US TSYS: TSYS RALLY/YLD CURVES MIXED, 10YY SUB-3%

US TSY SUMMARY: Tsys holding strong gains/upper end of session range following

final leg of wk's Tsy supply w/$30B 7Y auction stopping through to 2.930% rate

w/2.62 bid/cvr. Quiet w/May minutes out of the way, traders setting sights on

extended holiday weekend (early close Fri, Mon closed).

- Tsys followed Bunds higher early as 10Y Italy vs. Bunds rebounded, +2.8 to

192.0 after trading lower late overnight; decline in US$/Yen added to decline in

Tsy ylds, 10YY -.0165 to 2.9770. 

- USD index little weaker (DXY -0.242, 93.761) US$ vs. Yen -0.77, 109.31 vs.

110.12H; stocks weaker (emini -5.75, 2725.0); West Texas crude  weaker (WTI

-1.15, 70.69); gold strong (XAU +11.57, 1304.96).

- Heavy futures volume amid continued Jun/Sep rolling (TUM/TYU >1.4M!). Little

react to earlier data w/weekly claims (234k est), home price/existing sales

data, Atl Fed Pres Bostic and Phi Fed Pres Harker speaking at same event today.

Fed Bostic says comfortable w/3 hikes in 2018, neutral rate 2.25%-2.75%.

- Tsy cash/ylds: 2Y 99-31.2 (2.508%), 5Y 99-22.25 (2.814%), 10Y 99-03 (2.979%),

30Y 99-29.5 (3.128%)

US TSY FUTURES CLOSE: Trading higher but faded a bit near the close, middle of

the range on high volume, curves trading mixed with long end flattening. Curves

update:

* 2s10s +0.735, 46.673 (48.619H/45.941L);

* 2s30s -0.414, 61.530 (64.786H/60.885L);

* 5s30s -1.346, 31.163 (34.127H/30.400L);

Current futures levels:

* Jun Ultra bonds up 1-00/32 at 156-07 (155-02L/156-21H)

* Jun 30-yr Bond futures up 18/32 at 142-25 (142-01L/143-06H)

* Jun 10-yr futures up 3/32 at 119-16 (119-09L/119-22.5H)

* Jun 5-yr futures up 2.5/32 at 113-14.25 (113-10.25L/113-18.75H)

* Jun 2-yr futures up 1.5/32 at 106-02 (106-0.5L/106-03.75H)

US TSY FUTURES: Late Jun/Sep roll volume, heavy TYM/TYU OVER 1M. 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 476.3k from 6.5-7.0; 6.75 last

* FVM/FVU appr 653.3k from 9.25-9.75; 9.5 last

* TYM/TYU appr >1.4M from 10.0-11.0; 10.5 last

* USM/USU appr 105.0k, 27.0 last

* WNM/WNU appr 231.6k, 23.0 last

US EURODOLLAR FUTURES CLOSE: Trading higher with a parallel shift across the

strip, near the middle of the range throughout the day. Current

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

* Jun'18 +0.0100 at 97.7025

* Sep'18 +0.025 at 97.565

* Dec'18 +0.020 at 97.390

* Jun'19 +0.025 at 97.275

* Red pack (Jun'19-Mar'20) +0.025

* Green pack (Jun'20-Mar'21) +0.025-0.020

* Blue pack (Jun'21-Mar'21) +0.020

* Gold pack (Jun'22-Mar'22) +0.020

US DOLLAR LIBOR: Latest settles,

* O/N +0.0007 to 1.7085% (+0.0013/wk)

* 1 Month +0.0085 to 1.9682% (+0.0155/wk)

* 3 Month -0.0106 to 2.3194% (-0.0100/wk)

* 6 Month -0.0125 to 2.4850 (-0.0137/wk)

* 1 Year -0.0167 to 2.7374% (-0.0304/wk)

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

* Secured Overnight Financing Rate (SOFR): up to 1.67% from 1.65% prior, $729B

* Broad General Collateral Rate (BGCR): steady at 1.63%, $356B

* Tri-Party General Collateral Rate (TGCR): steady at 1.63%, $339B

US SWAPS: Spds running steady/mildly wider by the bell, short end off highs/long

end reversing early narrowing. Flow includes decent short end payer, $800M 1Y

payer at 2.536%, small paying in 3s at 2.8425%, flurry of steepeners in 2s and

3s vs. 4s and 5s. Light deal-tied flow in the mix, position squaring ahead

extended holiday weekend. Latest spd levels:

* 2Y  +0.38/23.12

* 5Y  +0.12/10.38

* 10Y +0.00/3.38

* 30Y +0.38/-9.62

PIPELINE: Slow build Thursday

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

05/24 $600M Hunt Oil WNG 10Y 6-5-6.25%a

05/24 $400M Graham Holdings 8NC3 5.75%a

05/24 $Benchmark Yara Int 10Y +195a

- 

$16.6B priced Wednesday

05/23 $11.5B *Vodafone 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 25 Apr durable goods new orders (2.6%, -1.2%) 0830ET 

