This means that a federal judge concluded that there is good reason to believe that Senator Burr engaged in insider trading and that evidence of his insider trading is contained on his cell phone. https://twitter.com/jdawsey1/status/1260752039241568256

For example, his phone could contain text messages or IMs with others discussing his stock trades.

To obtain this warrant, prosecutors would need to show that Burr used the phone to discuss his trading activity.

Or more broadly, they could show that Burr used the phone to engage in discussion that indicated that he was aware of non-public information, that he encouraged others to trade on that non-public information, or that he tried to hide information regarding his trading activity.