US TSYS: BIG ADP MISS HELPS PUT JUNE RATE CUT IN PLAY

US TSY SUMMARY: Choppy day for rates -- Tsys surged after much weaker than

expected private employ/ADP data (+27k). Equities enjoyed decent gains (ESM9

+22.0 in late trade); VIX weaker -.86 at 16.11. Tsy yld curves broadly steeper

while 3M10Y remains well inverted (-22.76).

- Mkts calmed down soon after ADP miss, while there was certainly heavy buying

(including Asia real$ in 10s), short covering/position squaring, stop outs on

way up, there was significant selling (including blocks) into the rally. Short

end well bid as mkt grows accustom to chance of 2-3 rate cuts by yr end.

- Trump Admin advisor Navarro said Mexico tariffs "may NOT go into effect" lent

to round of selling earlier. Late headlines incl Mexico will not accept "safe

third country status" contributed to round of risk-off trade. On tap for Thu:

May challenger layoff plans; weekly jobless claims; Apr trade balance; non-farm

productivity and unit labor costs; Q1 Service Revenue; May Treasury STRIPS and

Fed weekly securities holdings. The 2-Yr yield is down 4.5bps at 1.8389%, 5-Yr

is down 3.8bps at 1.8582%, 10-Yr is down 1.4bps at 2.1157%, and 30-Yr is up 2bps

at 2.6311%.

US TSY FUTURES CLOSE: Trading mixed after the bell, little change through second

half. Wings near respective highs/lows with long end trading lower/off lows,

short end bid all day but off highs. Yld curves mostly steeper. Update:

* 3M10Y  -1.291, -23.285 (L: -26.394 / H: -21.125)

* 2Y10Y  +3.290, 27.514 (L: 23.643 / H: 30.826)

* 2Y30Y  +6.608, 79 (L: 71.972 / H: 82.987)

* 5Y30Y  +6.200, 77.397 (L: 70.978 / H: 79.921)

Current futures levels:

* Sep 2-Yr futures up 1.75/32  at 107-16.875 (L: 107-13.25 / H: 107-21.75)

* Sep 5-Yr futures up 4/32  at 117-23.25 (L: 117-14.75 / H: 118-00.5)

* Sep 10-Yr futures up 3.5/32  at 127-2 (L: 126-24 / H: 127-14)

* Sep 30-Yr futures down 7/32  at 153-15 (L: 153-08 / H: 154-06)

* Sep Ultra futures down 24/32  at 174-12 (L: 174-04 / H: 175-24)

US TSY FUTURES: In case you missed it -- late Tuesday, the CME announced

Performance Bond (margin) changes, increases for wide range of futures/asset

classes include 2Y, 3Y and 5Y futures effective after today's close. Link:

https://www.cmegroup.com/notices/clearing/2019/06/Chadv19-175.html

US EURODLR FUTURES CLOSE: Mostly firmer after the bell, well off first half

highs, Golds back to steady. Current White pack (Jun 19-Mar 20):

* Jun 19 +0.002 at 97.567

* Sep 19 +0.035 at 97.910

* Dec 19 +0.035 at 98.060

* Mar 20 +0.035 at 98.250

* Red Pack (Jun 20-Mar 21) +0.015 to +0.030

* Green Pack (Jun 21-Mar 22) +0.005 to +0.015

* Blue Pack (Jun 22-Mar 23) +0.005 to +0.010

* Gold Pack (Sep 22-Jun 23) -0.005 to steady

US DOLLAR LIBOR: Latest settles resume 

* O/N -0.0147 at 2.3453% (-0.0092/wk)

* 1 Month -0.0023 to 2.4185% (-0.0120/wk)

* 3 Month -0.0027 to 2.4716% (-0.0309/wk)

* 6 Month -0.0159 to 2.4083% (-0.1083/wk)

* 1 Year -0.0227 at 2.3825% (-0.1277/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): 2.39%, $1.110T

* Broad General Collateral Rate (BGCR): 2.36%, $463B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $439B

OUTLOOK: 06-Jun 0730 May challenger layoff plans (10.9%, --)

06-Jun 0830 01-Jun jobless claims (215k, 215k)

