US TSYS: RISK-ON/CARRY-OVER TSY WEAKNESS AFTER FRI'S JOBS DATA

US TSY SUMMARY: Mon kicked off w/risk-on tone, rates held near lows by the

close, curves flatter/off lows. Tsys followed EGBs lower overnight on tighter

core and sovereign spds (voter support for Italian "League" has grown since

Fri), strong Australian retail sales ahead RBA meet early Tue. Back to watching

headlines w/prosaic U.S. data releases on wk, Fed in blackout ahead Jun 13 FOMC

annc.

- USD index weaker/off lows (DXY -.150, 94.006; US$ vs. Yen +0.20, 109.74);

stocks up (emini +13.0, 2745.5); gold off (XAU -1.23 1292.50); West Texas crude

off (WTI -0.94 to 64.87).

- Two-way trade on better selling on modest first half volume, two-way curve

trade, corp issuance hedging. Tsy Correlation to Bunds/Gilts in reaction to

Italian ylds continued through day. Tsys extended session lows midday as

Italy/Bund forged lower. Large Block sale -10k Eurodlr Red Sep19 1Y bundle

(EDU9-EDM0), -0.040 after -16,400 Red Dec'19, 97.03 (-.045), post time bid.

- Tsy cash/ylds: 2Y 99-31.5 (2.504%), 5Y 99-27.25 (2.780%), 10Y 99-15.5

(2.933%), 30Y 100-26 (3.082%).

US TSY FUTURES CLOSE: At or near new session lows by the bell, curves flat,

update:

* 2s10s -0.155, 42.704 (43.453H/41.100L);

* 2s30s -0.181, 57.518 (57.951H/55.535L);

* 5s30s -0.036, 30.026 (30.364H/28.650L);

Current futures levels:

* Sep Ultra bonds down 1-01/32 at 156-26 (156-24L/157-28H)

* Sep 30-yr Bond futures down 23/32 at 143-07 (143-05L/143-31H)

* Sep 10-yr futures down 11/32 at 119-16 (119-15L/119-27H)

* Sep 5-yr futures down 06.75/32 at 113-10 (113-09.75L/113-16.25H)

* Sep 2-yr futures down 03.25/32 at 105-28.25 (105-28.25L/105-31.25H)

US EURODOLLAR FUTURES CLOSE: At or near session lows across the strip. Current

White pack (Jun'18-Mar'19):

* Jun'18 0.000 at 97.6700

* Sep'18 -0.010 at 97.525

* Dec'18 -0.035 at 97.355

* Jun'19 -0.045 at 97.245

* Red pack (Jun'19-Mar'20) -0.055-0.050

* Green pack (Jun'20-Mar'21) -0.050

* Blue pack (Jun'21-Mar'21) -0.050-0.045

* Gold pack (Jun'22-Mar'22) -0.050-0.045

US DOLLAR LIBOR: Latest settles,

* O/N +0.0000 to 1.7120% (+0.0048 last wk)

* 1 Month +0.0082 to 2.0129% (+0.0281 last wk)

* 3 Month -0.0040 to 2.3138% (-0.0003 last wk)

* 6 Month +0.0096 to 2.4840 (-0.0074 last wk)

* 1 Year +0.0160 to 2.7401% (-0.0072 last wk)

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

* Secured Overnight Financing Rate (SOFR): steady at 1.81%, $807B

* Broad General Collateral Rate (BGCR): down to 1.77 vs. 1.78%, $386B

* Tri-Party General Collateral Rate (TGCR): down to 1.77% vs. 1.78%, $380B

US SWAPS: Spds running steady/mixed by the close, wings tighter. Short end lead

move amid pick-up in swappable corp supply ($1B GS 2Y), two-way in 2-5s, 4s5s10s

fly paying the belly, late receiver 30s. Latest spd levels:

