US TSYS: RISK-OFF QUIETLY RESUMES LATE, AHEAD FRIDAY MONTH-END

US TSY SUMMARY: Risk-off tone made quiet return in late trade w/Tsy futures

trading higher into the close (yld curves mixed w/3M10Y extending to new 12 year

inverted lows: -14.918); equities pared gains late (ESM9 +2.0); well off lows,

CBoE vol index (VIX) (-0.08 at 17.82).

- Ongoing Jun/Sep futures roll helped elevate overall volumes but action running

their corse ahead Fri's first notice. Two-way flow on net, better buying from

fast- and real$ in short to intermediates first half, block buys TYU and WNU.

Prop and fast$ selling later in second half as equities trimmed gains. Desks not

reporting much in way of month-end extensions yet. Deal-tied flow muted though

$1.25B BoNY Mellon 2NC1 generated some hedging.

- On tap for Friday: April personal income and current dollar PCE data;

ISM-Milwaukee Mfg Index; MNI Chicago PMI report for May; Michigan sentiment

index; St. Louis and NY Fed Real GDP Nowcasts.

- The 2-Yr yield is down 4.6bps at 2.0629%, 5-Yr is down 4.8bps at 2.0215%,

10-Yr is down 4.4bps at 2.2168%, and 30-Yr is down 4.6bps at 2.6466%.

US TSY FUTURES CLOSE: Trading stronger after the bell -- at/near late session

highs w/risk-off tone quietly resuming heading into month-end. Curves

mostly/mildly steeper, 3M10Y making new 12 year inverted lows, update:

* 3M10Y  -6.336, -15.615 (L: -15.615 / H: -7.878)

* 2Y10Y  +0.314, 15.266 (L: 14.401 / H: 16.251)

* 2Y30Y  +0.445, 58.605 (L: 56.923 / H: 58.806)

* 5Y30Y  +0.58, 62.568 (L: 60.499 / H: 62.698)

Current futures levels:

* Jun 2-Yr futures (TU) up 1.375/32 at 106-26.5 (L:106-22.125/H:106-26.5)

* Jun 5-Yr futures (FV) up 3.5/32  at 116-24.75 (L:116-12/H:116-24.75)

* Jun 10-Yr futures (TY) up 6/32 at 125-26 (L:125-06.5/H:125-26)

* Jun 30-Yr futures (US) up 19/32 at 153-11 (L:152-01/H:153-11)

* Jun Ultra futures (WN) up 33/32 at 173-10 (L:171-10/H:173-10)

US TSY FUTURES: *** Late roll update, over 90% complete ahead September taking

lead from June ahead first notice tomorrow. June future's staggered expiration

on June 19 for 10s, 30s and Ultras, and June 28 for 2s and 5s. Update:

* TUM/TUU appr 242,800 from -8.75 to -7.75, -8.62 last, appr 93% complete;

* FVM/FVU appr 297,000 from -5.5 to -4.75, -5.25 last, appr 91% complete;

* TYM/TYU appr 464,000 from -10.75 to -9.0, -10.5 last, appr 90% complete;

* USM/USU appr 50,200 from 20.0 to 20.5, 20.0 last, appr 92% complete;

* WNM/WNU appr 96,900 from -24.25 to -21.25, -23.0 last, appr 92% complete;

MONTH-END EXTENSIONS: *** PRELIM Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2018; TIPS 0.02Y; Govt inflation-linked, 0.02Y

*.....................Projected...1Y Avg Incr..Last Year

*US Tsys.................0.11........0.08........0.11

*Agencies................0.01........0.07........0.08

*Credit..................0.08........0.09........0.11

*Govt/Credit.............0.10........0.09........0.11

*MBS.....................0.05........0.07........0.07

*Aggregate...............0.09........0.08........0.09

*Long Govt/Credit........0.10........0.10........0.15

*Interm Credit...........0.08........0.08........0.08

*Interm Govt.............0.08........0.08........0.09

*Interm Govt/Cred........0.08........0.10........0.09

*High Yield..............0.04........0.08........0.08

US EURODLR FUTURES CLOSE: Rebound to steady/mixed bythe bell -- near top end of

range. Current White pack (Jun 19-Mar 20):

* Jun 19 +0.003 at 97.488

* Sep 19 +0.005 at 97.645

* Dec 19 +0.010 at 97.770

* Mar 20 +0.010 at 97.965

* Red Pack (Jun 20-Mar 21) steady to +0.010

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

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

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

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0017 at 2.3577% (+0.0012/wk)

* 1 Month +0.0015 to 2.4400% (+0.0119/wk)

* 3 Month -0.0015 to 2.5202% (-0.0047/wk)

* 6 Month +0.0194 to 2.5437% (-0.0049/wk)

* 1 Year +0.0074 at 2.5781% (-0.0409/wk)

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

* Daily Effective Fed Funds Rate: 2.39%, volume: $58B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $161B

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

* Secured Overnight Financing Rate (SOFR): 2.40%, $1.099T

* Broad General Collateral Rate (BGCR): 2.39%, $487B

* Tri-Party General Collateral Rate (TGCR): 2.39%, $447B

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

31-May 0830 Apr personal income (0.1%, 0.3%)

