Sharp risk-off move Friday, kicked.....>

US TSY FLOWS: Sharp risk-off move Friday, kicked off late Thursday on US Pres

Trump threatened Mexico with massive tariff increase. Heavy volume, Sep takes

lead quarterly (TYU>2.99M). 10Y yld -.0818 at 2.1315, Sep 2017 lows. FI implied

vols surged to new highs; VIX gained but pared/held range (+1.41 at 18.71 vs.

19.72H).

- Heavy risk-off/safe haven buying across curve, month end flow w/lrge late

sales. Jun19 Eurodollar futures gap bid to 97.55F early in second half, rate cut

crowd gathers momentum (Barclays call for 3 rate cuts by yr end/starting in fall

-- aggressive call!). Potential air pocket as traders pointed out just over 22k

EDM9 traded at 97.527 but some 17k traded from 97.53-97.55. Lead quarterly came

under heavy selling soon after (EDM9 +4.75 at 97.532C). 

- Aside from mentioning negative aspect of increased Mexico tariffs on US

economy, Fed Kashkari also touched upon curve..."might be signaling Fed is

slightly restrictive".

- The 2-Yr yield is down 13.9bps at 1.9221%, 5-Yr is down 10.6bps at 1.9143%,

10-Yr is down 8.4bps at 2.1298%, and 30-Yr is down 7bps at 2.57%.