US TSYS: EU DRAGHI STIMULUS MEET US TRUMP/XI TWEET RESISTANCE

US TSY SUMMARY: Tsys trading higher after the bell -- but well off early session

highs amid ongoing headline sensitivity rather than substantive economic data

ahead Wed's FOMC policy annc. 

- Rates surged well before NY open -- following EGBs lead on heels of EU Draghi

comments on potential stimulus,rate cuts if outlook doesn't improve. Tsy 10YY

slipped to 2.0148% low; Bund 10YY -0.07 at -.31, Swedish 10YY 0.0 for first

time. Curves bull flattening (choppy 3M10Y bounces off recent inverted low of

-18.565 to -15.209 late).

- Trump tweet criticizing Draghi comment drew little market react -- but Trump

tweet over "extended" meet w/China's Xi did the trick w/heavy program selling in

rates and heavy buying in equities. Fast- and some real$, prop and trading acct

bought at points on the way down, gamma hedgers squaring ahead Wed's FOMC still

no change expected, June cut chances gained early (Sep or Oct evenly distributed

around 80%, Dec appr 75%. Heavy option trade hedging lower ylds.

- The 2-Yr yield is down 0bps at 1.8684%, 5-Yr is down 2.2bps at 1.834%, 10-Yr

is down 3.6bps at 2.0578%, and 30-Yr is down 3.5bps at 2.548%. 

US TSY FUTURES CLOSE: Trading higher after the bell -- but well off early

session highs, curves extend flatter:

* 3M10Y  -6.2, -15.382 (L: -18.565 / H: -9.951)

* 2Y10Y  -3.127, 18.806 (L: 18.71 / H: 22.748)

* 2Y30Y  -2.686, 68.101 (L: 67.559 / H: 72.03)

* 5Y30Y  -0.722, 71.825 (L: 70.977 / H: 74.277)

Current futures levels:

* Sep 2-Yr futures down 0.25/32  at 107-13.5 (L: 107-12.875 / H: 107-17.625)

* Sep 5-Yr futures up 2/32  at 117-25 (L: 117-20.75 / H: 118-02)

* Sep 10-Yr futures up 6/32  at 127-16.5 (L: 127-06.5 / H: 127-29)

* Sep 30-Yr futures up 14/32  at 155-2 (L: 154-14 / H: 155-30)

* Sep Ultra futures up 30/32  at 177-2 (L: 175-30 / H: 178-08)

US EURODLR FUTURES CLOSE: Steady/mixed in Whites - Reds after the bell, decent

bid persists out the strip. Current White pack (Sep 19-Jun 20):

* Sep 19 +0.000 at 97.900

* Dec 19 -0.015 at 97.995

* Mar 20 -0.005 at 98.195

* Jun 20 -0.005 at 97.285

* Red Pack (Sep 20-Jun 21) steady to +0.005

* Green Pack (Sep 21-Jun 22) +0.010 to +0.020

* Blue Pack (Sep 22-Jun 23) +0.025 to +0.040

* Gold Pack (Sep 23-Jun 24) +0.040 to +0.045

US SWAPS: Spds back to narrowing, unwound near half Mon's bounce earlier after

grinding to new all-time lows last week on forced unwinds/stop-outs. Decent

two-way in 2-5s overnight leaning towards better receiving last few hours, spd

curve steepeners in front end counter to bull flattening in rates. Latest spd

levels:

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

Tue 1500    -0.44/2.69     -0.75/-1.25    -0.44/-5.75   -0.44/-31.81

1345        +0.00/3.12     -0.50/-1.00    -0.75/-6.06   -0.50/-31.88

1200        -0.88/2.25     -1.00/-1.50    -1.19/-6.50   -1.12/-32.50

Tue Open    -0.62/2.50     -0.75/-1.25    -0.69/-6.00   -0.50/-31.88

Tue 0745    -0.44/2.69     -0.56/-1.06    -0.50/-5.81   -0.38/-31.75

Mon 1500    +1.62/3.31     +1.25/-1.00    +1.25/-5.69   +1.50/-31.62

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0052 at 2.3495% (+0.0029/wk)

* 1 Month -0.0074 to 2.3828% (+0.0011/wk)

* 3 Month -0.0319 to 2.3866% (-0.0154/wk)

* 6 Month -0.0107 to 2.2980% (+0.0207/wk)

* 1 Year -0.0224 at 2.2643% (+0.0178/wk)

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

* Daily Effective Fed Funds Rate: 2.38%, volume: $55B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $147B

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

* Secured Overnight Financing Rate (SOFR): 2.41%, $1.098T

* Broad General Collateral Rate (BGCR): 2.38%, $483B

* Tri-Party General Collateral Rate (TGCR): 2.38%, $449B

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

19-Jun 0700 14-Jun MBA Mortgage Applications (26.8%, --)

