US TSYS: TSYS RECEDE, CURVES BOUNCE/QUIET START TO WK

US TSY SUMMARY: Tsys trade weaker by the bell, near middle of the range on light

volume (TYM<810k); curves manage to recover slightly after flattening to new 10+

year lows late last week (5s30s +1.145, 27.564).

- Quiet start to the wk, no relevant data, focus on Fed speakers, StL Fed Pres

Bullard: "no need to invert yld curve via aggressive Fed hikes" after Clev Fed

Pres Mester in Paris talked up gradual hikes, change in policy framework. Retail

sales on tap Tuesday (0.3% est; ex. motor vehicle, 0.5% est).

- Lower much of the day, US$ index rebounded late (DXY +.052, 92.589); US$/Yen

109.649; equities little higher (emini +1.0, 2730.5), West Texas crude little

higher/well off earlier lows (WTI +0.36, 71.06 vs. 70.26L); gold weaker (XAU

-4.81, 1313.49). 

- Modest two-way trade w/better sellers, in belly/long end into midday. Corp

supply picked up in earnest, hedging active. Tsy Jun/Sep futures roll slowly

picking up TUM/TUU leads w/appr 50.4k from 6.5 to 6.75. Eurodollar futures,

mixed, short end well bid w/3 Month -0.0125 to 2.3300%.

- Tsy ylds: 2Y 2.541%, 3Y 2.699%, 5Y 2.850%, 7Y 2.957%, 10Y 2.991%, 30Y 3.127%

US TSY FUTURES CLOSE: Trading near session lows, curves steepening, moderate

futures volume. Curve update:

* 2s10s +1.967, 44.811 (44.994H/41.752L);

* 2s30s +2.026, 58.328 (58.498H/55.547L);

* 5s30s +1.055, 27.474 (27.942H/25.948L);

Current futures levels:

* Jun Ultra bonds down 14/32 at 156-09 (156-06L/157-04H)

* Jun 30-yr Bond futures down 12/32 at 142-24 (142-18L/143-11H)

* Jun 10-yr futures down 05/32 at 119-08 (119-06.5L/119-15.5H)

* Jun 5-yr futures down 01.75/32 at 113-07.5 (113-06.5L/113-10.75H)

* Jun 2-yr futures down 0.25/32 at 105-29.75 (105-29.5L/105-30.75H)

US TSY FUTURES: Jun/Sep 2Y continues to lead today's roll volume. June future's

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

5s; September futures go "top step" on May 31. Latest volume:

* TUM/TUU appr 50.4k from 6.5 to 6.75; 6.75 last

* FVM/FVU appr 13.3k from 9.25 to 9.75; 9.75 last

* TYM/TYU appr 9.6k from 10.5 to 11.0; 11.00 last

* USM/USU appr no volume

* WNM/WNU appr <600, 23.0 last

US EURODOLLAR FUTURES CLOSE: Trading mixed with the Short end outperforming the

long end. Long end at/near session lows. Current White pack (Jun'18-Mar'19):

* Jun'18 +0.0250 at 97.7100

* Sep'18 +0.010 at 97.550

* Dec'18 +0.010 at 97.370

* Jun'19 +0.005 at 97.240

* Red pack (Jun'19-Mar'20) Even to +/-0.005

* Green pack (Jun'20-Mar'21) -0.010-Even

* Blue pack (Jun'21-Mar'21) -0.020-0.015

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

US DOLLAR LIBOR: Latest settles,

* O/N -0.0012 to 1.7050% (+0.0006 last wk)

* 1 Month +0.0150 to 1.9337% (-0.0090 last wk)

* 3 Month -0.0125 to 2.3300% (-0.0265 last wk)

* 6 Month -0.0144 to 2.5006 (-0.0049 last wk)

* 1 Year -0.0084 to 2.7574% (-0.0108 last wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): steady at 1.73%, $746B

* Broad General Collateral Rate (BGCR): up to 1.70% vs 1.69% prior, $359B

* Tri-Party General Collateral Rate (TGCR): up to 1.70% vs 1.69% prior, $339B

US SWAPS: Spds still tighter but well off first half lows despite 3M FRA/OIS

holding near lows -3.00, 32.85. second half flow includes paying in 5s at

2.93438%, 5s10s steepener and $148.2k 2Y-3Y-5Y Fly, paying the belly. Earlier

mixed flow included paying in short end fading widening (4s at 2.8975$, 5s at

2.9325%), 2s/5s steepener, 4s5s flattener, $292.6k 4Y-7Y-10Y Fly, receiving the

belly. Latest spd levels:

* 2Y  -0.38/21.38

* 5Y  -0.50/8.38

* 10Y -0.38/2.75

* 30Y +0.44/-8.69

PIPELINE: Multiple launches, still waiting for GS to price

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

05/14 $400M *San Diego Gas & Electric 30Y +105 (Upsized from $350M) 

