US TSYS: RISK-OFF REVERSAL, OR JUST TOO FAR/TOO FAST?

US TSY SUMMARY: Rates retreat as week opener's risk-off tone cools, Trump admin

attempts to contain US/China trade war angst. VIX reverses (-2.65,

17.90/19.65H); equities regain appr half Mon's selloff (ESM9 +38.0, 2845.0); Tsy

yld curves steeper with 3M10Y rebounding from extended inversion earlier

(+3.312, 2.572, L: -2.394 / H: 2.908).

- Dearth of relevant economic data again, main focus on Wednesday: April retail

sales; May Empire Manufacturing Index; April industrial production/capacity

utilization; March business inventories; May NAHB home builder index; TICS data.

- Flow includes Jun/Sep Tsy rolling as volume gradually accelerates, moderate

deal-tied hedging, fast$ two-way in front end, real$ and program sellers

intermediates to long end.

- The 2-Yr yield is up 1.6bps at 2.2047%, 5-Yr is up 1.7bps at 2.1998%, 10-Yr is

up 2bps at 2.421%, and 30-Yr is up 2.1bps at 2.8571%.

US TSY FUTURES CLOSE: Tsys retrace as wk opener risk-off tone cools, futures

near low end session range on moderate volume (TYM>1.1M), curves steeper with

3M10Y rebounding from extended inversion earlier. Update: 

* 3M10Y  +3.312, 2.572 (L: -2.394 / H: 2.908)

* 2Y10Y  +0.293, 21.396 (L: 20.676 / H: 22.147)

* 2Y30Y  +0.339, 64.907 (L: 64.223 / H: 65.894)

* 5Y30Y  +0.339, 65.476 (L: 64.166 / H: 66.035)

Current futures levels:

* Jun 2-Yr futures (TU) down 1.25/32 at 106-19 (L: 106-18.875/H: 106-21.25)

* Jun 5-Yr futures (FV) down 3/32 at 115-30.25 (L: 115-29.25/H: 116-03.25)

* Jun 10-Yr futures (TY) down 4/32 at 124-9.5 (L: 124-08/H: 124-17)

* Jun 30-Yr futures (US) down 12/32 at 149-3 (L: 149-02/H: 149-20)

* Jun Ultra futures (WN) down 20/32 at 166-28 (L: 166-26/H: 167-22)

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 32,700 from -7.12 to -6.88, -7.0 last;

* FVM/FVU appr 59,000 from -4.75 to -4.0, -4.5 last;

* TYM/TYU appr 21,400 from -9.0 to -8.25, -8.5 last;

* USM/USU appr 2,400 from 20.25, 20.25 last;

* WNM/WNU appr 11,100 from -21.0-20.5, -20.75 last;

US EURODLR FUTURES CLOSE: Steady to mildly lower after the bell, low end narrow

range w/futures scaling back small portion Mon's risk-odd tone. Current White

pack (Jun 19-Mar 20):

* Jun 19 -0.005 at 97.498

* Sep 19 steady at 97.610

* Dec 19 -0.005 at 97.650

* Mar 20 -0.005 at 97.785

* Red Pack (Jun 20-Mar 21) -0.01 to -0.005

* Green Pack (Jun 21-Mar 22) -0.01 to -0.005

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

* Gold Pack (Sep 22-Jun 23) -0.01 to steady

US DOLLAR LIBOR: Latest settles resume 

* O/N -0.0018 at 2.3433% (-0.0130/wk)

* 1 Month -0.0020 to 2.4376% (-0.0114/wk)

* 3 Month +0.0065 to 2.5245% (-0.0033/wk)

* 6 Month -0.0368 to 2.5508% (-0.0362/wk)

* 1 Year -0.0330 at 2.6392% (-0.0541/wk)

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

* Daily Effective Fed Funds Rate: 2.38%, volume: $67B

* Daily Overnight Bank Funding Rate: 2.36%, volume: $161B

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

* Secured Overnight Financing Rate (SOFR): 2.38%, $1.007T

* Broad General Collateral Rate (BGCR): 2.35%, $475B

* Tri-Party General Collateral Rate (TGCR): 2.35%, $446B

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

15-May 0700 10-May MBA Mortgage Applications

15-May 0830 Apr retail sales (1.6%, 0.2)

15-May 0830 Apr retail sales ex. motor vehicle (1.2%, 0.7%)

15-May 0830 Apr retail sales ex. mtr veh, gas (0.9%, --)