19-Jun 1030 14-Jun crude oil stocks ex. SPR w/w

19-Jun 1400 FOMC policy annc

19-Jun 1430 US Fed Chair Powell conference

PIPELINE: KEXIM priced earlier. Supply evaporates ahead FOMC

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

06/18 $1B *KEXIM $500M 3Y FRN +52.5, $500M 5Y +62.5

-

$4.2B priced Monday

06/17 $850M *Chile 30Y +95

06/17 $800M *Hyundai Capital AM, $400M 3Y +120, $400M 5Y +155

06/17 $600M *Jackson National Life $300M 5Y +85, $300M 10Y +100

06/17 $600M *ERP Operating 10Y +97

06/17 $500M *Korea Electric Power (KEPCO) 5Y +75

06/17 $500M *KKR Grp Finance WNG 10Y +170

06/17 $350M *Wisconsin Power and Light 10Y +95

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

Not surprisingly, implied vol has receded from morning highs, accelerates

decline after underlying retreated

* 18,750 short Sep 83/86 1x2 call spds 0.0 vs.

* 18,750 Dec 82 calls, 10.5

BLOCKs, 1340:38ET, adds to another 20,000 in pit

* 10,000 short Sep 77/80 put spds, 4.0

* +20,000 short Sep 77/80 put spds, 4.0

BLOCKs, 1311:11ET -- similar to recent Red Mar'21 and Red Jun'21 option blocks,

* -54,969 long Green Sep'21 80 calls 61.0 (OI 56,699 coming into session)

* +23,907 long Green Sep'21 82 calls 48.5 (OI 28,395 coming into session)

* +29,885 long Green Dec'21 85 calls 39.5 (OI 17,527 coming into session)

BLOCK, 1234:53ET -- similar to recent Red Mar'21 option blocks, assuming closer

* -29,036 Red Jun'21 75 calls 100.0 (OI 35,346 coming into session)

* +24,579 Red Jun'21 82 calls 54.0 (OI 38,880 coming into session)

* +25,000 Dec 75/77/80 put flys vs. Oct 77 puts, mostly even

* -10,000 Dec 85/short Sep 88 call spds, 1.5 cr conditional flattener

* +10,000 Jul 76/77/78 put trees, 4.0

* +5,000 Dec 80/81 call spds 1.0 over Dec 76 puts

* -10,000 Oct 76/78/80/81 put condors, cab

BLOCK, 1221:04ET

* -31,833 Red Mar'21 75 calls 97.5 (OI 38,761 coming into session)

* +25,290 Red Mar'21 82 calls 48.5 (OI 32,472 coming into session)

* +20,000 Red Jun'21 100 calls, 3.0 (earlier, paper paid 8.0 for Red pack par

call strip as concern that negative ylds in Bunds, zero in Swedish and French

10Y spreads)

* 10,000 Sep/Jul 81 call spds, 3.25

* +20,000 Red Jun'21 100 calls, 3.0

* -20,000 Dec 71/72/73/75 put condors, 0.75, adds to sale of some 17,500 at 1.0

on Friday, June 7 -- in turn was unwind of decent buying from 1.75-3.0 in late

May/early June

BLOCK, 0925:08ET,

* +30,000 Jun 95/97/100 call flys, 1.5 net

* 18,750 Green Sep 77 puts, 1.0 -- blocked at 0918:04

* 10,000 Dec 71/72/73/75 put condors on screen

* +5,000 Green Dec 73 puts, 1.0 adds to 12k overnight

carry-over rate cut hedge buying Q1 '20

* +5,000 Green Jul 78/81/83 put flys, 6.5

* 6,000 short Jul 82/85 call spds, 13.0

* +3,500 Green Jul 82/85 call spds, 13.0

* -2,000 Oct 82 calls, 10.0

Update totals/details to large package trade:

* -20,000 short Aug 87 calls, 6.0 vs. 98.41/0.21% w/

* -20,000 Dec 82 calls, 13.5 vs. 98.055/0.34% vs.

* +80,000 Mar 90/92 call spds, 3.0 vs. 98.255. March call vertical

bought/Blocked >50k Monday (OI EDH 90c 235k; EDH 92c OI 59k), ongoing interest

as rate cut hedge interest extends to Q1 '20.

Earlier/pre-data flow:

* 3,000 short Jul 85/86/87 call trees, 1.0

BLOCK, 0637:12ET,

* +15,000 short Jul 78/80 put spds 1.0 vs. 98.335/0.05%

Tsy options, Pit/screen:

* +11,300 TYU 118/120.5 put spds, 1/64

* 1,000 FVQ 116.5/116.75/117 put trees, 1

* 1,000 TYN 126.5/126.75 2x1 put spds, 0.0

* 60,000 TYU 119.5/121 1x2 put spds

* +2,500 TYN 130 calls, 1/64

* 1,000 TYN 128.5/129.5/130/130.5 call condors, 5/64 vs. 127-25

* +2,500 TYN 127.75 straddles, 45/64 pre-open

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

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