US TSYS: RISK-OFF UNWINDS, FED KAPLAN CAUTIOUS, EMPLOY FRI

US TSY SUMMARY: Mildly choppy day for rates. Early Tsy bid after ECB left rates

steady, continued to extend session highs into noon hour then gradually pared

move into the close -- Mexico tariff headline sensitivity apparent.

- Risk-off unwinding on dueling Mexico tariff headlines delivering some real-vol

ahead Fri's May employ data. Equities surged to new session highs (ESM9 +19.25)

on headline suggesting possible delay in imposed tariff increase.

- Moderate two-way flow on net, volume well off week's pace, large curve blocks

(TYU/UXYU flattener; FVU/WNU flattener; TUU/UXYU steepener) light deal-tied

hedging, heavy option volume amid ongoing upside (re: rate cut) hedging while

some put buying emerged after Fed Kaplan struck more of a wait and see tone re:

easing.

- On tap for Friday: May nonfarm and private payrolls, unemployment rate and avg

hourly earnings; Apr wholesale inventories and sales; Q2 StL and NY Fed Real GDP

Nowcasts; April consumer credit. Mean est for May NFP holding around+180k to

+185k. The 2-Yr yield is up 2.4bps at 1.8807%, 5-Yr is up 0.8bps at 1.8844%,

10-Yr is down 1.1bps at 2.1243%, and 30-Yr is down 2.4bps at 2.6223%.

US TSY FUTURES CLOSE: Late day chop, risk-off unwinding on dueling Mexico tariff

headlines delivering some real-vol ahead Fri's May employ data. Equities surged

to new session highs on headline suggesting possible delay in imposed tariff

increase. Update:

* 3M10Y  +1.882, -19.07 (L: -25.092 / H: -18.031)

* 2Y10Y  -3.595, 23.988 (L: 23.843 / H: 28.919)

* 2Y30Y  -4.803, 73.954 (L: 73.311 / H: 80.772)

* 5Y30Y  -3.077, 73.784 (L: 72.515 / H: 78.273)

Current futures levels:

* Sep 2-Yr futures down 3/32  at 107-13.625 (L: 107-13 / H: 107-18.25)

* Sep 5-Yr futures down 4/32  at 117-18.25 (L: 117-16 / H: 117-27)

* Sep 10-Yr futures down 1/32  at 126-30.5 (L: 126-26.5 / H: 127-07.5)

* Sep 30-Yr futures up 4/32  at 153-17 (L: 153-05 / H: 154-10)

* Sep Ultra futures up 9/32  at 174-19 (L: 173-27 / H: 176-03)

US EURODLR FUTURES CLOSE: Mostly weaker across the strip by the bell, near

session lows, Reds underperforming. Current White pack (Jun 19-Mar 20):

* Jun 19 -0.007 at 97.557

* Sep 19 -0.015 at 97.885

* Dec 19 -0.035 at 98.020

* Mar 20 -0.050 at 98.195

* Red Pack (Jun 20-Mar 21) -0.075 to -0.065

* Green Pack (Jun 21-Mar 22) -0.055 to -0.03

* Blue Pack (Jun 22-Mar 23) -0.02 to -0.01

* Gold Pack (Sep 22-Jun 23) -0.01 to +0.010

US SWAPS: Spds running mildly wider across the curve in late trade, short end

off early narrows. Consistent if not exactly large rate receivers in 2s through

5s noted in second half, two-way fly action includes 2s4s5s receiver and 2s7s10s

payer. Limited incoming swappable supply and position unwinds contributing to

move. Latest levels:

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

1420        +0.29/5.44     +0.62/+2.19    +0.25/-1.56   +0.75/-27.12

1315        +0.06/5.25     +0.31/+1.88    +0.06/-1.75   +0.56/-27.31

1030        -0.06/5.06     +0.31/+1.88    +0.00/-1.81   +0.81/-27.06

Thu Open    -0.69/4.50     +0.44/+2.00    +0.12/-1.69   +0.50/-27.38

Thu 0745    -0.56/4.62     +0.12/+1.69    +0.00/-1.81   +0.12/-27.75

Wed 1500    +1.06/4.94     +0.56/+1.25    +0.94/-1.94   +0.31/-27.94

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0007 at 2.3460% (-0.0085/wk)

