US TSYS: CONTINUED RISK-OFF AMID ONGOING US/CHINA TRADE ANGST

US TSY SUMMARY: Carry-over risk-off from week opener on US/China trade angst

(debatably justified after Pres Trump threatens tariff increase to 25% on issues

that include draconian intellectual property practices by China).

- Tsy futures near late session highs, decent volume (TYM>1.5M) for relative

subdued session. Note 10Y yld at 2.4459% vs. Friday high of 2.5648%. Sharply

lower equities adding to tone (ESM9 -60.0 at 2872.0); VIX surges to new 4-month

highs of 21.52, 20.80 last. 

- Big jump in corporate issuance well on way of meeting $35B estimate for week

after $19B Bristol-Myers 9-tranche jumbo launch. Chatter IBM to issue this week.

Latest $38B 3Y note auction (9128286U9) tailed -- awarded 2.248% (2.301%

previous) vs. 2.242% WI, bid/cover 2.48 vs. 2.49 previous (3.07 avg).

- Heavy two-way option volume, call spd, outright straddle and strangle buyers

buoyed implieds.

- The 2-Yr yield is down 1.4bps at 2.2763%, 5-Yr is down 1.5bps at 2.2483%,

10-Yr is down 2.5bps at 2.4441%, and 30-Yr is down 3.2bps at 2.8566%.

US TSY FUTURES CLOSE: Also near late session highs, decent volume (TYM>1.5M) for

relative subdued carry-over risk-off from week opener on US/China trade angst.

Sharply lower equities adding to tone (ESM9 -60.0 at 2872.0); VIX surges to new

4-moth highs of 21.52, 20.80 last. Curve update:

* 3M10Y  -2.252, 3.01 (L: 2.318 / H: 6.074)

* 2Y10Y  -1.121, 16.53 (L: 16.196 / H: 19.407)

* 2Y30Y  -1.641, 57.581 (L: 57.504 / H: 61.029)

* 5Y30Y  -1.354, 60.488 (L: 60.231 / H: 63.034)

Current futures levels:

* Jun 2-Yr futures (TU) up 1.875/32  at 106-14.875 (L: 106-12.625 / H:

106-15.75)

* Jun 5-Yr futures (FV) up 6/32  at 115-22.75 (L: 115-16.25 / H: 115-23.5)

* Jun 10-Yr futures (TY) up 12/32  at 124-0 (L: 123-19.5 / H: 124-01)

* Jun 30-Yr futures (US) up 31/32  at 148-25 (L: 147-24 / H: 148-26)

* Jun Ultra futures (WN) up 1-14/32  at 166-24 (L: 165-07 / H: 166-26)

US EURODLR FUTURES CLOSE: At/near session highs after the bell, short end

lagging all day. Current White pack (Jun 19-Mar 20):

* Jun 19 +0.005 at 97.460

* Sep 19 +0.015 at 97.530

* Dec 19 +0.015 at 97.545

* Mar 20 +0.035 at 97.665

* Red Pack (Jun 20-Mar 21) +0.045 to +0.055

* Green Pack (Jun 21-Mar 22) +0.055 to +0.055

* Blue Pack (Jun 22-Mar 23) +0.055 to +0.055

* Gold Pack (Sep 22-Jun 23) +0.055 to +0.060

US DOLLAR LIBOR: Latest settles resume 

* O/N -0.0147 at 2.3631% (-0.0222 last wk)

* 1 Month -0.0039 to 2.4627% (-0.0165 last wk)

* 3 Month +0.0022 to 2.5620% (-0.0229 last wk)

* 6 Month -0.0230 to 2.5943% (+0.0016 last wk)

* 1 Year -0.0242 at 2.7213% (+0.0280 last wk)

STIR: Federal Reserve Bank of New York posts yesterday's EFFR:

* Daily Effective Fed Funds Rate: 2.40%, volume: $69B

* Daily Overnight Bank Funding Rate: 2.38%, volume: $160B

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

* Secured Overnight Financing Rate (SOFR): 2.42%, $1.021T

* Broad General Collateral Rate (BGCR): 2.40%, $484B

* Tri-Party General Collateral Rate (TGCR): 2.40%, $457B

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

08-May 0700 03-May MBA Mortgage Applications (-4.3%, --)

08-May 0830 Fed Board of Gov mem Lael Brainard

08-May 1000 May help-wanted online ratio

08-May 1030 03-May crude oil stocks ex. SPR w/w (9.93m bbl, --)

08-May 1100 Apr Kansas City Fed LMCI

08-May 1300 US TSY $27B 10Y note auction (9128286T2)

