US TSYS: WHERE'D THE RISK-OFF FI BID GO?

US TSY SUMMARY: Rates bid after the bell but support gradually evaporating ahead

equity close. Tsy yld curves mixed, 3M10Y extended inversion to new 12 year lows

is nearly steady at moment (L:-14.262/H:-8.404). CBoE vol index (VIX) firmer but

well off highs (+0.34 at 17.84; 17.62L/19.04H); equities weaker but well off

lows (ESM9 -23.0).

- Rates surged into midday as risk-off gained momentum, mkt jitters headed into

Spec Counsel Mueller statement re: Russia probe. Mueller announced resignation

from DoJ while reiterating report finding.

- Tsy 7Y note auction (9128286X3) tails -- awarded 2.144% rate vs. 2.125% WI;

2.30 bid/cover vs. 2.49 prior (2.61 avg). Likely month end flow at work as well,

portfolio rebalance support resumed late.

- On tap for Thursday: Weekly jobless claims; Q1 GDP second estimate; Apr

advance goods trade gap, wholesale & retail inventories; NAR pending home sales

index; natural gas and crude oil stocks.

- The 2-Yr yield is down 1.9bps at 2.105%, 5-Yr is down 0.3bps at 2.0661%, 10-Yr

is down 0.5bps at 2.2605%, and 30-Yr is down 1.3bps at 2.6911%.

US TSY FUTURES CLOSE: Firmer well after the bell -- but well off midday highs to

session lows if not lows set early overnight. Yld curves mixed, 3M10Y well off

new 12 year lows tapped earlier, update:

* 3M10Y  -1.319, -9.723 (L: -14.262 / H: -8.404)

* 2Y10Y  +1.737, 15.454 (L: 12.501 / H: 16.059)

* 2Y30Y  +1.398, 58.99 (L: 56.551 / H: 60.193)

* 5Y30Y  -0.483, 62.939 (L: 62.809 / H: 65.454)

Current futures levels:

* Jun 2-Yr futures (TU) up 1.25/32 at 106-24 (L:106-22.5/H:106-26.25)

* Jun 5-Yr futures (FV) up 1.5/32 at 116-17.75 (L:116-16.25/H:116-25.5)

* Jun 10-Yr futures (TY) up 2/32 at 125-14.5 (L:125-12/H:125-27)

* Jun 30-Yr futures (US) up 12/32 at 152-13 (L:152-02/H:153-05)

* Jun Ultra futures (WN) up 17/32 at 171-25 (L:171-08/H:172-27)

US TSY FUTURES: *** Late roll update, over 80% complete ahead 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. Update:

* TUM/TUU appr 1,101,000 from -9.38 to -8.25, -8.25 last, appr 87% complete;

* FVM/FVU appr 1,351,000 from -7.0 to -5.00, -5.0 last, appr 84% complete;

* TYM/TYU appr 1,503,000 from -11.25 to -9.25, -10.25 last, appr 85% complete;

* USM/USU appr 248,000 from 19.50 to 20.25, 20.0 last, appr 84% complete;

* WNM/WNU appr 232,000 from -26.0 to -24.0, -24.25 last, appr 85% complete;

MONTH-END EXTENSIONS: *** PRELIM Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2018; TIPS 0.02Y; Govt inflation-linked, 0.02Y

*.....................Projected...1Y Avg Incr..Last Year

*US Tsys.................0.11........0.08........0.11

*Agencies................0.01........0.07........0.08

*Credit..................0.08........0.09........0.11

*Govt/Credit.............0.10........0.09........0.11

*MBS.....................0.05........0.07........0.07

*Aggregate...............0.09........0.08........0.09

*Long Govt/Credit........0.10........0.10........0.15

*Interm Credit...........0.08........0.08........0.08

*Interm Govt.............0.08........0.08........0.09

*Interm Govt/Cred........0.08........0.10........0.09

*High Yield..............0.04........0.08........0.08

US EURODLR FUTURES CLOSE: Only mildly higher across the strip after the bell,

well off midday highs, short end outperforming (+11k Red pack blocks

+0.045-0.050 earlier). Current White pack (Jun 19-Mar 20):

* Jun 19 +0.007 at 97.485

* Sep 19 +0.015 at 97.630

* Dec 19 +0.015 at 97.740

* Mar 20 +0.015 at 97.925

* Red Pack (Jun 20-Mar 21) +0.010 to +0.015

* Green Pack (Jun 21-Mar 22) +0.005 to +0.010

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

* Gold Pack (Sep 22-Jun 23) +0.005 to +0.005

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0022 at 2.3560% (-0.0005/wk)

* 1 Month +0.0092 to 2.4385% (+0.0104/wk)

* 3 Month -0.0020 to 2.5217% (-0.0032/wk)

* 6 Month -0.0169 to 2.5243% (-0.0243/wk)

* 1 Year -0.0291 at 2.5707% (-0.0483/wk)

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

* Daily Effective Fed Funds Rate: 2.39%, volume: $64B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $161B

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

* Secured Overnight Financing Rate (SOFR): 2.41%, $1.085T

* Broad General Collateral Rate (BGCR): 2.38%, $471B

* Tri-Party General Collateral Rate (TGCR): 2.38%, $438B

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

30-May 0830 25-May jobless claims (211k, 212k) 

30-May 0830 Q1 GDP (2nd) (3.2%, 3.1%)

