US TSYS: ANOTHER BIG MISS FOR EMPLOY, FIRST CUT IN JUN OR JUL?

US TSY SUMMARY: Rates surged after another big employ data figure, NFP gained

only 75k in May vs. +180k est (on the heels of Wed's ADP private payroll miss of

only +28k) and down revsn's for April (now +224k) and March (now +153k), Net

-75k. Delayed react for futures ESM9 before climbing +40.50 to new 4 week high

of 2886.25. Implied vol firmer but well off first half highs; VIX +.34 to 16.27

late.

- Heavy front end support as June rate hike chances breached 40% -- debate is on

while Fed enters media blackout at midnight through June 20, day after next FOMC

annc. June Eurodollar futures and options expire next Friday, however. Various

dealers, trading desks suggest July more likely time to cut while others suggest

50bps cut by summer.

- On tap for Monday: Apr JOLTS job openings level; May ETI; Jun NY Fed

expectations survey.

- The 2-Yr yield is down 3.1bps at 1.8474%, 5-Yr is down 3.3bps at 1.8496%,

10-Yr is down 3.5bps at 2.0827%, and 30-Yr is down 4.2bps at 2.5713%.

US TSY FUTURES CLOSE: Broadly higher by the bell/off midmorning highs amid

moderate profit taking from midday on. Another emply miss, May +75k vs. +175k

est spurred strong bid across the curve, June rate cut chances climbed just

north of 40% in first half. Choppy curve action, lvls mostly flatter. Update:

* 3M10Y  -0.091, -19.423 (L: -23.798 / H: -18.138)

* 2Y10Y  -0.545, 23.125 (L: 22.024 / H: 28.634)

* 2Y30Y  -1.651, 71.627 (L: 70.979 / H: 80.134)

* 5Y30Y  -1.597, 71.309 (L: 70.775 / H: 78.197)

Current futures levels:

* Sep 2-Yr futures up 1.5/32  at 107-15.25 (L: 107-12.75 / H: 107-20.75)

* Sep 5-Yr futures up 4.25/32  at 117-22.5 (L: 117-16 / H: 118-01.25)

* Sep 10-Yr futures up 9/32  at 127-7 (L: 126-28 / H: 127-19.5)

* Sep 30-Yr futures up 1-01/32  at 154-18 (L: 153-15 / H: 154-30)

* Sep Ultra futures up 1-21/32  at 176-10 (L: 174-16 / H: 176-23)

US EURODLR FUTURES CLOSE: Trading steady/mixed after the bell, heavy front end

support as weaker than exp NFP (+75k) bolstered rate cut chances in near term

climbed (June or July) and as many as three cuts by year end. Reds-Greens

underperforming Current White pack (Jun 19-Mar 20):

* Jun 19 +0.033 at 97.588

* Sep 19 +0.035 at 97.920

* Dec 19 +0.030 at 98.050

* Mar 20 +0.020 at 98.210

* Red Pack (Jun 20-Mar 21) -0.005 to +0.005

* Green Pack (Jun 21-Mar 22) steady to +0.010

* Blue Pack (Jun 22-Mar 23) +0.020 to +0.035

* Gold Pack (Sep 22-Jun 23) +0.035 to +0.040

US SWAPS: Spds running mostly wider, 10Y bucking move all session. Little swap

flow to report on day, mild two-way in short s to intermediates after accts

squared ahead headline employ data, some receiver fly in 5s7s10s. Latest levels:

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

1345        +0.31/6.50     +0.12/+2.88    -0.56/-1.31   +0.56/-26.69

1200        +0.62/6.81     +0.06/+2.81    -0.69/-1.44   +0.38/-26.88

1000        +0.31/6.50     +0.06/+2.81    -0.88/-1.62   -0.19/-27.44

Fri Open    -0.06/6.12     +0.25/+3.00    -0.69/-1.44   -0.38/-27.62

Fri 0730    +0.12/6.31     +0.00/+2.75    -0.50/-1.25   +0.00/-27.25

Thu 1500    +0.81/6.00     +1.25/+2.81    +1.12/-0.69   +0.94/-26.94

Thursday recap: Spds surged wider late, had been running mildly wider across the

curve in last hour of trade, short end off early narrows. Consistent if not

exactly large rate receivers in 2s through 5s noted in second half, two-way fly

action includes 2s4s5s receiver and 2s7s10s payer.