US SWAPS: Spds opened/held wider levels into midday, grinding tighter in second

half amid healthy dose of corporate issuance. Latest spd levels:

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

Tue 3:00    -0.81/9.75     -0.69/3.75     -0.06/-2.00   -0.06/-24.81

1:30        -0.50/10.06    -0.56/3.88     +0.06/-1.88   +0.00/-24.75

11:30       +0.19/10.75    -0.06/4.38     +0.25/-1.69   +0.19/-24.56

9:30        +0.44/11.00    +0.06/4.50     +0.19/-1.75   +0.12/-24.62

Tue Open    +0.19/10.75    -0.12/4.31     +0.00/-1.94   +0.00/-24.75

Mon 3:00    -0.44/10.62   -0.31/4.56     -0.50/-1.88   -1.31/-24.69

Monday recap: Spds running tighter after a mixed open, long end leading move

with front end narrowing late morning amid light two-way in front end, deal-tied

hedging still absent but expected to ramp up on increased supply est for week

($35-40B).

PIPELINE: $19B Bristol-Myers 9-part jumbo launched, EIB for Wednesday

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

05/07 $19B #Bristol-Myers 9-part:

----  $750M 1.5Y +20, $1B 2Y +35, $1.5B 3Y fix +45, $500M 3Y FRN L+38,

----  $3.25B 5Y +73, $2.25B 7Y +90, $4B 10Y +105, $2B 20Y +30, $3.75B 30Y +145

05/07 $500M #Principal Financial WNG 10Y +130

05/08 $3B EIB 5Y +7a

Potential issuers this month:

05/? $1.25B MGM China 5NC2, 7NC3

05/? IBM, FI investor call today

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

BLOCK, 1424:40ET,

* 19,288 Dec 70 puts, 0.5

* 19,288 Dec 76 puts, 17.5

Block, 1229:04ET, 5x4 put spd for 7.0 net

* 25,000 Green Dec 73 puts, 5.0

* 20,000 Green Dec 75 puts, 8.0

* +10,000 Dec 73/77 strangles, 11.0

* 20,000 Green Jul/Blue Jul 81/83 call spd spd, 1.0 net/Green over

* 12,000 Green Jul 81/83 call spds, 3.0 vs. 97.865

pick-up in call spd buying supporting vol

* +10,000 short Jul 83 calls, 1.5 vs. 97.80/0.07%

* +10,000 Mar 78/81 call spds, 4.75 legs

* 6,000 short May 78/80 call spds, 0.5

* -5,000 Green Jun 78/81 call spds, 6.0

* 4,500 Blue Mar 71/73 2x1 put spds, 1.0

BLOCK, 0953:25ET,

* +20,000 short Dec 80/81 call spds vs. short Dec 73 puts, 0.0 net

* 5,000 Red Jun/Green Jun 85/90 call spd spd, 4.5 net/EDM1 over

* +3,000 Sep 75 straddles 6.5 over the Oct 75/77 call spd

Some highlight overnight trade/blocks

* -40,000 (Blocked) short Jul 77/81 call spds, 10.0

* +15,000 short Jul 77 puts, 9- to 9.5

Tsy options, Pit/screen:

* +4,000 TYN 123/125 strangles, 37/64

* 2,000 FVN 114.75/115/115.25 put trees, .5/64

Flurry of July 30Y OTM puts bought from 133 to 136 strikes all at 2/64

* over 12,000 USN 133 puts, 2/64

* 4,500 FVM 115 calls 44.5- to 46/64

* 3,500 TYM 123.5/124.5/125.5 call trees, 22/64

* 5,000 TYU 126 calls, 25/64 vs. 124-03.5

* 1,000 TYM 123.25/124.25 strangles, 27/64

* 2,500 FVM 115.25 puts vs. 2,100 FVM 116 calls, 3/64 calls over vs. 115-22

BLOCK, 0915:01ET, 

* rolling up and out well ahead the May 24 June expiration

* -18,517 TYM 123.5 calls, 39/64

* +18,458 TYN 124.5 calls, 32/64

* 3,000 TYM 122.25/122.75 put spds, 3/64 vs. 123-21.5/0.05%

* -2,600 TYM 124 calls, 18/64 vs. 123/23

* +3,700 FVM 114.5 puts, 1/64

* -3,500 TYM 125 calls, 6/64 vs, 123-25

Earlier screen trade

* +20,000 TYN 122/123 put spds, 11

* +7,000 TYM 125 calls, 7/64

* 4,000 TYM 124.5 calls, 12/64

* +5,000 TYN/TYM 123 1x2 put spd, 2/64

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

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