* 2Y  -0.81/25.81

* 5Y  +0.00/13.19

* 10Y +0.16/5.69

* 30Y -0.17/-7.57

PIPELINE: $1.35B John Deere, $1B GS leads early week supply

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

06/04 $1.35B #John Deere Capital, $750M 19M FRN, $300M each 5Y fix/5Y FRN

06/04 $1B #Goldman Sachs 2Y +70

06/04 $750M #DBS Group Holdings 10.5NC5.5 +173

06/04 $600M #WEC Energy 3Y +75

06/04 $350M #Tampa Electric WNG 30Y, +125

06/04 $600M PSEG Power 5Y +120a

06/04 $500M Puget Sound Energy 30Y +130a

06/04 $Benchmark Kraft Heinz Foods 3Y +95a, 5Y +130a, long 10Y +175a

06/04 $Benchmark Hyundai Capital America 3Y fix, 3Y FRN, 5Y fix

06/04 $500M CDK Global 8NC3 

06/04 Talk of Danske Bank inaugural US$ issuance 

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

- Jun 05 02-Jun Redbook retail sales m/m (0.1%, --) 0855ET

- Jun 05 May Markit Services Index (final) (55.7, --) 0945ET

- Jun 05 May ISM Non-manufacturing Index (56.8, 57.6) 1000ET

- Jun 05 Jun IBD/TIPP Optimism Index (53.6, --) 1000ET

- Jun 05 Apr JOLTS job openings level (6.55M, --) 1000ET

- Jun 05 Apr JOLTS quits rate (2.3%, --) 1000ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +5,000 Green Dec 65/70 5x2 put sprd vs Green Dec 78 call for 15.5, Note buying

the 5x2 once, selling the call three times

* 4,000 Mar 70/72 2x1 put sprd at 6 vs 9722.5/0.05%

* -8,000 Short Jun 70/71/72 put fly at 5 vs 9717/0.10%

* -8,000 Sep 75/76 put sprd at 8

* +10,000 Short Jul 68/70 put sprd at 2.5 vs 9711/0.20%, note earlier block of

+10k at 3

* 12,500 Short Sep 68 put at 4.5 vs 9709/0.25%

* +22,000 Red Sep 63 puts at 1.5

Block, 10:13:36ET

* 10,000 Short Jul 68/70 put sprd at 3

* 4,000 Mar 70/72/75 put tree at 12 vs 9729/0.05%

* 3,750 Short Sep 71 put at 13 vs 9712.5/0.50%

UPDATE: Total 8,000 Short Sep 71 Straddle at 26

* -6,000 Short Sep 71 Straddle at 26 vs.

* +6,000 Green Mar 66/76 Strangle at 18

* 5,000 Mar 67/70 2x1 put sprd at 2.5 vs 9728/0.09%

Block, 0733:14ET

* 12,500 Jul/Sep 73 put spds, 1.0

Block, 0727:51ET (June options expiring in a couple wks)

* 5,000 Jun 76 calls, 5.5 (mid mkt) vs. 97.67/0.72%

Tsy options, Pit/Screen:

* 4,000 FVN 112.7/113 put strip, 10.5/64 vs.

* 4,000 FVN 113.5/FVU 111.5 put strip, 26/64

* 3,000 TYN 118/119.5 3x1 put spds, 17/64

* 3,000 TYU 117/122 call over risk reversals, 3/64 net vs. 119-20.5/0.22%

* 1,000 TYN 119.5/TYQ 118.5 1x2 put spds, 12/64 net

* 2,800 wk2 TY 128/128.5 call spds, 4/64

* 2,500 wk2 TY 119.5/120/120.2 call trees, 9/64 vs. 119-21

* 1,500 FVQ 113.5 straddles, 55/64

* 1,500 FVU 113.5 straddles, 1-2.5/64

* 1,000 FVN 113/113.5 2x1 put spds, 7.5

* 1,000 FVN 113 calls, 33/64 vs. 113-13/0.50%

Block, 0756:30ET, adding to July 10Y upside call volume

* 9,991 TYN 121/122/123 call flys, 3/64 vs. 119-24/0.10%

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

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