US TSYS: TSYS EXTEND RALLY, INGNORE STRONG US$, MNTH END BID

US TSY SUMMARY: Tsys finished at/near top end of range Wed, ignoring jump in US$

vs. majors and tighter sovereign spds, focus on another steep drop in equities

(FANG shares lead), strong month end buying adding impetus to move.

- US$ index higher (DXY +.596 to 95.272 vs. 95.417H; US$/Yen +0.21 to 110.23 vs.

110.26H); equities reverse Tue's gains (emini -23.0, 2699.0); gold mildly weaker

(XAU -0.33, 1251.96); West Texas crude surged again, adding to Tue's rally (WTI

+1.77, 72.30 vs. 73.03H).

- Relative quiet start, two-way flow on decent overnight futures volume coming

into the NY session (TYU>475K on open), better buying in intermediates to long

end accelerated later in second half on month end extensions. Muted deal-tied

flow. 

- Swap spds mildly wider for the most part, short end wider (quoted over new

issue), 10Y lagging move. Sporadic flow includes 2-way in short end, decent rate

paying in 4s around 2.855-.865%, 2-way 2s5s spd curve flow and 3s4s flatteners. 

- Tsy cash/ylds: 2Y 99-31.5 (2.504%), 5Y 100-07.75 (2.695%), 10Y 100-13

(2.826%), 30Y 103-03 (2.967%)

US TSY FUTURES CLOSE: US TSY FUTURES CLOSE: New session highs late, US$/YEN

hovering mildly higher after a big morning dip (+0.20, 110.26) as DXY climbs to

session highs (+0.678, 95.354), equities continue to fall lower, FANG stocks

lead large selloff in stocks this afternoon, Curves continue flattening, update:

* 2s10s -2.199, 31.741 (31.570L/34.708H);

* 2s30s -2.650, 46.232 (45.999L/49.407H);

* 5s30s -0.612, 27.177 (26.534L/28.530H);

Current futures levels:

* Sep Ultra bonds up 1-18/32 at 159-29 (158-08L/160-00H)

* Sep 30-yr Bond futures up 1-02/32 at 145-10 (144-05L/145-11H)

* Sep 10-yr futures up 13/32 at 120-13 (119-30L/120-13H)

* Sep 5-yr futures up 07.25/32 at 113-24 (113-15.75L/113-24.5H)

* Sep 2-yr futures up 02.25/32 at 105-31 (105-28.5L/105-31.25H)

MONTH-END EXTENSIONS: Bloomberg-Barclays 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 Jul

*US Tsys.................0.06........0.06........0.04

*Agencies................0.12........0.08........0.06

*Credit..................0.08........0.04........0.04

*Govt/Credit.............0.07........0.06........0.04

*MBS.....................0.07........0.05........0.15

*Aggregate...............0.07........0.05........0.07

*Long Govt/Credit........0.04........0.00.......-0.04

*Interm Credit...........0.05........0.04........0.03

*Interm Govt.............0.07........0.03........0.03

*Interm Govt/Cred........0.06........0.03........0.03

*High Yield..............0.04........0.01........0.00

US EURODOLLAR FUTURES CLOSE: At/near new session highs, parallel shift across

Reds through Golds. Current White pack (Sep'18-Jun'19):

* Sep'18 +0.010 at 97.555

* Dec'18 +0.020 at 97.375

* Jun'19 +0.025 at 97.255

* Jun'19 +0.025 at 97.160

* Red pack (Sep'19-Jun'20) +0.050-0.040

* Green pack (Sep'20-Jun'21) +0.55

* Blue pack (Sep'21-Jun'21) +0.055

* Gold pack (Sep'22-Jun'22) +0.055

US DOLLAR LIBOR: Latest settles,

* O/N -0.0013 to 1.9337% (+0.0057/wk)

* 1 Month -0.0083 to 2.0935% (-0.0042/wk)

* 3 Month -0.0013 to 2.3343% (-0.0045/wk)

* 6 Month -0.0019 to 2.5006% (-0.0069/wk)

* 1 Year -0.0081 to 2.7628% (-0.0140/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.90% vs. 1.91% prior, $757B

