US TSYS: US$ SURGES, DOES LITTLE TO TEMPER TSY RALLY

US TSY SUMMARY: Tsys higher by the bell/off early session highs even as US$

climbs to late May highs (DXY +1.176, 94.720, 94.800H; US$/Yen +0.26, 110.60);

equities off highs (emini +5.0, 2784.0). Curves resume flattening/new 11-year

lows -- but don't expect to potential inversion/recession signal to slow down

policy tightening anytime soon analysts widely saying ("same way" the Fed

"dismissed inflation expectations declines for two-years" one expert posited).

Gold firmer (XAU +3.76, 1303.08; West Texas crude see-sawed higher (WTI +0.3 to

66.94). 

- Relatively quiet session, Tsys ignored weaker EGBs ahead of the ECB annc, ylds

directional w/lower US$/Yen after pair gapped to 110.85 post FOMC Wed -- nearing

lvl in late Thu trade. No react to data, Fed out of media blackout at midnight;

BoJ policy decision overnight.

- Combination of stop-out/sporadic short-covering on session, particularly

during ECB annc. Decent technical buying on 10YY decline to 9.3 after breach of

3.0 post FOMC Wed. Tsy cash/ylds: 2Y 99-27.5 (2.570%), 5Y 99-22.25 (2.814%), 10Y

99-12.5 (2.942%), 30Y 101-06 (3.063%)

US TSY FUTURES CLOSE: Higher with the long end outperforming, moderate volume,

curves flatter, update:

* 2s10s -2.438, 37.239 (35.910L/39.943H);

* 2s30s -2.016, 49.741 (48.163L/51.854H);

* 5s30s -0.068, 25.336 (23.757L/25.862H);

Current futures levels:

* Sep Ultra bonds up 1-05/32 at 157-13 (156-19L/157-24H)

* Sep 30-yr Bond futures up 26/32 at 143-13 (142-25L/143-20H)

* Sep 10-yr futures up 08.5/32 at 119-14.5 (119-06L/119-18.5H)

* Sep 5-yr futures up 03.5/32 at 113-5.25 (113-01.25L/113-08.25H)

* Sep 2-yr futures up 0.5/32 at 105-25 (105-24.25L/105-26.25H)

US EURODOLLAR FUTURES CLOSE: Trading higher across the strip with Golds

outperforming. Current White pack (Jun'18-Mar'19):

* Jun'18 +0.017 at 97.660

* Sep'18 +0.010 at 97.510

* Dec'18 +0.005 at 97.315

* Jun'19 0.000 at 97.175

* Red pack (Jun'19-Mar'20) +0.010-Even

* Green pack (Jun'20-Mar'21) +0.025-0.015

* Blue pack (Jun'21-Mar'21) +0.040-0.030

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

US DOLLAR LIBOR: Latest settles,

* O/N +0.2230 to 1.9356% (+0.2206/wk)

* 1 Month +0.0118 to 2.0850% (+0.0389/wk)

* 3 Month -0.0059 to 2.3347% (+0.0084/wk)

* 6 Month +0.0027 to 2.5028 (+0.0141/wk)

* 1 Year +0.0050 to 2.7718% (+0.0316/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.71% vs. 1.67% prior, $817B

* Broad General Collateral Rate (BGCR): 1.68% vs. 1.65%, $388B

* Tri-Party General Collateral Rate (TGCR): 1.68% vs. 1.65%, $376B

US SWAPS: Spds running steady/mixed, short end well off early session wides.

In-line flow includes decent receivers in 1s and 2s, steepeners in 3s vs. 5s and

10s. Earlier mixed flow on modest size: 2-way in 5s and 10s, better steepeners

in the first half as front end scales back earlier wides: 3s vs 5s and 10s,

small 2s10s flattener. Latest spd levels:

* 2Y  +0.06/26.75

* 5Y  +0.06/14.44

* 10Y -0.06/6.44

* 30Y -0.38/-5.62

PIPELINE: UnitedHealth 5-part joins growing list of high-grade issuance

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

06/14 $Benchmark UnitedHealth 3Y fix, 3Y FRN +65a, 5Y fix +80a, 10Y fix +105a,

30Y fix +135a

06/14 $1.5B Deutsche Telekom 10Y +155a, 20Y +180a

06/14 $1.2B CME Group 10Y +100a, 30Y +125a

06/14 $500M MFM Resorts 7NCL sr

06/14 $450M Ryder WNG 5Y +112a

06/14 $Benchmark GM Financial 5Y +155a

06/14 $Benchmark Public Services Co of Colorado, 10Y +90a, 30Y +115a

- 

On the radar: German based multi-national pharma Bayer AG is looking looking to

issue $6.9B in 3- to 30Y US$ denominated debt to "simplify its capital

structure" after closing it's $63B buyout recently. Aside from US$ denominated

issuance, Bayer also looks to issue appr E14.2B Euro denominated supply between

4- and 12Y tranches in the near term.

