US TSYS: TRAUMATOPHOBIA, MKT FEAR OF TRADE WAR PHOBIA

US TSY SUMMARY: - Broadly higher across the curve, off highs on modest risk-off

unwinds in second half, algos selling late.

- Limited data, week opener all about China trade headlines. Risk assets in

retreat early as US/China trade angst resumed Sunday -- Trump gives China a

month to agree on a trade deal, threatens more tariffs; China blames Trump for

trade set-backs, will retaliate w/5%-25% tariffs on nearly 2,493 US goods ($60B)

on June 1. 

- Late Pavlovian response: Tsys trim gains, equities pare losses on latest China

related headlines: MNUCHIN SAYS U.S.-CHINA TRADE TALKS ARE STILL ONGOING, CNBC;

TRUMP SAYS HE HAS NOT MADE THE DECISION TO GO AHEAD WITH TARIFFS ON ANOTHER $325

BILLION IN GOODS FROM CHINA, Rtrs.

- VIX higher (+3.83, 19.87/21.32H) still off last wk 4M highs (23.38); equities

weak (ESM9 -73.75, 2813.25) but off 2802.0L. 

- Jun/Sep Tsy roll volume accelerates, decent swap-tied buying across curve 

- The 2-Yr yield is down 8.4bps at 2.1823%, 5-Yr is down 8.7bps at 2.1764%,

10-Yr is down 7.1bps at 2.3962%, and 30-Yr is down 5.2bps at 2.8346%.

US TSY FUTURES CLOSE: Broadly higher across the curve, off highs on modest

risk-off unwinds in second half, algos selling as Tsy Sec Mnuchin, Pres Trump

try to soften tone of China trade tariffs. Update: 

* 3M10Y  -4.58, -0.307 (L: -2.297 / H: 1.171)

* 2Y10Y  +1.584, 21.28 (L: 19.668 / H: 22.165)

* 2Y30Y  +3.227, 64.878 (L: 62.335 / H: 66.428)

* 5Y30Y  +3.103, 65.28 (L: 63.088 / H: 66.721)

Current futures levels:

* Jun 2-Yr futures (TU) up 3.625/32 at 106-20.25 (L: 106-16.625/H: 106-21.5)

* Jun 5-Yr futures (FV) up 9.5/32 at 116-1.25 (L: 115-24/H: 116-04)

* Jun 10-Yr futures (TY) up 14.5/32 at 124-14 (L: 124-00/H: 124-18)

* Jun 30-Yr futures (US) up 25/32 at 149-14 (L: 148-22/H: 149-23)

* Jun Ultra futures (WN) up 31/32 at 167-13 (L: 166-13/H: 167-26)

US TSY FUTURES: *** Late session roll update, but starting to see some calendar

spds trading w/ 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 56,000 from -7.12 to -6.25, -7.0 last;

* FVM/FVU appr 33,000 from -4.75 to -3.5, -4.5 last;

* TYM/TYU appr 37,400 from -9.0 to -7.75, -8.75 last;

* USM/USU appr 1,500 from 20.25-20.5, 20.25 last;

* WNM/WNU appr 3,200 from -21.25 to -20.0, -21.0 last;

US EURODLR FUTURES CLOSE: Well bid across the strip, off highs by the bell

w/modest risk-off unwinds. Current White pack (Jun 19-Mar 20):

* Jun 19 +0.018 at 97.503

* Sep 19 +0.050 at 97.610

* Dec 19 +0.070 at 97.655

* Mar 20 +0.090 at 97.790

* Red Pack (Jun 20-Mar 21) +0.090 to +0.095

* Green Pack (Jun 21-Mar 22) +0.075 to +0.085

* Blue Pack (Jun 22-Mar 23) +0.060 to +0.070

* Gold Pack (Sep 22-Jun 23) +0.055 to +0.060

US DOLLAR LIBOR: Latest settles resume 

* O/N -0.0112 at 2.3451% (-0.0215 last wk)

* 1 Month -0.0094 to 2.4396% (-0.0176 last wk)

* 3 Month -0.0098 to 2.5180% (-0.0320 last wk)

* 6 Month +0.0006 to 2.5876% (-0.0303 last wk)

* 1 Year -0.0211 at 2.6722% (-0.0522 last wk)

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

* Daily Effective Fed Funds Rate: 2.38%, volume: $73B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $154B

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

* Secured Overnight Financing Rate (SOFR): 2.40%, $1.034T

* Broad General Collateral Rate (BGCR): 2.37%, $490B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $455B

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

14-May 0600 Apr NFIB Small Business Index (101.8, --)

