US TSYS: UNEXPECTED RALLY/ITALY YLD BOUNCE PRECEDED HUGE ERROR

     MNI US Closing FI Analysis: Unexpected Rally, Italy Yld Bounce Preceded

Huge Error 

US TSY SUMMARY: Tsy futures surged later in second half, mkt chatter of

fat-finger driven: mistaken order to buy 120,000 TYU triggered stops w/well over

200k TYU trades from 119-18 to 120-00.5. Long end scaled back nearly a full

point just as quickly. Equities sagged on rate rally but recovered late (emini

-2.75, 2773.25 vs. 2763.75L). Didn't start that way, but drop in US$ contributed

to rate rally (DXY -.20, 93.408; US$/Yen -.47, 109.72); gold higher (XAU +0.71

1297.11); West Texas crude higher (WTI +1.20 to 65.93).

- Tsys weaker on the open, taking cue from softer EGBs and tighter sovereign

spds, ignoring US$ weakness/break in correlation. 

- Little react to data om day, Better buying, short covering from real$, banks

out the curve as sovereign peripherals bounced (Italy off lows/climbing,

Portugal heating up as well) adding to risk-off move. MNI exclusive helped

trigger move: ECB should guarantee the sovereign debt of all member states,

particularly those facing unfounded default risk Decent deal-tied hedging

- Tsy cash/ylds: 2Y 100-00.25 (2.492%), 5Y 99-28.75 (2.772%), 10Y 99-16.5

(2.931%), 30Y 100-26.5 (3.082%).

US TSY FUTURES CLOSE: Off highs/near the middle of a wide range, curves continue

to flatten, update:

* 2s10s -2.178, 42.975 (42.735L/46.808H);

* 2s30s -2.784, 57.368 (57.288L/62.659H);

* 5s30s -1.196, 29.891 (29.335L/32.584H);

Current futures levels:

* Sep Ultra bonds up 1-11/32 at 156-31 (155-02L/158-02H)

* Sep 30-yr Bond futures up 29/32 at 143-10 (142-01L/144-06H)

* Sep 10-yr futures up 10/32 at 119-19 (119-04L/120-00.5H)

* Sep 5-yr futures up 05.25/32 at 113-11.25 (113-03.5L/113-20.25H)

* Sep 2-yr futures up 01/32 at 105-28.75 (105-26.75L/106-00.5H)

US EURODOLLAR FUTURES CLOSE: Mildly higher after reaching new session highs late

in the session. Current White pack (Jun'18-Mar'19):

* Jun'18 -0.005 at 97.657

* Sep'18 +0.005 at 97.530

* Dec'18 +0.015 at 97.360

* Jun'19 +0.020 at 97.245

* Red pack (Jun'19-Mar'20) +0.035-0.025

* Green pack (Jun'20-Mar'21) +0.045-0.035

* Blue pack (Jun'21-Mar'21) +0.045

* Gold pack (Jun'22-Mar'22) +0.050-0.045

US DOLLAR LIBOR: Latest settles,

* O/N +0.0008 to 1.7144% (+0.0023/wk)

* 1 Month +0.0168 to 2.0464% (+0.0417/wk)

* 3 Month +0.0063 to 2.3271% (+0.0093/wk)

* 6 Month +0.0082 to 2.4919 (+0.0175/wk)

* 1 Year +0.0129 to 2.7537% (+0.0296/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.73% vs. 1.75% prior, $805B

* Broad General Collateral Rate (BGCR): 1.70% vs. 1.72%, $389B

* Tri-Party General Collateral Rate (TGCR): 1.70% vs. 1.72%, $382B

US SWAPS: Spds wider/session wides by the close. Modest spd rebound from early

week narrowing on light flow w/receiving in 1s, paying in 2s at 2.89125%,

two-way in 3s around 2.885% and paying in 5s. Latest spd levels:

* 2Y  +0.75/27.62

* 5Y  +0.62/13.88

* 10Y +0.38/6.00

* 30Y +1.00/-7.38

PIPELINE: Still waiting on $1.2B Romania 30Y to price, $1B Enel Chile 10Y priced

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

06/07 $1B *Enel Chile 10Y +210

06/07 $900M *Trimble $300M 5Y +140, $600M 10Y +200

06/07 $1.2B #Romania 30Y 5.2%

06/07 $750M #Telus 30Y +160

06/07 $1B #ASB Bank 5Y fix +110/FRN Libor euiv

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

- Jun 08 Apr wholesale inventories (0.4%, 0.0%) 1000ET

- Jun 08 Apr wholesale sales (0.4%, --) 1000ET

- Jun 08 Q2 St. Louis Fed Real GDP Nowcast (3.71%, --) 1100ET

- Jun 08 Q2 NY Fed GDP Nowcast (3.3%, --) 1115ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 5,000 Blue Dec 75 call at 5.5 vs 9696.5/0.14%

* 9,000 Sep 76/77 1x2 call sprd at 0.75

* 4,000 Short Jun 72 call at 1 vs 9712/0.15%

* +5,000 Blue Dec 75 call at 5 vs 9695/0.14%

* +5,000 Short Sep 66/67/68 put tree at 1.5

* -5,000 Green Mar 68 put at 1

* 4,000 Green Mar 65/75 Strangle at 17

* +6,000 Dec 70/71 put sprd at 1.5

* -5,000 Green Sep 63/65/67 put fly at 3.75

* 5,000 Red Dec 62/65 5x2 put sprd at Even

* 4,000 Short Jun 70/71 put sprd at 3.5 vs 9712/0.40%

* 5,000 Short Dec 66/68 put sprd at 7.5

* 3,125 Green Jun 70/71 1x2 call sprd at 1.5

* 2,500 Green Sep 65/67 3x2 put sprd at 7.5

* 2,500 Green Sep 63/65 2x1 put sprd at 0

UPDATE: Total 5,500 Sep 73/76 put sprd at 12.5 vs 9752/0.54%

UPDATE: Total 5,500 Short Sep 70/72 put sprd at 15.5/0.30%

* 15,000 Green Dec 65/72 Strangle at 15

UPDATE: +23,000 Short Aug 73/75 call sprd vs Green Sep 73/75 call sprd for net

0.25

UPDATE: Total -4,000 Short Nov 70 Straddle at 34.5

* 3,000 Blue Jun 68/70 call sprd at 5.5 vs 9692/0.32%

* 2,300 Short Sep 66/67 put sprd at 4 vs 9704.5/0.26%

* 20,000 Short Aug 73/75 call sprd at 0.25 over Green Sep 73/75 call sprd

* 5,000 Short Dec 66/68 put sprd at 8

* 5,000 Blue Dec 65/68 3x2 put sprd at 19.5

Block, 0808:40ET

* 5,000 Green Dec 65/70 5x2 put spds, 25.0 vs.

* 15,000 Green Dec 77 calls 2.5 vs.

* 1,700 Green Dec'20 96.925

Tsy options, Pit/screen,

* 7,500 TYU 105.6 puts vs. 5,000 TUU 105.8 puts, 4/64 net package

Block, 1339:55ET

* +11,000 TYN 118.5 puts, 5/64

* total 10,000 FVU 112.5/114.25 put over risk reversals, 2- to 1.5/64

* 5,000 FVU 112.5/114.25 put over risk reversals, 2/64

* 6,700 TYQ 117.5/121.5 strangles, 17/64

Earlier trade highlights include

* +10,000 FVQ 113.75/114.25 1x2 call spds, 1/64

* +10,000 TYN 118.25 puts, 4/64

* 5,000 TYN 120 calls, 10/64 vs. 119-19/0.26%

* +30,000 TUN 106.3 calls on screen at .5/64 (open interest 33k coming into the

session

Block, 10:04:53ET

* 10,000 TYN 118.5 puts, 7/64

* 2,000 USN 143 calls, 32/64 vs. 142-07

* 1.600 TYU 117.5 puts 19/64 vs. 800 USU 138 puts, 36/64

* 30,000 TYN/TYU 120.5 call spds on screen at 22/64

* -5,000 FVN 113 straddles, 31- to 30.5/64

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

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