US TSYS: US$ SURGE WEIGHS ON TSYS, 10YY TAPS 3.0926%

US TSY SUMMARY: All about US$ Tue, greenback strength weighing on Tsys; Off lows

by the bell on heavy futures volume (TYM>2.2M), curves steeper/off highs. US$

index: DXY tapped 93.457, +.610, 93.197 late; US$/Yen 110.450H; equities weaker

(emini -29.0, 2702.0), West Texas crude off highs (WTI +0.25, 71.21,

71.15L/71.92H); gold weaker (XAU -21.36, 1292.24). 

- Real$ active in cash steepeners early, leveraged$ unwound/stopped out on

flatteners. Deal-tied hedging not enough to influence moves much given breadth

of spec, real$, bank (domestic/foreign and central), swap-tied in long end,

technical and FX-tied. Early flow included fast$, props selling in 2s-10s,

real$, bank portfolio selling 10s-30s, central bank selling intermediates FX

acct and program selling. Also chatter of MBS/negative convexity selling The

pre-open surge in US$ helped trigger sell-off, stops triggered as US$/Yen sliced

through 200-DMA of 110-18 early. Not surprisingly, gold hammered/good entry in

event of risk-off. FI implied vol off highs while VIX index held near highs

(+1.94, 14.87 vs. 14.90H)

- Tsy ylds: 2Y 2.577%, 3Y 2.751%, 5Y 2.920%, 7Y 3.040%, 10Y 3.074%, 30Y 3.204%

US TSY FUTURES CLOSE: US Treasury Futures have rebounded well off session lows

as the US Dollar has receded off its high, High trading volume, Curves continues

to steepen, update:

* 2s10s +4.078, 49.346 (50.595H/44.513L);

* 2s30s +4.020, 62.330 (63.773H/57.503L);

* 5s30s +0.943, 28.031 (29.358H/26.155L);

Current futures levels:

* Jun Ultra bonds down 2-01/32 at 154-08 (153-22L/156-09H)

* Jun 30-yr Bond futures down 1-19/32 at 141-05 (140-26L/142-23H)

* Jun 10-yr futures down 19/32 at 118-21 (118-16.5L/119-07H)

* Jun 5-yr futures down 10/32 at 112-29.75 (112-27.75L/113-07H)

* Jun 2-yr futures down 1.75/32 at 105-28 (105-27.25L/105-29.75H)

US TSY FUTURES: Jun/Sep roll inflating session 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 41.4k from 6.75 to 7.25; 7.0 last

* FVM/FVU appr 102.0k from 9.5 to 10.0; 10.0 last

* TYM/TYU appr 127.6k from 10.75 to 12.5; 12.5 last

* USM/USU appr only 1.6k, 27.0 last

* WNM/WNU appr only 2.8k, 23.0 last

US EURODOLLAR FUTURES CLOSE: Eurodollar Futures trade lower across the strip off

the bottom range. Current White pack (Jun'18-Mar'19):

* Jun'18 Even at 97.7100

* Sep'18 -0.015 at 97.535

* Dec'18 -0.030 at 97.340

* Jun'19 -0.045 at 97.195

* Red pack (Jun'19-Mar'20) -0.055-0.065

* Green pack (Jun'20-Mar'21) -0.070-0.080

* Blue pack (Jun'21-Mar'21) -0.075-0.080

* Gold pack (Jun'22-Mar'22) -0.085

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0000 to 1.7050% (-0.0012/wk) 

* 1 Month +0.0050 to 1.9387% (+0.0200/wk)

* 3 Month -0.0094 to 2.3206% (-0.0219/wk)

* 6 Month -0.0081 to 2.4925 (-0.0225/wk)

* 1 Year -0.0036 to 2.7538% (-0.0120/wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): up to 1.75% from 1.73% prior, $741B

* Broad General Collateral Rate (BGCR): steady at 1.70%, $353B

* Tri-Party General Collateral Rate (TGCR): steady at 1.70%, $334B

US SWAPS: After a tighter start, spds running mostly wider by the bell, at/near

session highs despite some decent swappable supply on tap today. Move

directional w/higher Tsy ylds on day, modest receivers and curve steepener

unwinds. Latest spd levels:

* 2Y  +0.38/21.38

* 5Y  -0.12/8.25

* 10Y +0.25/3.00

* 30Y +0.88/-8.00

PIPELINE: $1.75B RBS, $1B Swedish Export Credit launched

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

05/15 $375M *Avista WNG 30Y +115 (upsized from $350M)