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0057 at 2.3517% (-0.0028/wk)

* 1 Month +0.0005 to 2.4121% (-0.0184/wk)

* 3 Month -0.0024 to 2.4506% (-0.0519/wk)

* 6 Month -0.0061 to 2.3717% (-0.1449/wk)

* 1 Year -0.0015 at 2.3461% (-0.1641/wk)

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

* Daily Effective Fed Funds Rate: 2.38%, volume: $71B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $164B

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

* Secured Overnight Financing Rate (SOFR): 2.40%, $1.031T

* Broad General Collateral Rate (BGCR): 2.37%, $477B

* Tri-Party General Collateral Rate (TGCR): 2.37%, $444B

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

10-Jun FED enters Blackout early June 8 and runs through June 20

10-Jun 1000 Apr JOLTS job openings level

10-Jun 1000 Apr JOLTS quits rate

10-Jun 1000 May ETI (110.79, --)

10-Jun 1100 Jun NY Fed expectations survey

10-Jun 1130 US TSY $36B 13W bill auction (912796RA9)

10-Jun 1130 US TSY $36B 26W bill auction (912796SW0)

PIPELINE: No new issuance Friday

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

06/?? Chatter for next week -- Fiserv jumbo, could be >$10B

-

$1.1B priced Thursday, $17.5B on week

06/06 $600M *Camden Property 10Y +107

06/06 $500M *IADB 3Y FRN L+3

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* -13,000 Dec 71/72/73/75 put condors, 1.0

* 10,000 Sep 81/82 call spds, 2.5

* -3,000 Blue Jul 78 straddles, 25.5 over the 81 calls

BLOCK, 1307:00ET, another 5,000 sold in pit

* -10,000 Dec 81/85 1x2 call spds, 5.0 vs. 98.06/0.06

BLOCK, 1306:39ET

* -29,298 Red Sep'20 75 calls, 87.0 (post-time bid)

* +17,193 Green Sep'21 82 calls, 47.5 (post-time offer) ongoing

* +30,000 (pit/screen) Sep 81/82 call spds, 2.5 vs. 97.935

* -5,000 Jul 76/77 call spd, 11.0 vs. 97.935

* -5,000 Jun 75/76 call spds, 7.0

* -5,000 Jun 76/77 call spds, 1.25

* +15,000 Green Dec 73 puts, 1.0 vs. 98.22/0.10%

* 5,000 Green Dec 73/Green Mar 72 call spds, 1.5

* 4,000 Sep 83/86 call strip, 2.0

Additional midday trades from earlier

* -20,000 Oct 80/82 call spd w/Dec 81/82 call spds, 16.5 total

* -20,000 Aug 78/80 call spds,5.5 vs. 97.925/0.17%

BLOCKs, 1153:34

* 33,566 Red Jun'20 75 calls, 80.0

* +17,536 Green Jun'21 82 calls, 46.0BLOCKs

* 12,000 Sep 73/76 call spds, 23.5 (0954:48ET)

* total 39,000 short Jun 82 puts, 3.0 (1001-1002ET)

* -25,000 Aug 78/80 call spds, 5.5 vs. 97.925/0.17%

* 10,000 short Dec 80 calls, 48.5 vs. 98.405/0.10%

BLOCK, 0855:38ET,

* +10,000 Sep 75 puts, .5 and still offered

* -5,500 Red Jun 78/82 2x1 put spds, 3.5-3.0, mostly 3.0

* Update, >12,000 Green Dec 73 puts, 1.0 vs. 98.26/0.05%

* -10,000 Dec 80/85 call spds, 18.0

* 7,000 Green Dec 73 puts, 1.0 vs. 98.26/0.05%

Re: 40,000 short Jul 81 put/86 call Block deemed combo, put bought over.

Interesting trade for even -- IF no cut annc at June FOMC, odds of July cut

should rise all things equal. More of combo trading on screen now, volume >50k

BLOCK, 0824:55ET

* +40,000 short Jul 81 puts, 5.0

* -40,000 short Jul 86 calls, 5.0

* Block +30,000 0EZ9 97.50/97.75/98.00 call flys 3.0

* Block +20,000 Green Dec/Blue Dec 85/90 call spd spd, 4.5db

* +3,000 0EU9 98.25/98.00/97.75 put ladder 7.5 vs 98.26 (10d)

Tsy options, Pit/screen:

BLOCKs, 1013:11-1013:19ET

* total -15,000 TYU 126.5 puts from 38- to 39/64

*** Latest BLOCK, 0945:28ET, screen sales >18k TYU 126 calls at 31/64 soon after

* -25,000 TYU 126.5 puts, 41/64

* -4,200 FVN 116.5/117 3x1 put spds, .5/64

* 1,500 FVN 117.25 puts, 5/64

* +5,000 FVQ 117/119 call over risk reversals, 3/64

* 2,000 TYN 126/126.25/126.75 broken put trees, 2/64 vs. 127-18.5

* +5,000 TYU 128.5 calls 3/64 over TYQ 124/126.5 put spds

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

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