US TSYS: RATES SHRUG OFF EQUITY RALLY, AUTO TARIFF PAUSE?

US TSY SUMMARY: Rates trade stronger after the bell, off top end of range, small

concession to the risk-off unwind tone spurred on by rebound in equities after

Pres Trump said considering "AUTO-TARIFF DELAY UP TO SIX MONTHS". Rates shrug

off move -- reminder, there are still geo/pol concerns tied to Mideast tensions,

even as Trump admin attempts to contain US/China trade war angst. 

- Tsy yld curves mixed, 3M10Y extends inversion -4.033 at -2.701 (L: -4.801/H:

1.189). VIX weaker/near lows (-1.53, 16.53/19.15H); equities firmer/near highs

(ESM9 +16.5, 2855.75).

- Flow: ongoing Jun/Sep Tsy rolling, spike in deal-tied hedging, bank and real$

buying intermediates to long end.

- On tap for Thursday: On tap for Thursday: Weekly jobless claims; Apr housing

starts and building permits; May NY Fed Business Leaders Index and Philadelphia

Fed Mfg Index.

- The 2-Yr yield is down 3.1bps at 2.1657%, 5-Yr is down 3.7bps at 2.1514%,

10-Yr is down 3.5bps at 2.375%, and 30-Yr is down 2.6bps at 2.8223%.

US TSY FUTURES CLOSE: Tsys bid across the board -- rates ignoring the early

risk-off unwind tone spurred on by rebound in equities after Pres Trump said

considering "AUTO-TARIFF DELAY UP TO SIX MONTHS". Curves mixed, 3m10Y inverts

early -- off lows by the close. Update: 

* 3M10Y  -4.033, -2.701 (L: -4.801/H: 1.189)

* 2Y10Y  -0.250, 20.725 (L: 19.949/H: 22.003)

* 2Y30Y  +0.581, 65.374 (L: 63.589/H: 67.086)

* 5Y30Y  +0.967, 66.847 (L: 64.864/H: 68.19)

Current futures levels:

* Jun 2-Yr futures (TU) up 1.75/32 at 106-21.125 (L: 106-18.875/H: 106-23.25)

* Jun 5-Yr futures (FV) up 6.75/32 at 116-5.75 (L: 115-30.5/H: 116-09.75)

* Jun 10-Yr futures (TY) up 11/32 at 124-21.5 (L: 124-10/H: 124-27)

* Jun 30-Yr futures (US) up 22/32 at 149-28 (L: 149-06/H: 150-04)

* Jun Ultra futures (WN) up 28/32 at 167-29 (L: 166-31/H: 168-10)

US TSY FUTURES: *** Late session roll update, September taking 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 64,400 from -7.75 to -7.0, -7.5 last;

* FVM/FVU appr 66,000 from -5.25 to -4.75, -5.0 last;

* TYM/TYU appr 32,200 from -9.75 to -8.75, -9.25 last;

* USM/USU appr <1,000 from 20.0 to 20.25, 20.0 last;

* WNM/WNU appr <2,000 from -22.0-21.25, -21.75 last;

US EURODLR FUTURES CLOSE: Little change on the day -- bid across the strip with

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

* Jun 19 steady at 97.498

* Sep 19 +0.010 at 97.620

* Dec 19 +0.025 at 97.675

* Mar 20 +0.040 at 97.825

* Red Pack (Jun 20-Mar 21) +0.050 to +0.060

* Green Pack (Jun 21-Mar 22) +0.060 to +0.065

* Blue Pack (Jun 22-Mar 23) +0.055 to +0.060

* Gold Pack (Sep 22-Jun 23) +0.050 to +0.055

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0058 at 2.3491% (-0.0072/wk)

* 1 Month -0.0053 to 2.4323% (-0.0167/wk)

* 3 Month +0.0006 to 2.5251% (-0.0027/wk)

* 6 Month +0.0000 to 2.5508% (-0.0362/wk)

* 1 Year -0.0067 at 2.6325% (-0.0608/wk)

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

* Daily Effective Fed Funds Rate: 2.38%, volume: $64B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $143B

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

* Secured Overnight Financing Rate (SOFR): 2.39%, $1.012T

* Broad General Collateral Rate (BGCR): 2.36%, $465B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $436B

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

16-May 0830 11-May jobless claims (228k, 220k)

16-May 0830 Apr housing starts (1.139M, 1.200M)

16-May 0830 Apr building permits (1.288M, 1.280M)

16-May 0830 May NY Fed Business Leaders Index

16-May 0830 May Philadelphia Fed Mfg Index (8.5, 10.0)

16-May 1030 10-May natural gas stocks w/w

16-May 1205 Mn Fed Pres Neel Kashkari, mon/pol, economy

16-May 1630 15-May Fed weekly securities holdings

US SWAPS: Spds mostly tighter by the close, directional again with lower Tsy

ylds, rates ignoring the early risk-off unwind tone spurred on by rebound in

equities after Pres Trump said considering "AUTO-TARIFF DELAY UP TO SIX MONTHS".

