr    189,887    118,337    308,224  105.88 w/ 15,530 (1,633c, 13,897p)

*                                           106.00 w/ 9,400 (6,542c, 2,858p)

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 5,000 Blue Sep 63/73 strangle at 4

* 4,000 Sep 76/77 1x2 call sprd at 1 vs 9754/0.05%

* 4,000 Short Dec 65/67 put sprd at 5

UPDATE: Total -35,500 Mar 70/75 put sprd at both 27 and 28 vs 9721.5-23.5/0.52%

* 15,000 Mar 70/75 put sprd at 27 vs 9723.5/0.52%, adding to earlier sale

* -10,000 Mar 70/75 put sprd at 28 vs 9721.5/0.52%

* 5,000 Mar 70/71 put sprd at 4

* 5,000 Long Red Sep 67/71 put sprd at 17 vs 9704/0.20%

* 4,500 Short Jul 70/72 call sprd at 7.5 vs 9703.5/0.42%

UPDATE: Total +60,000 Short Jul 72 call at 2 vs 9705.5/0.10%

* 4,000 Short Dec 70 Straddle at 33.5

* 10,000 Green Dec 77/80 call sprd at 1 vs 9692/0.05%

* 4,500 Short Jul 73/76 call sprd at 0.5

* 3,000 Short Jun 71 put at 5 vs 9712/0.52%

* 3,000 Green Jun 68 put at 3.5 vs 9694.5/0.30%

* 2,500 Red Sep 66/68 5x2 put sprd at Even

UPDATE: Total +10,000 Blue Jul 72/75 call sprd at 1

* 9,000 Short Sep 68/71 2x1 put sprd at 6.5

* 3,000 Short Jul/Short Aug 70 straddle sprd at 4

* 10,000 Mar 70/75 put sprd at 28 9721.5/0.52%

* 5,000 Blue Jul 72/75 call sprd at 1

* 2,000 Blue Sep 78 call at 0.5 vs 9692.5/0.05%

Block, 0758:30, comb adds to another 25k on screen

* +10,000 short Jun 70/72 call over risk reversals, 0.5 vs. 97.13/0.28%

Tsy options, Pit/screen:

* >50,000 FVU 106.75 puts, cab-7

Block, 1357:06ET, adds to another 5k in pit at 24/64 vs. 119-05

* -10,000 TYM 118.5/119.5 put spds, 23/64 vs. 119-05.5/0.77%

* -6,500 FVU 115.25 calls, 3/64 vs. 113-04.75/0.10%

* 1,427 TYQ 117.5/120 strangles 35/64 vs.

* 2,811 TUQ 105.5/106.1 strangles, 6/64

* +5,000 TYQ 123.5/124 call strips, 4/64

* 5,000 TYM 118.5/119.5 put spds, 18/64 vs. 119-09/0.66% earlier

* +2,000 TYU 119 straddles, 1-49/64, still offered

* 5,000 TYM 119.75/120.25 1x2 call spds, 1/64 vs. 119-10

* 2,000 TYN 117 puts, 4/64 vs. 118-27

* 3,100 TYM 119/119.5 call spds, 13- to 15/64 vs. 119-07.5

BLOCK, 1029:32ET, adds to small in pit on smaller delta

* 10,000 TYM 118/119.5 put spds, 24/64 vs. 119-05/0.80%

* 1,500 TYN//TYQ 119 straddle spds, 28/64

* 2,000 TYM 119/119.5 1x2 call spds, 10/64

* 2,500 TYM 119/119.5 call spds, 15/64 vs. 119-07.5/0.50%

* 1,000 TYN 117.5/120.5 call over risk reversals, 0.0

Block, 0924:30ET, adds to 13k in pit

* +38,047 TYN 117/118 put spds, 9/64

Block, 0910:28ET,

* 20,000 TYN 117.5/118.5 put spds, 15/64 vs. 119-07/0.23%

Pre-open screen trade highlights

* 19,000 TYM 119 puts, 6- to 4/64

* -14,000 TYU 117 puts, 16- to 17/64

* +10,000 TYN 119.5 calls, 13/64

* +7,500 TYN 119.5/120 call spds, 8/64

* >8,000 TYN 120 calls, 8- 10/64

* >11,000 FVQ 110 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$]