05/15 $1.75B #RBS 11NC10 fix/FRN +182

05/15 $1B #Swedish Export Credit 3Y +9

05/15 $Benchmark Citigroup 6NC5 fix/FRN, 6NC5 FRN

05/15 $Benchmark Diego 2Y fix, 2Y FRN, 5Y, 10Y

05/15 $Benchmark Republic of South Africa 12Y, 30Y

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

- May 16 11-May MBA Mortgage Applications 0700ET

- May 16 Atl Fed Pres Bostic, eco-update/fireside chat, Georgia, Q&A, 0830ET

- May 16 Apr housing starts (1.319m, 1.313m) 0830ET

- May 16 Apr building permits (1.379m, 1.350m) 0830ET

- May 16 May NY Fed Business Leaders Index (4.1, --) 0830ET

- May 16 Atl Fed Pres Bostic eco update/fireside chat, Q&A. 0830ET

- May 16 Apr industrial production (0.5%, 0.6%) 0915ET

- May 16 Apr capacity utilization (78.0%, 78.4%) 0915ET

- May 16 May Atlanta Fed inflation (2.3%, --) 1000ET

- May 16 11-May crude oil stocks ex. SPR w/w (6.22m bbl, --) 1030ET

- May 16 StL Fed Pres Bullard opening remarks Homer Jones Memorial Lecture, StL,

Mo, Q&A. 1830ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

Block, 1402:26ET, mid-market

* 15,000 Sep 73 puts, 1.25

* 5,000 Green Jun 65/67 put spds, 2.0

* 3,500 Green Jul 71/73/76 call flys, 1.5

Block, 1303:28, post time bid

* 10,000 short Jun 72 calls, 1.0 vs. 97.085/0.22%

* 3,000 Short Jun 70/71 put sprd at 4 vs 9712.5/34%

UPDATE: Total +10,000 Green Dec 78 call at 1

UPDATE: Total -8,000 Green Dec 67/68 3x2 put sprd at 2 vs 9689/0.10%

Block, 1052:13ET,

* 10,000 Mar 70/71 put spds, 4.0 vs. 97.23/0.15%

* 20,000 Short Sep 67 put at 2.5 vs 9701/0.10%

* 5,000 Dec 72/73 put sprd at 5.5 vs 9737.5/0.10%

* 4,000 Jun 76/77 strangle at 3

* 4,000 Jul 73/76 strangle at 1.75

* 8,000 Mar 67/68/70 put fly at 1.5

* 5,000 Dec 75/76 put sprd at 10 vs 9737/0.10%

* 3,000 Blue Jun 68/70 1x2 call sprd at 1.5

* 3,000 Green Jul 68 Straddle at 19 vs 9689.5/0.04%

UPDATE: Total 7,500 Jun 76 Straddle at 11 vs 9772/0.70%

* 6,600 Green Sep 65/72 Strangle at 6

* 3,300 Green Dec 68 Straddle at 38.5 vs 9689/0.02%, Note earlier trade of 2,500

Green Dec 68 Straddle at 38 vs 9689.5/0.03%

* 3,000 Long Red Sep 66/68 5x2 put sprd at 1

* 2,000 Mar 68/70/71 put tree at 2.5

* 5,000 Short Dec 68/70 call sprd at 6.5

* 3,850 Jun 76 Straddle at 11 vs 9772/0.70%

* 3,000 Jun 77/78/80 call fly at 1.5

UPDATE: Total 10,000 Short Dec 65/67 put sprd at 5

* 8,500 Jun 77/78 call sprd at 2 vs 9771.75/0.30%

* 2,000 Jun 76/77 call sprd at 7.5

* 5,000 Green Aug 65/72 Strangle at 3.5

* 2,500 Green Dec 68 Straddle at 38 vs 9689.5/0.03%

* 2,000 Green Jun 68 Put at 4 vs 9696/0.10%

Tsy options, Pit/screen:

* 1,750 TYN 118 straddles, 1-10/64

* 2,000 FVN 112.5/112.75 strangles, 35.5/64

* 6,000 TYM 120/TYU 117 1x3 put spds, 2/64 to even

* Update, total 5,000 FVQ 113/113.5 1x3 call spds, 10.5/64

* 3,650 TYM 120/TYU 117 1x3 put spds, 2/64

* 1,000 FVQ 113/113.5 1x3 call spds, 10.5/64

* 1,000 USQ 141/143 1x2 call spds, 16/64

* 2,000 TYN 118.5/119.5/120.5 call flys, 15/64 vs. 118-13/0.15%

* 1,500 TYM 118/118.5/119 put flys, 7/64

* -2,500 TYQ 118.5 straddles, 1-32/64 earlier

* 3,000 TYM 119.75 calls, 3/64 vs. 118-26.5

seeing better profit-taking sales in puts

rather than call buyers looking for a bounce

* 1,000 TYN 119.5/120.5/121 call trees, 5/64 vs. 118-25.5

* +9,000 TYN 117.5 puts, 13- to 15/64 vs. 118-29/0.24%

* FVN 112.75 straddles trading 40-40.5

Block, 09010:00ET, +50k total, slightly smaller delta

* +25,000 FVN 113 calls, 13.5/64 vs. 112-24.25

Block, 0907:00ET

* 10,000 TYM/TYN 117.5 put spds, 12/64

* -4,000 TYM 118.75/119.25 put spds, 17/64 vs. 118-28.5/0.30%

* 2,500 FVM 112.5/113.5 call over risk reversals, 0.0

* 1,500 TYM 119/TYN 117.5 1x2 put spds, 4/64

* +1,700 FVN 113 straddles, 42/64

* 2,700 TYM 119/119.25 strangles, 30/64 pre-data

Block, 0853:37ET -- not seeing option leg on Bloomberg

* +25,000 FVN 113 calls, 12.5/64 vs. 112-22.75/0.36%

Large 2Y sprd on screen

* 39,445 TUN 106.12/106.25 call spds. However, overnight trade recap/volume

doesn't come near that volume.

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

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