US TSYS: TSYS HOLD GAINS AFTER FOMC MINUTES CONFIRM PATIENCE

US TSY SUMMARY: Rates drifting near top end session range, little to no react to

the March 30-April 1 FOMC minutes, though equities liked the "Patience Warranted

'For Some Time'", bouncing off second half lows.

- Tsy yld curves mostly flatter by the bell after trading steeper most of day,

3M10Y off inversion but scaling back recent steepening (-3.018 at 1.789

(L:0.489/H:4.922). CBoE vol index (VIX) weaker/near lows (-0.32, 14.63);

equities mildly weaker -- near middle of range (ESM9 -4.5).

- Futures volume decent (TYM>1.3M) but driven by increasing quarterly futures

roll action from June to Sept ahead the May 31 first notice date. Two-way flow

in short to intermediates w/ accts squaring up ahead extended holiday weekend.

- On tap for Thursday: Weekly claims; April building permits revision; May

Markit Mfg and Services Indexes; April new home sales; May Kansas City Fed Mfg

Index; May Fed weekly securities holdings.

- The 2-Yr yield is down 2.5bps at 2.2289%, 5-Yr is down 3.9bps at 2.1878%,

10-Yr is down 3.6bps at 2.3909%, and 30-Yr is down 2.7bps at 2.8168%.

US TSY FUTURES CLOSE: Stronger across the curve after the bell, little off

second half/session highs -- little react to "patient" March 30-April 1 FOMC

minutes release. Decent volume for a quiet day -- largely tied to Jun/Sep roll

action, see below. Update: 

* 3M10Y  -3.018, 1.789 (L: 0.489 / H: 4.922)

* 2Y10Y  -0.854, 15.812 (L: 15.782 / H: 18.146)

* 2Y30Y  -0.088, 58.506 (L: 58.228 / H: 60.487)

* 5Y30Y  +1.078, 62.661 (L: 61.505 / H: 63.1)

Current futures levels:

* Jun 2-Yr futures (TU) up 1.375/32 at 106-16.625 (L: 106-15.125/H:106-17.375)

* Jun 5-Yr futures (FV) up 6/32 at 115-31.75 (L: 115-25.25/H:116-00.75)

* Jun 10-Yr futures (TY) up 10/32 at 124-14.5 (L: 124-03/H:124-15.5)

* Jun 30-Yr futures (US) up 18/32 at 149-24 (L: 149-02/H:149-29)

* Jun Ultra futures (WN) up 22/32 at 167-28 (L: 166-31/H:168-05)

US TSY FUTURES: *** Late session roll update. September takes lead from June at

end of this month (first notice May 31). June future's staggered expiration on

June 19 for 10s, 30s and Ultras, and June 28 for 2s and 5s. Latest volume:

* TUM/TUU appr 311,200 from -7.62 to -7.0, -7.5 last, appr 30% complete;

* FVM/FVU appr 459,600 from -5.5 to -4.5, -5.25 last, appr 18% complete;

* TYM/TYU appr 184,800 from -9.5 to -8.5, -9.5 last, appr 10% complete;

* USM/USU appr 83,700 from 19.75 to 20.25, 20.00 last, appr 12% complete;

* WNM/WNU appr 39,700 from -22.5 to -21.25, -22.25 last, appr 16% complete;

US EURODLR FUTURES CLOSE: Steady in the short end to modestly higher out the

strip, Golds outperforming. Current White pack (Jun 19-Mar 20):

* Jun 19 steady00 at 97.470

* Sep 19 steady00 at 97.555

* Dec 19 +0.010 at 97.615

* Mar 20 +0.020 at 97.765

* Red Pack (Jun 20-Mar 21) +0.030 to +0.040

* Green Pack (Jun 21-Mar 22) +0.035 to +0.035

* Blue Pack (Jun 22-Mar 23) +0.035 to +0.035

* Gold Pack (Sep 22-Jun 23) +0.035 to +0.040

US DOLLAR LIBOR: Latest settles resume 

* O/N -0.0008 at 2.3545% (-0.0012/wk)

* 1 Month +0.0074 to 2.4370% (-0.0049/wk)

* 3 Month +0.0012 to 2.5247% (+0.0028/wk)

* 6 Month +0.0074 to 2.5706% (+0.0168/wk)

* 1 Year +0.0120 at 2.6656% (+0.0303/wk)

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 2.39%, volume: $64B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $169B

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

* Secured Overnight Financing Rate (SOFR): 2.38%, $1.017T

* Broad General Collateral Rate (BGCR): 2.36%, $477B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $444B

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

23-May 0830 18-May jobless claims (212k, 215k)

23-May 0900 Apr bldg permits revision

23-May 0945 May Markit Mfg Index (flash) (52.6, 52.7)

