US TSYS: MORE RISK-OFF UNWIND FOR RATES THAN RISK-ON

US TSY SUMMARY: Rates trade softer, near low end narrow range that developed

since midmorning. Relatively quiet session -- decent futures volume by the

close: TYM>1.2M but near 500k traded by the open.

- Tsy yld curves mostly flatter, 3M10Y off just above inversion (+3.967, 1.089,

L: -5.587 / H: 1.267); not surprisingly, VIX weaker/near lows (-1.10, 15.34);

equities firmer/near highs (ESM9 +33.0).

- Little to no react to data or Fed speakers (not a lot of mkt risk in Fed

Brainard reiterating "Proceed Cautiously"). Even US/China trade headlines

remained relatively calm.

- Session flow included ongoing Jun/Sep Tsy futures rolling (2s and 5s leading

charge), better swap-tied selling in 2s-10s, moderate deal-tied flow, near 10k

Eurodlr Red pack (EDM0-EDH1) Block buys.

- On tap for Friday: May Michigan sentiment index; Q1 e-commerce retail sales;

Q1 Advance NSA Service Revenue; Apr BLS state payrolls; Apr leading indicators.

- The 2-Yr yield is up 4.7bps at 2.2066%, 5-Yr is up 4bps at 2.188%, 10-Yr is up

3.4bps at 2.4068%, and 30-Yr is up 2.1bps at 2.8408%.

US TSY FUTURES CLOSE: Tsys modestly weaker after the bell, near low end narrow

range that developed since midmorning. Relatively quiet session -- decent

futures volume by the close: TYM>1.2M but near 500k traded by the open. Update: 

* 3M10Y  +3.79, 0.912 (L: -5.587 / H: 1.267)

* 2Y10Y  -1.289, 19.873 (L: 19.279 / H: 21.247)

* 2Y30Y  -2.365, 63.392 (L: 62.566 / H: 66.141)

* 5Y30Y  -1.646, 65.38 (L: 64.222 / H: 67.345)

Current futures levels:

* Jun 2-Yr futures (TU) down 2.375/32 at 106-18.875 (L: 106-18.375/H:

106-22.625)

* Jun 5-Yr futures (FV) down 5/32 at 116-0.75 (L: 115-30.25/H: 116-09)

* Jun 10-Yr futures (TY) down 8/32 at 124-13.5 (L: 124-10/H: 124-27)

* Jun 30-Yr futures (US) down 13/32 at 149-15 (L: 149-11/H: 150-10)

* Jun Ultra futures (WN) down 16/32 at 167-12 (L: 167-06/H: 168-18)

US TSY FUTURES: *** Late roll update, volume starting to accelerate w/ 2s and 5s

leading charge. September takes lead from June at end of this month (first

notice May 31). June future's staggered expiration on June 19 for 10s, 30s and

Ultras, and June 28 for 2s and 5s. Latest volume:

* TUM/TUU appr 141,800 from -7.62 to -7.0, -7.25 last;

* FVM/FVU appr 71,900 from -5.25 to -4.5, -4.75 last;

* TYM/TYU appr 43,300 from -9.5 to -8.75, -9.0 last;

* USM/USU appr 1,800 from 20.0 to 20.5, 20.25 last;

* WNM/WNU appr 3,500 from -21.75-21.25, -21.5 last;

US EURODLR FUTURES CLOSE: Weaker across the strip, Reds underperforming after

heavy block/crosses. Current White pack (Jun 19-Mar 20):

* Jun 19 -0.010 at 97.488

* Sep 19 -0.015 at 97.605

* Dec 19 -0.030 at 97.650

* Mar 20 -0.040 at 97.790

* Red Pack (Jun 20-Mar 21) -0.05 to -0.045

* Green Pack (Jun 21-Mar 22) -0.04 to -0.03

* Blue Pack (Jun 22-Mar 23) -0.03 to -0.025

* Gold Pack (Sep 22-Jun 23) -0.03 to -0.025

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0102 at 2.3593% (+0.0030/wk)

* 1 Month +0.0083 to 2.4406% (-0.0084/wk)

* 3 Month -0.0055 to 2.5196% (-0.0082/wk)

* 6 Month +0.0007 to 2.5515% (-0.0355/wk)

* 1 Year -0.0183 at 2.6142% (-0.0791/wk)

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

* Daily Effective Fed Funds Rate: 2.40%, volume: $62B

* Daily Overnight Bank Funding Rate: 2.39%, volume: $148B

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

* Secured Overnight Financing Rate (SOFR): 2.48%, $1.052T

* Broad General Collateral Rate (BGCR): 2.45%, $479B

* Tri-Party General Collateral Rate (TGCR): 2.45%, $452B

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

17-May 1000 May Michigan sentiment index (p) (97.2, 97.5)