15-May 0830 May Empire Manufacturing Index (10.1, 8.0)

15-May 0915 Apr industrial production (-0.1%, 0.0%)

15-May 0915 Apr capacity utilization (78.8%, 78.7%)

15-May 1000 Mar business inventories (0.3%, 0.0%)

15-May 1000 May NAHB home builder index (63.0, --)

15-May 1000 May Atlanta Fed inflation

15-May 1030 10-May crude oil stocks ex. SPR w/w

15-May 1600 Mar net TICS flows

15-May 1600 Mar long term TICS flows

US SWAPS: 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. Latest spd levels:

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

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

1:45        -0.25/7.75     -0.62/2.31     -0.50/-3.62   -0.31/-27.88

12:00       +0.12/8.12     -0.50/2.44     -0.12/-3.25   -0.12/-27.69

10:30       +0.06/8.06     -0.44/2.50     -0.12/-3.25   -0.19/-27.75

Tue Open    +0.12/8.12     -0.31/2.62     +0.00/-3.12   +0.06/-27.50

Mon 3:00    -1.88/8.19     -1.12/2.94     -1.38/-3.00   -2.00/-27.44

Monday recap: Spds collapsed in early trade, directionally tighter w/lower Tsy

ylds, decent rate receiving since the open adding to move: 3s at 2.1146%, 5s

around 2.2177-2.2323%, 10s at 2.393$%, decent sized 3s5s10s payer fly.

PIPELINE: $11.65B to price on the day, $4B #Waste Management 5-part lead

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

05/14 $4B #Waste Management 5-part launch

----  $750M 5Y +75, $750M 7Y +90, $1B 10Y +105, $500M 20Y +115, $1B 30Y +130

05/14 $2B #Caterpillar Fncl $750M 2Y +47, $750M 2Y FRN L+39, $500M 5Y +70

05/14 $2B #Suntrust Bank $1.35B 3Y +65, $650M 3Y FRN L+59

05/14 $1B #Fidelity National WNG 10Y +135

05/14 $750M #Avangrid 10Y +140

05/14 $400M #NSTAR Electric 10U +85

05/14 $1B *Nordic Investment Bank 5Y +6a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* +15,000 Dec 77/80 call spds vs. -22,500 Dec 73 puts, 4.0 net db

* -10,000 Jun 78 straddles, 18.0

* +/-10,000 Sep 73 puts, 0.5

* +6,000 Dec 73/75/76 3x5x2 call flys, 0.0

* +6,000 Dec/short Dec 73 put spds, 0.0 short Dec over

* +10,000 Dec 72/73 put spds, 2.0

* +5,000 Dec 68/71/73 put flys, 2.0

* -5,000 Sep 75/76 call spds, 5.5

* Update, >+80,000 Jun 77 calls, cab

* 10,000 Sep 73 puts, 0.5 vs. 97.625/0.10%

* Update, over +35,000 Green Dec 71 puts, 1.5 vs. 97.85 to 97.86/0.05%

* +25,000 Green Dec 71 puts, 1.5 vs. 97.85/0.05%

* 10,000 Dec 72/73 put spds, 2.0vs. 97.625/0.10%

* 5,000 short Sep/short Mar 80 straddle spds, 17.0

* +2,500 Green Sep 80 calls, 14.5 vs. 97.955/0.46%

* +50,000 Jun 77 calls, cab

* +25,000 Oct 80/82 call spds, 2.5 vs. 97.675/0.10%

* +10,000 Jul 75/76 1x2 call spds, 1.75

* +5,000 Jul 73/75 put spds, 1.25

* +20,000 (pit/Block) Mar 78/81 call spds vs. Mar 73 puts on 2x3 ratio, 5.5 on

package/call spd over

* +3,000 Sep 75/78 put over risk reversals, 1.0 vs. 97.605/0.47%

Block, 0227ET

* -20,000 Mar 76/78 call spds, 10.5

     ##################################

Tsy options, Pit/screen:

* +6,700 TYM 122.5/123.5 3x1 put spds, 2/64

* +5,000 TYM 123 puts, 1/64

* +3,400 FVN 116 straddles, 48.5/64

* +5,000 FVN 116/FVU 114.75 1x2 put spds, 3/64 net

* +7,000 TYN 124.5/TYU 122.5 1x2 put calendar/diagonal spd, 3.0 net

* -2,000 USN 153 calls, 12/64 vs. 148-20

* 1,000 TYM 124.25/124.5 strangles, 32/64

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

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