US TSYS: TSYS WELL BID, UNDERLYING RISK-OFF TONE HOLDS

US TSY SUMMARY: Rates trading firmer, 10YY fell to Oct 2017 levels, currently

-.0562 at 2.2640, general risk-off tone amid US/China trade angst continues.

- Tsy yld curves bull flattening, 3M10Y extended inversion (L:-9.185/H:-4.27).

CBoE vol index (VIX) firmer/on highs (+1.34 at 17.19; 16.32L/17.05H); equities

near lows after trading stronger in first half (ESM9 -19.0).

- Well bid, Block buy throughs in 5s and 30s helped get ball rolling, as did

evaporating support in equities as insurance portfolio rebalancing got their

fill around late morning. Massive roll June/Sep roll volume.

- On tap for Wednesday: Limited data with Redbook retail sales m/m; Richmond Fed

Mfg and Dallas Fed services indexes.

- The 2-Yr yield is down 3.8bps at 2.1265%, 5-Yr is down 5bps at 2.0703%, 10-Yr

is down 5.6bps at 2.264%, and 30-Yr is down 4.7bps at 2.7045%.

US TSY FUTURES CLOSE: Stronger across the board, near midday highs as weaker

equities underpinned. Yld curves mostly flatter, update:

* 3M10Y  -6.806, -8.754 (L: -9.185 / H: -4.27)

* 2Y10Y  -1.825, 13.575 (L: 12.861 / H: 14.714)

* 2Y30Y  -0.768, 57.726 (L: 55.584 / H: 58.233)

* 5Y30Y  +0.377, 63.273 (L: 61.277 / H: 63.868)

Current futures levels:

* Jun 2-Yr futures (TU) up 3/32 at 106-22.875 (L:106-19.25/H:106-23)

* Jun 5-Yr futures (FV) up 9.25/32 at 116-16.75 (L:116-07.5/H:116-17)

* Jun 10-Yr futures (TY) up 17/32 at 125-13.5 (L:124-29/H:125-13.5)

* Jun 30-Yr futures (US) up 1-04/32 at 152-3 (L:151-00/H:152-08)

* Jun Ultra futures (WN) up 1-21/32 at 171-10 (L:169-25/H:171-16)

US TSY FUTURES: *** Roll volume surges ahead September taking 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. Update:

* TUM/TUU appr 1,268,000 from -9.0 to -8.25, -8.75 last, appr 68% complete;

* FVM/FVU appr 1,695,000 from -6.75 to -6.0, -6.50 last, appr 66% complete;

* TYM/TYU appr 2,351,300 from -10.75 to -9.75, -10.25 last, appr 53% complete;

* USM/USU appr 486,000 from 20.00 to 21.00, 20.00 last, appr 61% complete;

* WNM/WNU appr 506,100 from -25.25 to -23.75, -25.25 last, appr 65% complete;

US EURODLR FUTURES CLOSE: Higher across the strip, holding relative narrow range

near session highs. Current White pack (Jun 19-Mar 20):

* Jun 19 +0.005 at 97.478

* Sep 19 +0.015 at 97.615

* Dec 19 +0.040 at 97.730

* Mar 20 +0.055 at 97.915

* Red Pack (Jun 20-Mar 21) +0.060 to +0.075

* Green Pack (Jun 21-Mar 22) +0.060 to +0.075

* Blue Pack (Jun 22-Mar 23) +0.055 to +0.065

* Gold Pack (Sep 22-Jun 23) +0.055 to +0.060

US DOLLAR LIBOR: Latest settles resume 

* O/N -0.0027 at 2.3538% (+0.0008 last wk)

* 1 Month +0.0012 to 2.4293% (-0.0138 last wk)

* 3 Month -0.0012 to 2.5237% (+0.0029 last wk)

* 6 Month -0.0074 to 2.5412% (-0.0052 last wk)

* 1 Year -0.0192 at 2.5998% (-0.0163 last wk)

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

* Daily Effective Fed Funds Rate: 2.38%, volume: $66B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $161B

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

* Secured Overnight Financing Rate (SOFR): 2.37%, $1.038T

* Broad General Collateral Rate (BGCR): 2.34%, $476B

* Tri-Party General Collateral Rate (TGCR): 2.34%, $440B

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

29-May 0700 24-May MBA Mortgage Applications (2.4%, --)

29-May 0855 25-May Redbook retail sales m/m (1.2%, --)

29-May 1000 May Richmond Fed Mfg Index (3, 7)

29-May 1030 May Dallas Fed services index (5.7, --)

29-May 1130 US TSY $18B 2Y FRN auction (9128286Q8)

29-May 1300 US TSY $32B 7Y note auction (9128286X3)

29-May 2110 US Fed VP Simon Potter, "Transition Away from LIBOR", APAC Benchmark

Regs and Migration Conf, Hong Kong.