23-May 0945 May Markit Services Index (flash) (53.0, 53.5)

23-May 1000 Apr new home sales (692k, 675k)

23-May 1030 17-May natural gas stocks w/w

23-May 1100 US Tsy weekly bill and 2-, 5- and 7Y note annc

23-May 1100 May Kansas City Fed Mfg Index (5, 6)

23-May 1100 SF Fed Pres Daly, Tech-Enabled Disruption conf, TX, Q&A

23-May 1300 US TSY $11B 10Y TIPS auction (9128285W6)

23-May 1320 Dal Fed Pres Kaplan, Q&A w/ Tom Barkin, Raphael Bostic, Mary Daly,

Tech conf, TX, Q&A

23-May 1630 22-May Fed weekly securities holdings

US SWAPS: Spds running mildly wider for most part, spd curve flatter w/short end

leading move wider. Light two-way flow on net, fast$ receiver unwinds in short

end earlier. Limited deal-tied flow after >$18B priced Mon-Tue. Latest spd

levels: 

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Wed 3:00    +0.62/5.75     +0.62/1.25     +0.06/-4.50   -0.12/-27.62

12:00       +0.94/6.06     +0.62/1.25     +0.00/-4.56   -0.19/-27.69

Wed Open    +1.00/6.12     +0.38/1.00     +0.06/-4.50   -0.19/-27.69

Tue 3:00    -0.56/5.38     -0.19/0.62     +0.00/-4.38   +0.31/-27.50

Tuesday recap: Spds running steady/mixed after the bell, spd curve steeper.

fairly muted day for flow, incoming swappable supply weighing on front end. 

PIPELINE: Slow day for issuance after $18.3B priced Mon-Tue

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

05/22 $300M *Consumers Energy Co WNG Long 30Y +100

05/22 $Benchmark Telus 30Y +160a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

14:14 05/22 EDT US EURODLR OPTIONS: Latest trade

* -20,000 Jul/Aug 77 call spds, 1.0

* +2,000 Green Jul 81/83 1x2 call spds, 2.5

* 15,000 Dec 76 straddles, 28.5

* Update, total +22,500 Jul 77 vs. short Jul 83/86 call spds, even net

* Update, total +5,200 Sep/Dec/Mar 72/73/75 put tree strips, 9.0 total

* 10,000 Oct/Dec 75 put spds, 2.5 vs. 5,000 Dec 73 puts, 3.5

* -6,000 Dec 73/75/76 3x5x2 put flys, 1.0 net cr/belly over

* +5,000 Dec 73/75 2x1 put spds, 2.0

* -10,000 Jul 75 puts, 1.75 vs. 97.565/0.28%

Additional trade from earlier includes

* -5,000 short Sep 77 puts, 8.5

* -5,000 short Jul 77 puts, 4.5

BLOCK, 0857:38ET

* 10,000 short Jul 77/78 2x1 put spds, 1.0 net

* 17,000 Oct 75/short Oct 76 put spds, 0.0

* 5,000 Green Dec 81 calls, 14.0 vs. 97.935/0.36%

* 10,000 short Jul 77/78 2x1 put spds, 1.0 vs. 97.955/0.10%

* 10,000 Red Jun20 91/95 call spds vs. Red Sep20 91/96 call spds

* 6,000 short Jul 77/78/80 put flys

* +4,000 Red Sep 75/85 call over risk reversals, 2.0

* +7,500 Jul 77 calls, 1.5 on screen

* 2,500 Jul 77 vs. short Jul 83/86 call spds, even net

* 13,000 Jul 75/short Jul 76 put spds, 0.0

BLOCK, 0755:05ET

* 5,000 Sep 77 calls, 3.0 (mid-mkt) vs. 97.57/0.22%

Early screen trade on otherwise QUIET overnight action

* 15,000 Oct 82 calls, 1.5

Tsy options, Pit/screen:

* 1,500 USN 151/152/153/154 call condors, 7/64 vs. 149-23

* 4,500 TYM 124/125 strangles, 3/64

* 1,300 TYM 125 calls, 2/64

* 2,250 USM 149.5/150/152 call trees, 0.0

* buyer sub-cab puts in Sep 5Y options back After +80k FVU 106.5 puts, cab-7

yesterday...paper sizing up offers for the FVU 107 puts -- pit is willing to

offer the FVU 106.5 put at cab-7, adding to yesterday's sale

* +4,500 TYN 123/123.5 put spds, 5/64

* 1,000 TYQ 124.5 straddles, 1-38/64

Screen highlights coming into the session

* near 30,000 (10k Block'd) TYN 124.75 calls, 2- to 3/64

* 16,000 TYM 124.5 calls, 4- to 7/64

* 9,500 TYN 124.5 calls, 31- to 36/64

* 10,000 TYN 125 calls, 19- to 24/64

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

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