US TSYS: STRONG RISK-OFF EASES LATE ON US/CHINA TRADE CHATTER

US TSY SUMMARY: Relative quiet start to week despite global risk-off move on

US/China trade and geo-pol concern pick-up. Late risk-off unwinding as equities

pare losses, slow react to US/China trade headlines that representatives will

still meet in DC this week. Otherwise data focus still on April CPI data Fri.

- VIX well off highs at 15.10 (+2.23; 18.80H); equities well off lows, SPX

-10.50 at 2937.0 vs. 2883.5L.

- Much better volume in first half. Two-way flow on net with prop, fast- and

real$ selling 2s-10s, light deal-tied hedging, swap-tied buying in long end

earlier. 3M10Y flattener unwinds.

- On tap for Tuesday: Redbook retail sales m/m; JOLTS job openings level and

quit rates for March; May IBD/TIPP Optimism Index; March consumer credit.

- The 2-Yr yield is down 2.6bps at 2.3067%, 5-Yr is down 3bps at 2.2933%, 10-Yr

is down 2.5bps at 2.4998%, and 30-Yr is down 1.1bps at 2.9077%.

US TSY FUTURES CLOSE: Late risk-off unwinding as equities pare losses, slow

react to US/China trade headlines that representatives will still meet in DC

this week. Curves remain mixed (3M10Y flatter but off lows). Late levels:

* 3M10Y  -2.1, 7.702 (L: 5.134 / H: 8.062)

* 2Y10Y  -0.256, 18.747 (L: 18.323 / H: 23.66)

* 2Y30Y  +1.149, 59.509 (L: 59.019 / H: 60.774)

* 5Y30Y  +1.693, 61.046 (L: 60.686 / H: 61.896)

Current futures levels:

* Jun 2-Yr futures (TU) up 1.625/32  at 106-12.875 (L: 106-12.5 / H: 106-16.75)

* Jun 5-Yr futures (FV) up 5.25/32  at 115-17 (L: 115-15.5 / H: 115-27.25)

* Jun 10-Yr futures (TY) up 9.5/32  at 123-20.5 (L: 123-18 / H: 124-03.5)

* Jun 30-Yr futures (US) up 16/32  at 147-28 (L: 147-21 / H: 148-24)

* Jun Ultra futures (WN) up 21/32  at 165-12 (L: 165-07 / H: 166-20)

US EURODLR FUTURES CLOSE: Paring gains late. risk-off unwinds as China trade

delegation in DC still on. Latest levels:

* Jun 19 +0.010 at 97.455

* Sep 19 +0.025 at 97.515

* Dec 19 +0.030 at 97.525

* Mar 20 +0.040 at 97.630

* Red Pack (Jun 20-Mar 21) +0.040 to +0.055

* Green Pack (Jun 21-Mar 22) +0.040 to +0.050

* Blue Pack (Jun 22-Mar 23) +0.040 to +0.045

* Gold Pack (Sep 22-Jun 23) +0.045 to +0.045

US DOLLAR LIBOR: Latest settles

No LIBOR sets due to May UK bank holiday, resume tomorrow Next lapse in LIBOR

sets is Monday May 27 -- UK Spring bank holiday.

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

* Daily Effective Fed Funds Rate declines to 2.41% from 2.45% last 4 days,

volume: $69B

* Daily Overnight Bank Funding Rate: 2.40%, volume: $170B

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

* Secured Overnight Financing Rate (SOFR): 2.43%, $1.076T

* Broad General Collateral Rate (BGCR): 2.41%, $480B

* Tri-Party General Collateral Rate (TGCR): 2.41%, $462B

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

07-May 0700 Dallas Fed Pres Rob Kaplan

07-May 0855 04-May Redbook retail sales m/m (1.2%, --)

07-May 1000 Mar JOLTS job openings level (7.087M, --) 

07-May 1000 Mar JOLTS quits rate (2.3%, --)