05/14 $1.5B #Goldman Sachs 8NC7 FRN, L+117

05/14 $1B #Fidelity Ntnl WNG $400M 10Y +130, $600M 30Y +175

05/14 $500M #Canadian Pacific Railway WNG 10Y +102

05/14 $500M (upsized from $400M) #AEP Texas 10Y +100

05/14 $430M #Ameren Illinois WNG 10Y +82

05/14 $Benchmark Bank of America 4NC3 fix/FRN +100a

05/14 $2B American Express 3Y +80a, 3Y FRN

05/14 $Benchmark Swedish Export Credit 3Y +12a

05/14 $800M Great-West Lifeco Finance 10Y, 30Y

05/14 $500M Alcoa 10NC5 

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

- May 15 Dal Fed Pres Kaplan, moderated Q&A/C. Peter McColough Series, Int

Econ's NY, Q&A 0800ET 

- May 15 Apr retail sales (0.6%, 0.3%) 0830ET

- May 15 Apr retail sales ex. motor vehicle (0.2%, 0.5%) 0830ET

- May 15 Apr retail sales ex. mtr veh, gas (0.3%, --) 0830ET

- May 15 May Empire Manufacturing Index (15.8, 15.4%) 0830ET

- May 15 12-May Redbook retail sales m/m (0.8%, --) 0855ET

- May 15 Senate Banking Comm, Housing & Urban Affairs hearing: Clarida for Fed's

VC Brd of Gov's, 1000ET

- May 15 Mar business inventories (0.6%, 0.1%) 1000ET

- May 15 May NAHB home builder index (69, --) 1000ET

- May 15 SF Fed Pres Williams, Economic Club of Mn, Q&A Q1310ET

- May 15 Mar net TICS flows 1600ET

- May 15 Mar long term TICS flows 1600ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 4,000 Aug 73/75 2x1 put sprd at 1.75

* -3,000 short Jul 68/71 put spds, 9.0

UPDATE: Total 6,750 Jun 77/78/80 call fly at 1.5

UPDATE: Total +10,000 Jun 75/76 put sprd at 0.75 vs 9769.75-70.25/0.10%

* -40,000 Jul 77 call at 0.5, 7,500 on screen

UPDATE: Total 25,000 Jun 76/77 call sprd at 7.5

UPDATE: Total 5,500 Jun 77/78/80 call fly at 1.5

* -3,000 Jun 77 call at 2 vs 9770/0.10%

* 2,000 Long Green Jun 70/80 1x2 call sprd at -17 vs 9697/0.24%

UPDATE: Total 14,000 Jun 76/77 call sprd at 7.5

* 2,000 Jun 78/80 put sprd at 12 vs 9773.25/0.10%

* 2,000 Sep 73/76 put sprd at 9 vs 9757/0.54%

* 5,000 Jul 76/77/78 call fly at 1.25

* 6,000 Jun 76/77 call sprd at 7.5

* 4,000 Jul 76/77 call sprd at 1.5 vs 9756/0.20%

* 2,500 Dec 71/73 put sprd at 8

* 2,500 77/78/80 call fly at 1.5

* 4,000 Jun 78 call at 0.5 vs 9773/0.10%

* 2,500 Jun 76/77 2x1 put sprd at 4.5

* +20,000 Jun 75/76/77 iron fly at 8

* 7,000 Sep 73 put at 0.75 vs 9755/0.10%

* 4,000 Jun 75/76/77 put fly net 4.5 vs 9771.25/0.40%

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

* 3,000 Jun 77/78 call sprd at 1.75

* 2,000 Sep 73/75 call sprd at 10 vs 9757/0.20%

Blocks, 0726:42-0728:23ET

* total -21,043 Sep 76 puts, 9.5 vs. 97.57/0.69%

Tsy options, Pit/screen:

* 1,000 USU 139/140.142 put trees, 9/64

* +2,500 USQ 138 puts, 29- to 31/64

* 2,000 USQ 146 calls, 26- to 27/64

* 1,000 TYM 118.5/118.75/119 2x1x1 put trees, 4/64 net

* 1,000 TYM 119.25 puts, 18/64 vs. 119-08/0.50%

* 5,000 TYM 119 puts, 12/64

* 2,000 TYM 118.5/119.25 put spds, 14/64

Rolling/upsizing out and down

* 2,500 FVM 113.75/114 2x1 put spds, 19/64 113.75 leg over vs.

* 5,000 FVU 112.25/112.75 2x1 put spds, 3.5/64, 112.25 leg over

* +2,800 FVM 112.5/113 put spds, 3.5/64 vs. -700 USM 140 puts, 3/64

* -1,000 TYM 118.5/118.75/119 2x1x1 put trees, 3/64 net, 118.5/118.75 legs over

* 1,000 FVM 112.5/113 put spds, 3.5/64

* 1,000 FVM 113/113.5 2x1 put spds, 12/64

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

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