14-May 0830 Apr imports price index (0.6%, 0.8%)

14-May 0830 Apr exports price index (0.7%, --)

14-May 0855 11-May Redbook retail sales m/m (1.3%, --)

14-May 1245 KC Fed Pres George, on economy, MN

US SWAPS: Spds collapsed in early trade, off narrows late but still

directionally tighter w/lower Tsy ylds. Flow: 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. Latest spd levels:

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

Mon 3:00    -1.75/8.31     -1.12/2.94     -1.38/-3.00   -2.00/-27.44

1:30        -1.94/8.12     -1.31/2.75     -1.62/-3.25   -2.12/-27.56

9:45        -1.69/8.38     -1.06/3.00     -1.25/-2.88   -2.25/-27.69

Mon Open    -0.19/9.88     -0.38/3.69     -0.56/-2.19   -0.88/-26.31

Fri 3:00    -0.31/9.88     -0.06/4.00     +0.12/-1.62   -0.25/-25.50

PIPELINE: Slow start to week, supply est appr $25-$30B

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

05/13 $1B Nordic Investment Bank 5Y +7a

-

No new issuance Friday, Quiet end after $51.6B priced on week

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* 25,000 Oct 80/82 call spds, 2.5 vs. 97.67/0.10%

* +3,000 Sep/Dec 72/73/75 put fly strip, 5.0

* +4,000 short Jul 75/76/77 put trees, 1.75

* +5,000 Dec 72/75 put spds, 6.0

* -6,000 Mar 68/71/73

* +10,000 Green Dec 70 puts, 1.0 vs. 97.88/0.05

* -8,000 Green Dec 75/78 put spds, 14.0

BLOCK, 1333:14ET, still offered

* +13,000 short Jul 75 puts, 1.0

* +14,000 Sep 73 puts .75 vs. 97.605/0.05%

* 5,000 Green Sep 73 puts, 1.5 vs. 97.91/0.05%

* +10,000 Dec 72/73 put spds, 2.0 vs. 97.635/0.10% -- ongoing buyer (pit, screen

and Block)

* +7,500 Sep 72/73/75/76 put condors, 6.0

* 10,500 Mar 78/81 4x5 call spds vs. 42,000 Mar 73 puts, 7.0-8.5 net/call spd

over

1.5 net credit call spd spd package:

* +20,000 Mar 80/83 call spds, 3.5 over Mar 73 puts vs.

* -40,000 Sep 78/Dec 80 call spds 2.5 cr/Dec over

* 10,000 Oct 76/78/80 1x1x2 call trees, .25 net (78/80 calls over)

* +5,000 Mar 78/81 call spds, 7.0

* +13,000 Mar 80/82 call spds, 5.5

* 2,000 Dec 85/87 call strip, 2.5

* +20,000 Dec 72/73 put spds2.0 vs. 97.62/0.10%

* 5,000 Dec 72/73/75 put flys, 2.5

* +5,000 Green Jun 78/80/82 call flys, 0.5

* +5,000 Oct 77/80 call spds, 4.75

* -2,500 short Sep 78/81 2x3 call spds, 7.5

* 3,250 Jul 75/76 1x2 call spds, 2.0

* 2,000 short Jul 80/85/90 call flys, 6.0

* 2,000 short Jun 77/78/80/ call trees, 1.5

* 10,000 short Jun 77/78/81 call flys on screen

* 6,000 short Sep 77/78 call spds, 4.0 over the short Sep 75 puts

* 5,000 Blue Sep 80/82 call spds, 5.0

* -1,500 Blue Jun 78 straddles, 17.0

* 8,000 short Jul 77 puts, 4.0 vs. 97.955

* 3,250 Red Jun20 70/75 2x1 put spds, 6.0

* 1,500 Green Dec 76/81 call over risk reversals 3.5 vs. 97.885/0.62%

* 4,000 Mar 75/80 call over risk reversals 2.0 vs. 97.715/0.60%

* +2,000 Dec/short Dec 73 put spds, cab

* ongoing buyer Dec 72/73 put spd on screen at 2.0 after 5k Block

Tsy options,Pit/Screen:

* 2,800 FVM 116.5 calls, 6/64

* 2,800 TYN 124.5 calls, 48/64 vs. 124.23.5

* 6,000 TYM 124.5/125, 11- to 12/64 vs. 124-18/0.20%

* -10,000 TYN 126.5 calls on screen, 10/64

* 1,500 TYN 125 calls, 32/64 vs. 124-22

* 1,100 FVM 115/115.75 put spds, 6/64

* +1,000 TYM 125/126 1x2 call spds, 4/64

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

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