06-Jun 0830 Apr trade balance (-$50B, -$50.7B)

06-Jun 0830 Q1 non-farm productivity (f) (3.6%, 3.5%)

06-Jun 0830 Q1 unit labor costs (f) (-0.9%, -0.9%)

06-Jun 0840 Dal Fed Pres Kaplan, Boston College Finance Conf

06-Jun 1000 Q1 Service Revenue

06-Jun 1030 31-May natural gas stocks w/w

06-Jun 1300 NY Fed Pres Williams, Int Economics/Cncl Foreign Relations, NY, Q&A

06-Jun 1500 May Treasury STRIPS Holdings

06-Jun 1630 05-Jun Fed weekly securities holdings

PIPELINE: Allstate 30Y launched

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

06/05 $500M #Allstate 30Y +125

06/05 $500M IADB 3Y FRN L+3a

06/05 $Benchmark Morgan Stanley 3NC2 SOFR+90a

06/05 $Benchmark TD Bank 5Y +80

06/05 $Benchmark WEA Finance 10Y +160a

06/05 $Benchmark Parker Hannifin 5Y +100a, 10Y +140a, 30Y +165a

06/05 $Benchmark PNC Bank2BC1 L+35a 

06/05 $500M *Swedish Export Credit 1.5Y FRN L+5

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* 5,000 Oct 81/83/85 call trees, 4.5 vs.

* 5,000 Dec 85/87 2x1 call spds, 11.0

* Update, appr +25,000 Sep 81/82 call spds 1.0 over Sep 76 puts -- ongoing theme

* 20,000 Sep 81/82 call spds 1.0 over Aug 76 puts

* +10,000 Sep 81/82 call spds 1.0 over Sep 76 puts -- ongoing theme

* 3,000 Dec 81 straddles, 41.5

* 5,000 Jun 76/77 1x2 call spds, 0.75

* scale seller over -25,000 Jun 76 calls, 1.75-1.5 earlier

BLOCK, 1109:56ET

* 10,000 Nov 81/83 1x2 call spds, 0.5 net

* -9,000 Dec 81/83/86 call flys, 4.0

* +5,000 Jun 76 straddles, 8.25 (June expires next week Fri)

* +6,000 short Jun 81/82 put spds, 1.5-2.0

* 13,000 Dec 82/87 1x3 call spds 2.5 over Dec 81/85 1x3 call spds

* -8,000 Mar 80/82 put spds, 10.5 vs. 98.32

* 5,000 Mar 80/81 1x2 call spds, 29.0

* +10,000 Oct 81/83 1x2 call spds, 0.0

* 8,750 Oct 81/83/85 call trees, 3.0 vs.

* 8,750 Dec 85/88 2x1 call strip, 15.0

* -5,000 Jun 76 straddles, 8.25

* -7,000 Sep 78 straddles, 25.5

* +5,000 Oct 81/83/87 call flys, 2.5

* 2,500 Jul/Aug 76/77/78 call fly strip, 7.0

* +3,500 Jul/Aug 78/80 call spd spd, 0.5

BLOCK, 0849:17ET, ongoing funded call spd buying vs. put

* +10,000 Sep 77/78 call spds 5.5 over the Sep 76 puts vs. 97.935/0.31%

* +23,000 short Dec 86/90/93 call flys from 5.0-5.5

* -20,000 Mar 77/80/82/85 call condors, 7.0

* -10,000 Dec 75/77/80/82 call condors, 9.0

* +5,000 Jul 80/81 call spds, 3.5 (+60k Blocked overnight from 2.75-3.0)

BLOCK, 0721:33ET,

* 6,750 short Aug 82/85 call spds 8.0 over short Aug 80 puts

* -25,000 EDM0 75/77/80 put ladder, 4.0

Tsy options, Pit/screen:

* +7,500 TYQ 123.5 puts, 4/64 vs. 127-02 to -01.5/0.05%

* -3,000 TYN 126/128.5 strangles, 17/64

* +/->3,000 TYU 127 straddles, 2-15/64

* 1,000 TYQ 125/126.5 3x1 put spds, 3/64

* +5,000 TYQ 123.5 puts, 4/64

* >17,000 TYN 128 calls, 11-13/64 early overnight

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

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