30-May 0830 Q1 GDP Price Index (0.9%, 0.9%)

30-May 0830 Apr advance goods trade gap

30-May 0830 Apr advance wholesale inventories

30-May 0830 Apr advance retail inventories

30-May 1000 Apr NAR pending home sales index (105.8, --)

30-May 1030 24-May natural gas stocks w/w

30-May 1100 24-May crude oil stocks ex. SPR w/w

30-May 1200 Fed Vice Chair Richard H. Clarida will discuss "Sustaining Maximum

Employment and Price Stability" at the Economic Club of New York Signature

Luncheon, NY

30-May 1630 29-May Fed weekly securities holdings

US SWAPS: Spds mostly wider by the bell, short end off highs though spd curve

still flatter w/ steepeners scaling back after 2Y spd hit all-time narrows late

last week. Light deal-tied flow, issuers hit sidelines amid ongoing US/China

risk-off angst. Limited flow included rate paying 2s and 5s, 5s8s9s receiver

fly.

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

Wed 1500    +0.94/4.00     +0.25/-0.25    -0.25/-5.12   +0.06/-27.88

1345        +1.62/4.69     +0.12/-0.38    -0.38/-5.00   +0.00/-27.94

1030        +1.75/4.81     +0.38/-0.12    -0.31/-4.94   -0.12/-28.06

0900        +0.88/3.94     +0.19/-0.31    -0.62/-5.25   -0.56/-28.50

Wed Open    +0.81/3.88     +0.19/-0.31    -0.62/-5.25   -0.62/-28.56

Tue 1500    -0.06/3.44     +0.00/-0.50    +0.62/-4.62   +0.62/-27.88

Tuesday recap: Spds running steady/mixed, 10-30s holding highs / narrow range

after making move midmorning. Short end, meanwhile, is little changed on the day

after narrowing to all-time lows late last week. 2Y spd narrowing largely due to

decline in 3M LIBOR (-0.0012 to 2.5237%) vs. rise of GC.

PIPELINE: PIPELINE: Consecutive risk-off moves weighing on new issuance

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

05/29 $Benchmark GS Caltex 5Y +100a

-

$3B Priced Tuesday

05/28 $2B *Mastercard $1B 10Y +70, $1B 30Y +95

05/28 $300M *Pennsylvania Electric Co 10Y +135

05/28 $400M *San Diego Gas & Electric Co 30Y +140

05/28 $300M *Southwest Gas WNG 30Y +145

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* 12,000 short Jun 82 calls, 3.0 vs. 98.10/0.25%

* -20,000 short Jul 81/83 call spds, 9.0 vs. 98.165/0.25

* +10,000 Sep 76/77/78/81 call condors 2.0 vs. 97.655/0.05%

* +8,500 Jul 76/77 2x1 put spds, 4.

* -3,500 Blue Sep 80 straddles, 31.0

* 11,000 Dec 75/76 put spds, 5.0 vs.

* 11,000 Green Dec 77/78 put spds, 4.0

* +10,000 Green Jun 81 puts, 4.5 vs. 98.19/0.32% EARLIER

* 8,000 long Green Dec 90/95 call spds, 8.5

* +20,000 Dec 81/83/86 call flys, 1.5

* +5,000 Aug 77/80 and 78/80 call spd strip, 4.75

* +2,000 Blue Mar 80 straddles, 47.5 earlier

BLOCK, 0857:00ET,

* +20,000 Sep 75/76 put spds, 6.0 vs. 97.645/0.27%

* another +20,000 in pit

* 40,000 Aug 78/80 call spds, 1.25

* +7,500 Dec 72/73 put spds, 1.0

* +5,000 Mar 78/80 call spds 1.5 over 75 puts

* 5,000 Green Mar 80/82 call spds, 10.5 vs.

* 7,500 Green Mar 75 puts, 4.0

* 3,500 Green Jun 80/81/82 call trees, 4.5

* 4,000 Dec 73/75/76 2x3x1 put flys, 1.0 net/belly over

Some overnight trade highlights, volu,e near 600k after the open

* appr 80,000 Mar 83 calls and

* appr 77,700 Mar 80 calls, largely tied to 2x3 call spd

* 31,900 Sep 75 puts

* +10,000 short Sep 81/83/85/87 call condors, 6.0

* +6,600 Green Dec 72 puts, 1.0

* 5,900 Red Jun20 77 puts, 11.5

BLOCK, 0707:37ET,

* 12,500 Green Dec 73 puts, 1.5

Tsy options, Pit/screen:

* +5,971 USN  145/149 strangles, 3-16/64 vs. 152-00/0.85%

BLOCK, 1231:17ET

* 7,500 TYN 124.5 calls, 1-40/64

* 1,000 USN 152/153/156/158 call condors, 18/64 vs. 152-23

* appears some 18,000 FVN 115.75/116.25 2x1 put spds traded in small pieces on

screen at 2.5

* 5,800 TUU 107.12 calls on screen from 15.5- to 16/64

* -6,000 USU 149 puts, 52/64 vs. 152-07

* +2,000 TYN 124 puts, 4/64

* +3,000 TYU 122/128 strangles, 33/64

* +3,500 TUQ 106.5/106.75 2x1 put spds, 1/64

* 1,000 TYN 125.5/TYU 126 straddle spds

* 1,500 wk5 TY 126 straddles, 28/64

* +12,000 FVN 117.75 calls, 6- to 7/64 vs. 116-28

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

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