US SWAPS: Spds running steady/mixed, 10-30s holding highs / narrow range after

making move midmorning. Short end, meanwhile, is little changed on the day after

narrowing to all-time lows late last week. 2Y spd narrowing largely due to

decline in 3M LIBOR (-0.0012 to 2.5237%) vs. rise of GC. Moderate flow on the

day with some two-way deal-tied flow in short end, some month end positioning,

spd curve steepeners as well.

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

Tue 1500    -0.06/3.44     +0.00/-0.50    +0.62/-4.62   +0.62/-27.88

1345        +0.06/3.56     +0.06/-0.44    +0.62/-4.62   +0.56/-27.94

1130        +0.25/3.75     +0.12/-0.38    +0.62/-4.62   +0.62/-27.88

1000        -0.44/3.06     +0.00/-0.50    +0.38/-4.88   +0.19/-28.31

Tue Open    -0.12/3.38     +0.12/-0.38    +0.38/-4.88   +0.25/-28.25

Fri 1300    -1.56/3.44     +0.12/-0.38    -0.50/-5.31   -0.12/-28.38

PIPELINE: $2B Mastercard launched

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

05/28 $2B #Mastercard $1B 10Y +70, $1B 30Y +95

05/28 $300M #Pennsylvania Electric Co 10Y +135

05/28 $400M San Diego Gas & Electric Co 30Y +145a 

05/28 $300M Southwest Gas WNG 30Y +150a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +35,000 short Oct 75/76 put spds vs. short Oct 86/87 call spds, 0.0 net

* +/-25,000 Dec 73/75/76 2x3x1 put flys, 1.5

* -8,000 Dec 75/80 1x2 call spds, 12.5

* +5,000 Red Dec 81/85 call spds, 13.0

* +5,000 short Dec 81 straddles, 47.0

BLOCK, 1331:41ET, similar to earlier bear flattener (EDZ 75/76p spd vs. EOZ

77/78p spd)

* +20,000 Dec 75/76 put spds, 6.0

* -20,000 long Green Dec 77/78 put spds, 4.5

* +5,000 Sep 75 puts, 2.25 after paper +10k earlier at 3.0

* +5,000 Sep 73 puts, 0.5

* +6,000 Green Mar 80/82 call spds 5.5 over -12,000 Green Mar 75 puts

* Update, over +25,000 short Jul 76 puts, 0.5 vs. 97.115/0.05%

* +20,000 short Dec 87/90 call spds 1.5 over 10,000 short Dec 80/82/85/90 call

condors

* +20,000 short Sep 82/83 call spds 1.25 over Sep 75 puts

* -10,000 Green Sep 83 calls 4.5 over Blue Sep 82/83 call spds

* over +12,500 Dec 72/73 put strip, 2.5 earlier

* +10,000 short Jun 80/Green Jun 81 straddle spd, 0.5

* 2,000 Dec 71 straddles, 31.0 vs. 97.71/0.08%

BLOCK, 0932:24ET, 1.0 net debit bear curve flattener

* +20,000 Dec 75/76 put spds, 5.5 vs.

* -20,000 short Dec 77/78 put spds, 4.5

BLOCK, 0914-0926ET

* total +20,000 Jul 76/77 2x1 put spds, 4.0 net

* +4,000 short Jul 81/83/86 call flys, 4.5

* +4,000 Aug/Sep 75 put spds, 0.75

* 5,000 Jul 76/77 2x1 put spds, 4.0

* 20,000 Dec 77/80 1x2 call spds, 0.0

* 15,000 short Jul 76 puts, 0.5

* +8,000 Mar 72/73 2x1 put spds, 0.0

* 9,500 Sep 75 puts, 3.0 vs. 97.59/0.28%

* 3,000 Jul 76 calls, 5.5

BLOCK, 0759:37ET

* 5,000 Sep 75/76 2x1 put spds, 4.25 net

BLOCK, 0723:00ET

* 7,500 Jul 73 calls, 25.0

* 9,375 Jul 76 calls, 5.5

* 5,000 Jul 76 puts. 5.5

Tsy options, Pit/Screen:

* 1,500 USN 146/150 strangles, 1-59/64

* 1,000 wk2 TY 125.7 straddles, 59/64

BLOCK, 1158:42 - :53ET,

* total +50,500 TUQ 105.5 puts, 1/64

BLOCK, 1144:05 - :08ET

* total +44,853 TYQ 134.5 calls, 2/64

BLOCK, 1136:37 - :49ET

* total 60,927 FVQ 111.75

* +1,000 TYU 123.5/127 strangles, 40/64

Overnight screen trade includes

* over 18,000 TYN 124.5/126.5 call over risk reversals, 3/64

* 12,000 TYN 126.25 calls, 17/64

* over 10,000 TYN 124.5/126 call spds adds to 20k Block

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

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