31-May 0830 Apr current dollar PCE (0.9%, 0.2%)

31-May 0830 Apr core PCE price index (0.0%, 0.2%)

31-May 0830 Apr total PCE price index (0.2%, --)

31-May 0900 May ISM-Milwaukee Mfg Index (55.04, --)

31-May 0945 May MNI Chicago PMI (52.6, 53.9)

31-May 1000 May Michigan sentiment index (f) (102.4, 102.0)

31-May 1100 Q2 St. Louis Fed Real GDP Nowcast (+2.80%, --)

31-May 1115 Q2 NY Fed GDP Nowcast (+1.41%, --)

31-May 1200 NY Fed Pres John Williams, 50th Ann Journal of Money, Credit and

Banking conf: MonPol Theory and Practice / Lower Bound on Int Rates", NY

31-May 1500 Apr farm prices

US SWAPS: Spds running wider after the bell, paring move slightly as Tsy ylds

recede late. Limited swap-flow, some mild rate paying in belly ahead month end,

light deal-tied flow. Spd update:

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

Thu 1500    +0.62/5.00     +0.31/+0.25    +0.62/-4.00   +0.88/-26.62

1:45        +0.88/5.25     +0.44/+0.38    +0.88/-3.75   +1.19/-26.31

1200        +0.69/5.06     +0.31/+0.25    +0.75/-3.88   +1.12/-26.38

1045        +0.75/5.12     +0.06/+0.00    +0.44/-4.19   +0.88/-26.62

0900        +0.38/4.75     +0.00/-0.06    +0.38/-4.25   +0.81/-26.69

Thu Open    +0.62/5.00     +0.00/-0.06    +0.25/-4.38   +0.56/-26.94

Wed 1500    +0.94/4.00     +0.25/-0.25    -0.25/-5.12   +0.06/-27.88

Wednesday recap: Spds mostly wider by the bell, short end off highs though spd

curve still flatter w/ steepeners scaling back after 2Y spd hit all-time narrows

late last week. Light deal-tied flow, issuers hit sidelines amid ongoing

US/China risk-off angst. Limited flow included rate paying 2s and 5s, 5s8s9s

receiver fly.

PIPELINE: $1.25B BoNY Mellon and $350M Southern California Gas launched

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

05/30 $1.25B #BoNY Mellon 2NC1 FRN L+28

05/30 $350M #Southern California Gas WNG 30Y +130

05/30 $300M Entergy Mississippi WNG 30Y +140a

-

Only $300M priced Wednesday, $3.3B total for week

05/29 $300M GS Caltex 5Y +100

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +10,000 Sep 75/76 put spds, 6.0 vs. 97.64/0.27%

* -5,000 Sep 76 puts, 8.0

* BLOCK 10,750 Oct 81 calls, 3.5 (1321:44ET)

* +20,000 Sep 73 puts, 0.5

BLOCK, 1146:59ET

* 15,500 Dec 75/78 put over risk reversals vs. 97.63/0.62%

* +40,000 Oct 81 calls w/ Dec 83/86 2x1, 7.5 package vs. 97.73

* +12,000 Dec 71/72/73/75 put condors, 3.0

* +40,000 short Jul 77/78/80/81 put condors (not call), 4.5 vs. 98.10

* over +45,000 Dec 85/87 call strip, 3.0

* 5,500 Mar 70/72 2x1 put spds, 0.5 vs. 97.905BLOCK, 1021:29ET

* 21,000 Oct/Dec 75 put spds, 2.0 vs. 97.625

* 5,000 Green Sep 81/83 call spd vs. Green Sep 77 puts on a 2x3 ratio, 9.0 net,

call spd over

* +5,000 short Jun 77/78 put spds, 1.0

BLOCK, 0942:30ET -- ongoing, adds to 20k bought in pit

* +10,000 Dec 85/87 call strip, 3.0 vs. 97.735/0.12%

* -15,000 short Sep 77/Blue Mar 76 2x1 put spds, 1.0 net/Blue March over (legs

covered 98.11 and 977.945)

* +20,000 Dec 85/87 call strip, 3.0 vs. 97.97.735/0.12%

* -5,000 short Sep 76/80 2x1 put spds, 8.5

* +3,000 Green Jun 78/80 put spds, 1.25

* -3,000 Green Jun 80/81/82 call trees, 5.5

Blocks 0820-0827ET

* -11,814 EDH0 97.915, post time bid (0820:37ET)

* total +20,000 Sep 75/76 put spds 6.0 vs. 97.64/0.27%

Tsy options, Pit/screen:

* 6,100 TYN 124.5/126.5 1x3 call spds, 18/64

* +9,400 FVU 119 calls, 7.5/64

* +4,000 FVQ 118 calls, 9.5/64 earlier

* +6,500 wk1 US 149/149.5/150 put flys, 2/64

* 2,000 TYN 127/128 call spds, 5/64 vs. 125-20

* -3,000 FVN 116.5 straddle earlier at 41.5 - to 41/6

* 2,000 TUQ 106.5/106.75 2x1 put spds, 1/64

* -1,500 TYN 126.5 calls, 17/64

* -2,500 TYN 124.5 puts, 7/64 pre-data

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

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