* 1 Month -0.0069 to 2.4116% (-0.0189/wk)

* 3 Month -0.0186 to 2.4530% (-0.0495/wk)

* 6 Month -0.0305 to 2.3778% (-0.1388/wk)

* 1 Year -0.0349 at 2.3476% (-0.1626/wk)

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

* Daily Effective Fed Funds Rate: 2.38%, volume: $71B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $164B

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

* Secured Overnight Financing Rate (SOFR): 2.40%, $1.082T

* Broad General Collateral Rate (BGCR): 2.36%, $481B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $442B

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

07-Jun 0100 SF Fed Pres Mary Daly, Asian Bank/Fin Symposium, Singapore 

07-Jun 0830 May nonfarm payrolls (263k, 180k)

07-Jun 0830 May private payrolls (236k, 175k)

07-Jun 0830 May unemployment rate (3.6%, 3.6%)

07-Jun 0830 May average hourly earnings (0.2%, 0.3%)

07-Jun 0830 May average workweek, all workers (34.4hrs, 34.5hrs)

07-Jun 1000 Apr wholesale inventories (-0.1%, --)

07-Jun 1000 Apr wholesale sales (2.3%, 0.7%)

07-Jun 1100 Q2 St. Louis Fed Real GDP Nowcast

07-Jun 1115 Q2 NY Fed GDP Nowcast

07-Jun 1500 Apr consumer credit ($10.3B, $13.8B)

PIPELINE: Camden upsized, launched

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

06/06 $600M #Camden Property 10Y +107

06/06 $500M *IADB 3Y FRN L+3

06/?? Chatter for next week -- Fiserv jumbo, could be >$10B

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

14:51 06/06 EDT US EURODLR OPTIONS: Latest trade

* 10,000 Dec 67/70/72 2x3x1 put flys, 0.0 net

BLOCKs,

* 10,000 short Sep 81/83 2x1 put spds, 1.0 net (1404:58ET)

* total 20,000 short Dec/Green Dec 77 put spd, 0.5 (1404:31-:33ET)

* 10,000 Dec 68/70/71 put flys, 0.0

* +30,000 Aug 76 puts, 2.0 vs. 97.70/0.15%

* +20,000 short Jun 73 puts, 5.5

* +15,000 Jul 76/78 2x1 put spds, 6.0

* +8,000 Dec 82 calls, 11.5 vs. 98.06/0.34%

* Update, over +70,000 Sep 76/77 2x1 put spds from 0.5 to 0.75 pit/screen

* +15,000 Jul 76/78 2x1 put spds, 6.0

* +10,000 short Jun 98.25 puts, 5.5

* +25,000 short Jun 82 puts, 5.0-5.5 between pit/screen

* 4,000 short Jul 80/81/82 put trees, 1.5

* 4,000 short Oct 87/90 call spds 2.5 over Aug 76 puts

* Update, over +30,000 (incl Block) Red Dec 85/92 1x2 call spds 9.0-9.5 over the

Red Dec 73 puts

BLOCK, 0856:58ET, adds to 20k earlier

* another 10,000 Red Dec20 85/92 1x2 call spds 9.5 over the Red Dec 73 puts

BLOCK, 0835:53ET, adds to pit trade at 9.0

* 10,000 Red Dec20 85/92 1x2 call spds 9.5 over the Red Dec 73 puts

* +10,000 Sep 76/77 2x1 put spds, 0.5

* +4,000 Red Dec 85/92 1x2 call spds 9.0 over the Red Dec 73 puts

* -5,000 Mar 78/85 strangles, 25.0

* 2,500 short Jul 80/81 put spds, 2.5 vs. 98.355/0.10%

Tsy options:

* +20,000 TYU 112.5p, cab-7

* 8,500 FVQ 118.5calls, 20 cvrd

* +5,500 USU 145 puts, 13-14

* +2,500 Wk2 TY 126.5 puts, 3/64

* -2,000 TYU 127 straddles, 211

* -3,000 TYN 126 puts, 8/64

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

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