* Broad General Collateral Rate (BGCR): steady at 1.89%, $354B

* Tri-Party General Collateral Rate (TGCR): steady at 1.89%, $345B

US SWAPS: Spds currently mildly wider for the most part, short end wider (quoted

over new issue), 10Y lagging move. Sporadic flow includes 2-way in short end,

decent rate paying in 4s around 2.855-.865%, 2-way 2s5s spd curve flow and 3s4s

flatteners. Latest spd levels:

* 2Y  +0.50/25.62

* 5Y  +0.12/15.00

* 10Y -0.31/7.00

* 30Y +0.25/-6.31

PIPELINE: Another slow session for HG supply, Municipality Finance 3Y priced

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

06/27 $1B *Municipality Finance 3Y +3

06/27 $1.027B Community Health systems 5.5NC2.5

06/27 $700M Transocean 5.5NC3

- 

$900M priced Tuesday

06/26 $500M *Penske Truck Leasing 5Y +137.5

06/26 $400M *USAA Capital 2Y +53

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

- Jun 28 23-Jun jobless claims (218k, 220k) 0830ET 

- Jun 28 Q1 GDP (3rd) (2.2%, 2.2%) 0830ET 

- Jun 28 Q1 GDP Price Index (1.9%, 1.9%) 0830ET 

- Jun 28 24-Jun Bloomberg comfort index (56.5, --) 0945ET 

- Jun 28 22-Jun natural gas stocks w/w 1030ET 

- Jun 28 StL Fed Pres Bullard moderated Q&A, U.S. Eco/MonPol, Ascension Hlth

Mngmnt 1045ET 

- Jun 28 Jun Kansas City Fed Mfg Index (29, --) 1100ET 

- Jun 28 28 US TSY TO SELL $30.000 BLN 7Y NOTES, SETTLE JUL 02 1300ET 

- Jun 28 May farm prices (-2.2%, --) 1500ET 

- Jun 28 27-Jun Fed weekly securities holdings 1630ET 

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

Blocks, 1638:30ET

* total 20,000 short Aug 75 calls, 1.5 vs. 97.11/0.06%

* +15,000 Blue Sep 65/67 put sprd at 2.5 vs 9703/0.10%

* 6,500 Mar 68/70/71 put fly at 2 vs 9726.5/0.10%

* 5,000 Green Dec 61/62 put sprd at 2 vs 9702/0.06%

* +8,000 Blue Jul 75 calls, cab

* -10,000 Sep 76 calls, 2.75 vs. 97.55/0.25%

Block, 10:34:46ET

* 32,100 Green Sep 68 puts at 5.5 vs 9705/0.34%

* 30,000 Sep 73 put at 0.5 vs 9752.5/0.05%

* 12,000 Short Jul 70 put at 1.5

UPDATE: Total +75,000 Mar 67/68/70 put fly for 1.75

* >21,000 Green Jul 68 puts at 1, on screen

* 20,000 Dec 75/76 put sprd at 10.5 vs 9735/0.12%

* 20,000 Mar 67/68/70 put fly for 1.75

* 12,000 Mar 67/68 2x1 put sprd at 0, note over 20k traded yesterday

* 12,000 Mar 68/70 3x2 put sprd at 3.5, note over 20k traded yesterday

Tsy options, Pit/Screen:

Blocks, 1204:00ET

* +8,000 FVQ 113.75 calls, 18/64 (another 2k bought in pit) -- yes, -30k sold at

17.5 earlier

* -3,520 FVU 113-21.75, buy through 113-21.5 post time offer (113-21.25 last)

* 1,000 FVU 112.2/115 strangles, 10/64

* +1,500 FVQ 113.7/114.7 1x2 call spds, .5/64

* +1,500 USQ 148 calls, 16/64 vs. 145-00

* Update, over -30,000 FVQ 113.75 calls, 17.5/64 vs. 113-21.2

* 2,500 TYU 119 puts, 17/64 vs. 120-07

* 1,000 TYU 122/123 1x2 call spds, 0.0

* Update, over -17,000 FVQ 113.75 calls, 17.5/64 vs. 113-21.2

* 3,000 FVQ 113.75 calls, 17.5/64

* 1,600 TYQ 120.5 calls, 24/64 vs. 120-07

* +4,000 wk2 FV/FVU 113.2 put spds, 12.5/64 Sep over

* 10,000 TYQ 119.5 puts on screen at 13/64, total volume over 14k on screen

* >14,000 TYQ 121 calls mostly at 13- to 14/64 on screen

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

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