US TSYS: RATE SALE MORE RISK-OFF UNWIND THAN RISK-ON

US TSY SUMMARY: More of a risk-off unwind than risk-on by Tuesday's close,

though equities see strong bounce on strong bank performance (ESM9 +47.5), much

lower than than wk ago. Rate cut pricing solidifying as concern over coming

recession spreads (3M10Y leads but still deeply inverted (near Mon's new 12 year

lows).

- Little data to trade off of (focus more on Fri's NFP) markets had plenty of

Fed speak to react to ahead Saturday's blackout period. FED CHAIR POWELL: TO ACT

AS APPROPRIATE TO SUSTAIN EXPANSION, "prepared to act" statement saw rates blip

higher before resuming sell-off.

- Pick-up in deal-tied flow, real$ buying vs. MBS, OTR buyers 7's and 10's vs

currents. curve flattener unwinds from fast$ in short end. HEAVY Eurdlr option

volume again, upside call spd buying partially funded by OTM put sale theme.

- On tap for Wed: May ADP private payrolls; May Markit Services Index; May ISM

Non-manufacturing Index; Jun help-wanted online ratio; Fed Beige Book for

upcoming FOMC meeting (June 18-19). The 2-Yr yield is up 3.4bps at 1.8653%, 5-Yr

is up 3.9bps at 1.8747%, 10-Yr is up 4bps at 2.1106%, and 30-Yr is up 6.4bps at

2.5953%.

US TSY FUTURES CLOSE: Weaker across the curve but off session lows, rebound in

equities helping trigger profit taking in rates. Decent volume (TYU> 1.8M); yld

curves steeper, 3M10Y leads but still deeply inverted (near Mo's new 12 year

lows). Update:

* 3M10Y  +4.009, -22.088 (L: -26.572 / H: -20.178)

* 2Y10Y  +0.796, 24.334 (L: 20.464 / H: 25.282)

* 2Y30Y  +2.843, 72.392 (L: 65.908 / H: 73.815)

* 5Y30Y  +2.299, 71.711 (L: 66.866 / H: 72.568)

Current futures levels:

* Sep 2-Yr futures down 2.5/32  at 107-14.625 (L: 107-11.25 / H: 107-19)

* Sep 5-Yr futures down 6.5/32  at 117-18.25 (L: 117-12.5 / H: 117-28.5)

* Sep 10-Yr futures down 11.5/32  at 126-29.5 (L: 126-22 / H: 127-14)

* Sep 30-Yr futures down 30/32  at 153-21 (L: 153-08 / H: 154-30)

* Sep Ultra futures down 1-27/32  at 175-03 (L: 174-22 / H: 177-17)

US EURODLR FUTURES CLOSE: Mostly weaker by the bell, lower half of broad range

while the short end inches higher late as rate cut chatter solidifies. Current

White pack (Jun 19-Mar 20):

* Jun 19 +0.007 at 97.560

* Sep 19 +0.005 at 97.870

* Dec 19 -0.020 at 98.020

* Mar 20 -0.040 at 98.210

* Red Pack (Jun 20-Mar 21) -0.06 to -0.05

* Green Pack (Jun 21-Mar 22) -0.065 to -0.06

* Blue Pack (Jun 22-Mar 23) -0.06 to -0.05

* Gold Pack (Sep 22-Jun 23) -0.055 to -0.045

US DOLLAR LIBOR: Latest settles resume 

* O/N -0.0007 at 2.3600% (+0.0055/wk)

* 1 Month -0.0090 to 2.4208% (-0.0097/wk)

* 3 Month -0.0042 to 2.4743% (-0.0282/wk)

* 6 Month -0.0313 to 2.4242% (-0.0924/wk)

* 1 Year -0.0081 at 2.4052% (-0.1050/wk)

US SWAPS: Spds directionally wider w/higher Tsy ylds by the bell, wings well off

first half wides; intermediates lead expansion, 10Y still inverted but appr 2bp

off week ago lows. Mild pick-up in deal-tied flow, rebound  in equities,

particularly financials helping move spds off deeper inverted levels as spec bet

on improved credit worthiness. Current spd levels:

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

Tue 1500    +0.38/4.12     +0.88/+0.50    +1.56/-2.88   +0.12/-28.12

1330        +1.12/4.88     +1.00/+0.62    +1.31/-3.12   +1.00/-27.25

1100        +1.12/4.88     +1.00/+0.62    +1.31/-3.12   +1.00/-27.25

0945        +0.62/4.38     +1.00/+0.62    +1.06/-3.38   +1.06/-27.19

Tue Open    +0.88/4.62     +0.88/+0.50    +0.94/-3.25   +0.88/-27.38

Mon 1500    -0.56/5.00     -0.38/+0.00    -0.12/-4.25   -0.50/-27.81

Monday recap: Spds running mildly mixed, spd curve little steeper but scaling

back from overnight levels. Modest swap flow so far w/3s5s flattener, front end

payer flys: 2s3s5s, 3s5s7s and 3s7s10s.