Another round of healthy swappable issuance from financial names added to

narrowing. Latest spd levels:

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

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

1:30        +0.25/7.75     -0.62/1.75     -0.88/-4.50   -0.75/-28.75

12:00       +0.38/7.88     -0.38/2.00     -0.50/-4.12   -0.44/-28.44

10:00       +0.19/7.69     -0.88/1.50     -0.88/-4.50   -0.94/-28.94

Wed Open    +0.06/7.56     -0.50/1.88     -0.62/-4.25   -0.56/-28.56

Tue 3:00    -0.25/7.75     -0.62/2.31     -0.50/-3.62   -0.31/-27.88

Tuesday recap: Spds running mildly tighter across the curve after the bell, low

end narrow range amid moderate deal-tied hedging and two-way spd flys in

2s5s10s, after payer flys in 2s4s7s and 5s8s9s. 

PIPELINE: Financials lead midweek issuance

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

05/15 $3B #American Express $1.25B 3Y +67, $900M 3Y FRN L+62, $850M 7Y +92

05/15 $3B #HSBC Holdings 11NC10 fix/FRN +160

05/15 $1.5B *Wells Fargo 2NC1 FRN +38

05/15 $Benchmark JBIC 5Y +40a

05/15 $Benchmark Citibanks NA 3NC2 fix/FRN

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* +15,000 Dec 75 puts, 6.0 vs. 97.675/0.28%

* +5,000 short Dec 80 straddles, 45.0

BLOCK, 1217:01ET

* 15,000 Green Sep 75 puts, 2.0 vs. 97.975/0.10%

* -10,000 Dec Dec 71/72/73/75 put condors, 3.25

* -10,000 Dec 72/73/75 put flys, 2.25

* +15,000 Dec 72/73 2x1 put spds, 0.75

* +12,500 Sep 73/75/76 put flys, 3.5

* +18,000 short Jul 75 puts, 1.0

* +10,000 Green Jun 80 calls, 9.0 on screen vs. 98.00/0.50%

* Update, >+30,750 Dec 75 puts, 6.0 vs. 97.68/0.28%

BLOCK, 1149:00ET

* +15,000 Green Sep 75 puts, 2.0 vs. 97.975/0.10%

BLOCK, 1149:00ET

* +5,000 short Jul 77/78 3x2 put spds, 5.0 net

ATM vol under pressure, particularly in midcurves, wing buyers still around,

however. Aside, good support in1M10Y swaption vol; VIX mildly bid -- but

probably not for long if current range holds).

* -7,500 short Jun 80 straddles, 18.0 followed by:

* +2,000 short Jul/short Aug 80 straddle strip, 58.0

* 5,000 Aug 77/80 2x1 put spds on screen

* 7,500 Sep 73/75/76 put flys, 3.5

* -15,000 Red Jun'20 77 puts, 14.0

* +10,000 Dec 78/80/81 call flys, 1.0

* +55,000 Jun 77 calls cab -- adds to some 90k bought yesterday, covering shorts

w/OI -75,975 to 397/507.

* +15,000 Sep 78/80 call spds, 1.25

* +14,000 Dec 73/76 2x1 put spds, 8.0

* +5,000 Dec 73/75 put spds, 4.0

BLOCKs, 0743-0746ET,

* total 54,000 short Jun 76/77 put spds, 1.5 vs. 97.93/0.12%

BLOCK, 0631:07ET,

* 5,000 Dec 72/73 put spds, 2.0 vs. 97.625/0.09%

* EDU9 97.875/98.00 cs paid 1.25 x 15,000 (25,000 all day)

* EDN9 97.50/97.625/97.75c fly paid 4.25 x 30,000 all day- mkt src

Tsy options, Pit/screen:

* 15,700 FVM 116.5/118 call spds

* -3,000 USM 149.5 puts from 30- to 29/64

* 3,500 TUM 106.5/TYN 106.62, 2/64 vs. 106-21 earlier

BLOCK, 1054:14ET

* 13,665 TYN 124.5 calls, 48/64 vs.

* 18,475 TYN 125.5 calls, 23/64

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

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