- May 25 Apr durable new orders ex transport (0.1%, 0.6%) 0830ET 

- May 25 Fed Chair Powell, Financial Stability and Central Bank Transparency at

the "Sveriges Riksbank Conference: 350 Years of Central Banking/Past, Present

and Future" Stockholm, Q&A. 0920ET

- May 25 May Michigan sentiment index (f) (98.8, 98.8) 1000ET 

- May 25 Q2 St. Louis Fed Real GDP Nowcast (3.65, --) 1100ET 

- May 25 Q2 NY Fed GDP Nowcast (3.2, --) 1115ET 

- May 25 Chi Fed Pres Charles Evans, Atl Fed Pres Bostic, and Dal Fed Pres

Kaplan, panel discussion at the Technology-Enabled Disruption: Implications for

Business, Labor Markets and Monetary Policy in Dallas, with audience Q&A. 1145ET

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   318,433    310,852    629,285  140.50 w/ 10,175 (3,531c, 6,644p)

*                                           141.00 w/ 20,355 (5,519c, 14,836p)

*                                           141.50 w/ 7,923 (2,563c, 5,360P)

* Jun 10yr  1,235,528  1,253,884  2,489,412 118.75 w/ 54,649 (20,176c, 34,473p)

*                                           119.00 w/ 126,063 (36,232c, 89,831p)

*                                           119.25 w/ 54,693 (25,291c, 29,402p)

* Jun 5yr    382,220    758,227  1,140,447  112.75 w/ 28,970 (840c, 28,130p)

*                                           113.00 w/ 38,170 (8,187c, 29,983p)

*                                           113.25 w/ 52,909 (21,771c, 31,138p)

* Jun 2yr    189,473    118,234    307,707  105.88 w/ 15,013 (1,219c, 13,794p)

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

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* -20,000 Jun 76 put at 0.5

* -6,000 Mar 72 straddle at 26.25

* +16,000 Green Mar 68 put at 21.5, including 10k block

* 3,000 Green Dec 75 call at 4.5 vs 9698/0.10%

* 15,000 Short Jun 70/71 put sprd at 2.5 vs 9716/0.26%

* 6,000 Short Jul 67/68 put strip vs Short Jul 72 call for net Even

* 2,500 Short Sep 67/70 put sprd at 5

* 2,500 Oct 72/75 strangle at 7.5

* 30,000 Short Sep 68/72 put sprd at 17.5 vs 9709.5/0.40%

* -10,000 Short Mar 68/70 strangle at 36.5

* +12,500 Green Mar 63/73 strangle at 15.5

* 5,000 Green Sep 67/72 put over risk reversal at 0 vs 9699/0.45%

* 20,000 Jul 75 put at 1.5

* 10,000 Green Dec 72/73 put sprd at 9.5 vs 9696.5/0.10%

Block, 0853:12ET, still offered

* +10,000 Green Mar 68 puts, 21.5

* 5,000 Jun 76/77/78 put tree at 10.75

* 2,500 Long Red Jun/Long Red Dec 72 3x1 put sprd at 7

* 2,000 Long Green Jun 60/65 3x1 put sprd at 1.5

Block, 0758:27ET, another 2.5k on screen

* -10,000 Green Dec 72/73 put spds, 9.5 vs.

* +10,000 Green Dec 77/80 call spds, 1.0 vs. 96.965/0.10%

Tsy options, Pit/screen:

* -6,000 TYU 118.5/120/121.5 call flys, 26/64

* 2,000 TYM 119.5/TYQ 118 put spds, roll out/down for 18/64 net

* 1,500 FVU 114/114.5 call spds, 6/64

* 2,500 FVU 115.25/116 1x2 call spds, 1/64

Large upside call buying July 10Y

* Update, total +21,000 TYN 120.5 calls from 7- to 8/64

* total 18,000 TYN 119.5/120.5 1x2 call spds,

* -5,000 TYM 120 calls, 1/64, screen volume over 28k

* 3,000 TYN 119.25 puts, 2/64 vs. 119-18/0.14%

* 2,600 FVN 112.25/112.5 put spds, 2/64 vs. 113-14.25/0.10%

* 2,300 TYN 119 puts, 24/64 vs. 119-06.5/0.43%

* screen total >26,000 TYM 120 calls, 1/64 -- June expires on Fri's shortened

session

* -8,000 TYQ 117.5/120.5 strangles, 27/64

* 1,800 TYM 119.5/120 call spds, 5/64 vs. 119-14

* 1,000 TYM 119.5 straddles, 14/64

* 5,000 TYU 118.5 puts, 38/64 vs. 119-03.5/0.38%

* 1,500 wk5 TY 117.7/118.25/118.75 put flys, 2/64

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

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