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

* Daily Effective Fed Funds Rate: 2.38%, volume: $76B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $158B

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

* Secured Overnight Financing Rate (SOFR): 2.40%, $1.162T

* Broad General Collateral Rate (BGCR): 2.37%, $483B

* Tri-Party General Collateral Rate (TGCR): 2.37%, $446B

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

05-Jun Chi Fed conf: conducting/formulating/communicating mon-pol day two

05-Jun 0700 31-May MBA Mortgage Apps

05-Jun 0815 May ADP private payrolls (275k, --)

05-Jun 0945 May Markit Services Index (final) (50.9, --)

05-Jun 0945 Atl Fed Pres Bostic, Housing Forum/affordability, Q/A

05-Jun 1000 May ISM Non-manufacturing Index (55.5, --)

05-Jun 1000 Jun help-wanted online ratio (103.7, --)

05-Jun 1030 31-May crude oil stocks ex. SPR w/w

05-Jun 1400 Fed Beige Book for upcoming FOMC meeting (June 18-19)

PIPELINE: Multiple launches

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

06/04 $2B #CDP Financial 2Y +19

06/04 $1.2B #Duke Energy $600M 10Y +130, $600M 30Y +162

06/04 $1B #Santander Hldngs 5Y +163

06/04 $350M #Liberty Mutual Grp 30Y +190

06/04 $300M #Oklahoma Gas & Electric WNG +10Y +120

06/04 $300M #Federal Realty 10Y +110

06/04 $500M Swedish Export Credit 1.5Y FRN L+5a

06/04 $Benchmark Caisse de Depot et Placement du Quebec (CADEPO) 2Y +19a

06/04 $Benchmark John Deere Capital 2Y fix/FRN, 5Y 

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +30,000 Sep 73/75 put spds, 0.75

* +10,000 Sep 73/75/76 put flys, 2.25

Block, 1206:29ET

* 37,500 Sep 81/82 call spds, 1.5 vs. 97.79 

BLOCK, 1033:37ET, adds to +15k Block earlier

* another +10,000 Dec 78/80 call spds 4.0 over the Dec 75 puts vs. 98.01/0.22%

BLOCK, 1032:30ET,

* 10,000 Dec 73/76 put spds, 4.5

* 80,000 Dec 76 puts, 5.0 vs. 98.00/0.25%

* +15,000 short Dec 83 calls 23.0 vs. 98.325/0.50% little earlier

* 22,500 Dec 82 calls, 9.5

* 7,500 Dec 83 calls, 8.0

* 22,500 Dec 85 calls, 7.0

* -10,000 Jul 75/77 call spds, 19.0

* +40,000 Dec 82/83/85/87 2x1x2x1 call condors, 5.5 net/wings over

* 5,000 Dec 78/80/81 1x3x2 call flys, 3.5 net

* -12,000 Mar 78/85 strangles, 26.0-25.5, mostly 25.5

* Update, total -20,000 Sep 78/81 call spds, 6.0 vs. 97.79/0.10%

* Update, total -10,000 Sep 75/82 strangles, 3.25

* -10,000 Sep 78/81 call spds, 6.0

Block 0844:31ET, 35k total Blocked/day

* another +10,000 Sep 77/78 call spds 2.0 over Sep 76 puts

BLOCK, 0834:40ET, 14.0 net on 4/5 call spd

* +25,000 Sep 77 calls, 16.0

* -31,250 Sep 78 calls, 10.0

Block at 0838:14ET

* -15,000 Mar 75 puts, 2.5 vs. 98.185/0.10%, adds to earlier 10k sale Block

* -6,000 Sep 75/82 strangles, 3.25

* 6,500 short Jun 83 calls, 4.0 vs. 98.275/0.32%

* +10,000 Dec 98.375/98.50 2x3 call spds, -0.5 (credit)

* 30,000 Jul 76 calls, 21.5 vs. 97.82/0.85%

* +10,000 Sep 75/76 put spds, 3.0

* 5,000 short Jul 80/81 put spds, 3.0 vs. 98.31/0.12%

BLOCK (0827:38ET)

* +10,000 Sep 77/78 call spds 2.0 over Sep 76 puts -- adds to 15k earlier

BLOCK, 0801:08ET, JUne expires next week Friday

* 40,000 Jun 75 calls, 6.0 vs. 97.5475/0.72%

BLOCK, 0754:15ET, adds to 10k blocked earlier

* another 5,000 Sep 77/78 call spds, 6.5 vs. Sep 76 puts 4.0

BLOCK, 0739:38ET

* 10,000 Mar 80 calls, 37.0

* 15,000 Mar 85 calls, 15.5

* 20,000 Mar 75 puts, 2.5

BLOCK, 0643-0647ET

* total 10,000 Sep 77/78 call spds, 6.5 vs.

* total 10,000 Sep 76 puts 4.0-4.25

BLOCK, 0629:17ET

* 10,000 Mar 75 puts, 3.0

Tsy options, Pit/screen:

* 4,500 FVM 117.75/118/118.25 call flys, 1.5/64

* -6,900 TYN 125.75/128 strangles on screen, 19/64

* 1,500 TYN 126.25/TYQ 124.5 1x2 put spds, 0.0

* 2,300 wk1 TY 126.5/127 call spds, 15/64

* screen, just over +13,000 TUU 107 puts, 8/64

* +4,000 TYN 126.5/TYQ 124.5 put spds, 6/64 net earlier

* -2,000 wk1 TY 127 straddles, 44/64

* +1,000 TYN 126 puts, 4/64

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

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