07-May 1000 May IBD/TIPP Optimism Index (54.2, --)

07-May 0700 Fed Board of Gov VC Randal Quarles

07-May 1300 US TSY $38B 3Y note auction (9128286U9)

07-May 1500 Mar consumer credit ($15.2B, $16.4B)

US SWAPS: Spds running tighter after a mixed open, long end leading move with

front end narrowing late morning amid light two-way in front end, deal-tied

hedging still absent but expected to ramp up on increased supply est for week

($35-40B). Latest spd levels:

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

Mon 3:00    -0.44/10.62   -0.31/4.56     -0.50/-1.88   -1.31/-24.69

1:45        -0.31/10.75   -0.38/4.50     -0.62/-2.00   -1.31/-24.69

11:00       -0.38/10.69   -0.19/4.69     -0.38/-1.75   -1.12/-24.50

9:30        +0.31/11.38   +0.19/5.06     -0.12/-1.50   -0.75/-24.12

Mon Open    +0.44/11.50   +0.50/5.38     +0.19/-1.19   -0.38/-23.88

Fri 3:00    -0.12/10.88   +0.06/4.75     -0.38/-1.44   -1.38/-23.69

Friday recap: Continued spd curve flattening shifts to long end lead, limited

late week flow.

PIPELINE: Estimated $35-40B for week

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

05/06 $750M #Public Service Electric & Gas, $375M 10Y +75, $375M 30Y +95

05/06 American Water Capital Corp, 10Y +100a, 30Y +130a

05/06 $600M Consolidated Edison +130a

Potential issuers this month:

05/? $1.25B MGM China 5NC2, 7NC3

05/? Bristol-Myers

05/? IBM

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* +4,000 Dec 76/77/78/80 call condors, 2.0 vs.

* -8,000 Dec 81/82 call spds, 0.5, 1.0 net debit package

* +3,000 short May 76 puts, 1.0

* +5,000 Sep 80 calls, 0.5 vs. 97.50/0.04%

* +4,000 Blue May 76/78 call over risk reversals, 0.5

* +15,000 Mar 80/83 call spds, 4.25 vs.

* -15,000 Mar 72/73 put spds, 2.5, 1.75 net db

* 13,000 Aug 80 calls, 0.5 vs. 97.535/0.05%

* 8,500 Green Jul 81/83 call spds, 2.0 vs. 97.805/0.10%

* +10,000 Red Jun 80/82 call spds, 5.0

* -5,000 Jun 75 calls, 1.0

* 4,000 Blue Jul 73/76 put spds, 4.0

* 4,000 short Jun 73/76 put spds, 3.25

Implieds still bid despite underlying paring back gains slightly after the open

* Update, +6,000 Sep 75 straddles, 13.5 -- not a bad buy if need to cover, for

specs, more risky prospect as vol will implode sharply if (when?) US/China trade

issues get resolved (Chinese negotiators still planning on DC trip this week

despite tariff threats from Trump).

* -9,000 Aug 77/80 1x3 call spds, cab vs. 97.49

* 4,000 Dec 71/72 put spds, 0.5 w/Dec 75/76 call spds 4.0,

* 1,500 Sep 75 straddles, 13.5

Pre-open trade

* +3,000 short Jun 73 puts, 0.5

* 3,500 short Jun 78/80 1x2 call spds, 0.0

* 5,000 Green Dec 70 puts, 1.5 vs. 97.73/0.05%

* 2,000 Dec 71/72/73 put flys

Tsy options, Pit/screen:

* +1,250 TYM 123.75 calls, 50/64

* 1,600 TYM 123.75/124.25/124.5 call flys, 8/64

* -5,000 wk2 TY 123/123.5 put spds, 7/64 earlier

* 2,100 TYU 126 calls, 22/64 vs. 123-22

* 1,400 TYM 123.25/124 call spds, 25/64

* -1,000 TYQ 124 straddles, 1-41/64

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

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