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

- Jun 15 Jun Empire Manufacturing Index (20.1, 19.1) 0830ET 

- Jun 15 May industrial production (0.7%, 0.2%) 0915ET 

- Jun 15 May capacity utilization (78.0%, 78.0%) 0915ET 

- Jun 15 Jun Michigan sentiment index (p) (98.0, 98.6) 1000ET 

- Jun 15 May BLS state payrolls (134.0k, --) 1000ET 

- Jun 15 Q2 St. Louis Fed Real GDP Nowcast (+3.72%, --) 1100ET 

- Jun 15 Q2 NY Fed GDP Nowcast (+3.1%, --) 1115ET 

- Jun 15 Dallas Fed Pres Kaplan, moderated Q&A, Fort Worth CoC/Leaders in

Business, Tx 1330ET

- Jun 15 Apr net TICS flows 1600E 

- Jun 15 Apr long term TICS flows 1600ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 20,000 Short Sep 75 call vs 10,000 Green Sep 72/75 call sprd for net 0.5

* 15,000 Blue Sep 71 call at 6.5 vs 9693/0.28%

* 20,000 Mar 67 puts at 1, now offered on screen

* 6,000 Green Jul 67/68 2x1 put sprd at 2.5

* -3,000 Short Sep 67/68 put sprd at 3 vs 9701.5/0.14%

* 4,000 Long Red Sep 73/77 call sprd at 5.5 vs 9702/0.10%

* 3,750 Short Sep 67/68 put sprd vs Short Sep 72 call for net 1

* 2,500 Short Jul 68/70 put sprd vs Short Jul 72 call for net 3

* +10,000 Short Jul 68 put at 1.5

* -5,000 Dec 71/73 put sprd vs Dec 78 put for 33.5 vs 9733.5/0.10%

* +3,000 Jul 70 Straddle at 12.5

* +10,000 Short Jun 71 calls at 0.5, adding to +10k block

* 10,000 Jul 76 call at 0.5 vs 9750/0.10%

* +4,000 Sep 73/75/76 put fly at 4.75

* +4,000 Aug 73/75/76 put fly at 6

* +5,000 Jun 76 put at 0.25

* -5,000 Short Dec 70 Straddle at 36.5

* 3,000 Green Aug 65/67 put sprd at 3.5 vs 9691/0.18%

* 5,000 Short Aug/Short Sep 68/70/71 put fly for net 0.5

Block, 09:30:01ET

* 10,000 Short Jun 71 calls at 0.5

* 4,000 Green Jun 70 call at 0.5 vs 9693.5/0.10%

* 5,000 Blue Jun 68/70 put sprd at 6.5 vs 9693.5/0.76%

* 4,000 Short Sep 73 call at 3.5 vs 9704.5/0.15%

* 4,000 Green Sep 73 call at 3 vs 9694/0.15%

UPDATE: Total 10,000 Dec 70/71/72 put tree at 4 vs 9730.5/0.15%

* 5,000 Dec 70/71/72 put tree at 4 vs 9730.5/0.15%

* 10,000 Oct 71/72/73 put tree vs Oct 75 calls for net 4, note 20k bought

yesterday late in the trading session at same price

* 3,000 Aug 68/72 put over risk reversal at 0.5 vs 9701.5/0.44%

Overnight trade volume picked up over last hour, trade includes

* >12,900 short Jun 71 calls, 1.0

* 9,000 short Jul 71 calls, 2.5 last

* 2,500 short Sep 66/67/68 put flys

* 6,000 Aug 75/76 strangles/combos

* 15,000 Dec 70/71/72 put flys

* 8,000 Mar 67 puts

Tsy options, Pit/screen:

* 4,000 TYU 123 calls, 5/64 vs. 119-18.5

* 2,500 TYN 119.75 puts, 25/64 vs. 119-16/0.70%

large-ish package strip trade on splits:

* 10,000 TYQ 120 calls, 22/64 w/

* 12,000 TYQ 120.5 calls, 13/64 w/

* 8,000 TYQ 122 calls, 1- to 2/64

* 1,500 FCU 112.25/114.25 call over risk reversals, 1/64 vs. 113-07.7

* 3,000 TYQ 121/122 call spds, 5/64 vs. 119-12.5

* +38,047 TYN 118 puts, 1/64 (open interest just over 123k coming into session)

* 5,000 FVU 112.25/114.25 call over risk reversals, 1/64 vs. 113-08

* 3,500 FVN 113 straddles, 2-25/64

* 1,000 TYU 119.5 straddles, 1-38/64

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

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