17-May 1000 Q1 e-commerce retail sales

17-May 1000 Q1 Advance NSA Service Revenue

17-May 1000 Apr BLS state payrolls

17-May 1000 Apr leading indicators (0.4%, 0.2%)

17-May 1100 Q2 St. Louis Fed Real GDP Nowcast

17-May 1115 Q2 NY Fed GDP Nowcast

17-May ---- NY Fed Pres Williams and VC Richard Clarida make several morning

through afternoon appearances

US SWAPS: Spds running steady to mixed, well off early wides after starting to

scale back late morning, swappable supply and some curve unwinds adding to

second half move. really decent first half flow w/ >$500M two-way in 1Y around

2.440-2.444%, better payers in 2s at 2.273-2.2754%, payer in 5s at 2.20%, 3s4s5s

payer fly; receivers include 3s 2.20621%, 7s at 2.2575, two way in 10s around

2.360-2.385%. Latest spd levels:

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

Thu 3:00    -0.44/7.00     -0.06/1.69     +0.00/-4.38   +0.62/-27.88

1:30        -0.12/7.31     +0.00/1.75     +0.12/-4.25   +0.69/-27.81

10:45       +0.06/7.50     +0.38/2.12     +0.56/-3.81   +1.12/-27.38

9:00        +0.25/7.69     +0.50/2.25     +0.69/-3.69   +1.25/-27.25

Thu Open    +0.19/7.62     +0.50/2.25     +0.69/-3.69   +0.81/-27.62

Wed 3:00    +0.25/7.75     -0.62/1.75     -0.94/-4.56   -0.75/-28.75

PIPELINE: Dow Chem Launched

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

05/16 $2B #Dow Chemical $500M 5Y +102, $750M 7Y +135, $750M 10Y +200

05/16 $Benchmark Standard Chartered 6NC5 +170a, 11NC10 +200a

05/16 $1.5B Discovery Communications LLC 10Y +180a, 30Y +255a

05/16 $2.5B *JBIC 5Y +36

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +10,000 short Jul 76/77/78 2x1x1 put trees, 1.0 net, 78 put over

* -8,000 Dec 77/80 call spds, 5.5 vs. 97.635/0.10%

* +10,000 Green Jun 71 puts, cab

* +5,000 Jul 75/77 call spds, 10.0

* +15,000 short Dec 76/77 call spds, 8.0

* -7,000 Sep 76/77 call spds 1.0 over short Dec/Green Dec 81 call spd

* total +20,000 Dec 80/83/87 1x4x2 call fly w/

* +80,000 Aug 78/80 call spd and Dec 71/73 put spd strip. 12.5-13.5 net package 

* +10,000 Green Jun 71 puts, cab

* +5,000 Jul 75/77 call spds, 10.0

* +15,000 short Dec 76/77 call spds, 8.0

* -7,000 Sep 76/77 call spds 1.0 over short Dec/Green Dec 81 call spd

* total +20,000 Dec 80/83/87 1x4x2 call fly w/

* +80,000 Aug 78/80 call spd and Dec 71/73 put spd strip. 12.5-13.5 net package

BLOCK, 1136:07ET, adds to +30k in pit

* +10,000 Mar 73 puts, 3.5 vs. 97.78/0.14%

* appr +27,000 Blue Jul 71/75 put spds, 1.0 screen trade

BLOCK, 1023:48ET

* -40,000 Blue Mar 81/85 call spds, 6.5BLOCK, 0947:10ET

* 10,000 Dec 75/76 put spds, 6.0 vs.

* 10,000 Red Sep'20 77/78 put spds, 8.0

* +10,000 Dec 75 puts, 6.0 vs. 97.68/0.28%

* +5,000 Jul 73/75 put spds, 1.5

* +5,000 Mar/Red Jun'20 81/82/83 call fly strip, 1.25 total

* 5,000 Mar 78/82 1x2 call spds, 2.5

* +5,500 short Jul 75/76/77 put trees, 1.5

* +5,000 Dec 73/75 2x1 put spds, 2.0

* 2,250 Dec 75/78 strangles, 14.0

* 2,000 short Jun 76/77 put spds, 2.0

* 2,000 short Jun 77/80 1x2 call spds, 7.0

Tsy options, Pit/screen:

* over +5,000 TYM 125 calls, 9/64, looking for more offers

* 1,000 TYN 128 calls, 3/64

* 1,750 FVN 114.5/115/115.5 put flys, 3.5/64 vs. 116-01.2

* early sales TYQ, TYU and USU straddles, implieds obviously under pressure with

underlying paring back more of midweek gains

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

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