US TSYS: GEO-POL RISK VS. POLICY INDEPENDENCE DEBATE

US TSY SUMMARY: Tsys trading firmer after the bell, rebounding off post

Fed-speak lows to near top end of range. Tsys back near last Thu's highs when

10YY fell to 1.9719 (Nov 2016 levels), currently 1.9901%. Futures volumes near

twice Mon's close. Yld curves mostly flatter, 3M10Y extends inversion. Equities

extend session lows late, ESM9 -30.0.

- Despite strong 2Y auction, short end slammed after less than dovish tone from

Fed's Bullard and Powell. July 25Bp cut still priced in while yesterday's appr

46% chance of 50Bp cut at next FOMC moderates slightly.

- Rates rebound, however, after less than dovish tone from Fed's Bullard and

Powell. July 25Bp cut still priced in while yesterday's appr 46% chance of 50Bp

cut at next FOMC moderates slightly.

- STRONG US Tsy $40B 2Y note auction (9128287A2) awarded a 1.695% rate (2.125%

on prior $40B May auction) vs. 1.705% WI, bid/cover 2.58 vs. 2.75 previous (2.83

avg). 

- The 2-Yr yield is down 0.1bps at 1.7318%, 5-Yr is down 1.8bps at 1.7292%,

10-Yr is down 2.3bps at 1.9918%, and 30-Yr is down 1.7bps at 2.5278%.

US TSY FUTURES CLOSE: Trading firmer after the bell, rebounding off post

Fed-speak lows to near top end of range. Healthy volume nearly twice Mon's

anemic lvls, yld curves mostly flatter. Update:

* 3M10Y  -2.830, -12.643 (L: -14.271 / H: -9.895)

* 2Y10Y  -2.187, 25.796 (L: 24.596 / H: 28.613)

* 2Y30Y  -1.381, 79.608 (L: 76.995 / H: 82.354)

* 5Y30Y  +0.391, 79.906 (L: 76.65 / H: 81.697)

Current futures levels:

* Sep 2-Yr futures up 0.25/32 at 107-21.875 (L: 107-19.875 / H: 107-23.875)

* Sep 5-Yr futures up 3.25/32 at 118-9.25 (L: 118-04.25 / H: 118-13)

* Sep 10-Yr futures up 6/32 at 128-4 (L: 127-28.5 / H: 128-08)

* Sep 30-Yr futures up 14/32 at 155-27 (L: 155-09 / H: 156-02)

* Sep Ultra futures up 19/32 at 177-17 (L: 176-28 / H: 178-00)

US EURODLR FUTURES CLOSE: Short end lagging stronger levels out the strip by the

bell. Less dovish 1-2 Fed speak from Bullard and chair Powell hammered the short

end, tempering July 50Bp rate cut chances slightly. Current White pack (Sep

19-Jun 20):

* Sep 19 -0.010 at 98.040

* Dec 19 steady at 98.160

* Mar 20 +0.010 at 98.370

* Jun 20 +0.020 at 98.465

* Red Pack (Sep 20-Jun 21) +0.025 to +0.030

* Green Pack (Sep 21-Jun 22) +0.030 to +0.035

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

* Gold Pack (Sep 23-Jun 24) +0.035 to +0.045

US DOLLAR LIBOR: Latest settles resume 

* O/N -0.0045 at 2.3447% (-0.0028/wk)

* 1 Month +0.0024 to 2.4041% (-0.0002/wk)

* 3 Month -0.0216 to 2.3112% (-0.0380/wk)

* 6 Month -0.0271 to 2.1827% (-0.0374/wk)

* 1 Year -0.0314 at 2.1473% (-0.0548/wk)

US SWAPS: New first for swap spds -- inverted across the curve in early trade,

2Y spd went negative for first time, decisive move implying some payer unwinds,

receiver in 5s at 1.803%, spd curve steepeners. Current spd levels:

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

Tue 1500    -0.38/0.12     -0.62/-2.88    -0.38/-7.50   -0.06/-34.81

1330        -0.19/0.31     -0.12/-2.38    +0.44/-6.69   +1.25/-33.50

1200        -0.44/0.06     -0.69/-2.94    -0.50/-7.62   -0.38/-35.12

1045        -0.38/0.12     -0.69/-2.94    -0.50/-7.62   -0.44/-35.19

0900        -0.31/0.19     -0.56/-2.81    -0.25/-7.38   +0.44/-34.31

Tue Open    -1.00/-0.50    -0.81/-3.06    -0.62/-7.75   -0.06/-34.81

Mon 1500    -1.25/0.88     +0.06/-2.38    -0.38/-7.12   -1.00/-34.62

Monday recap: Spds running tighter across the board, short end sub-1.0 and

headed towards inversion for the first time ever. Swap-tied flow includes

ongoing payer unwinds, some light deal-tied flow in the mix. Large TUU Block buy

late likely swap related w/short end collapsing. 

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

* Daily Effective Fed Funds Rate: 2.38%, volume: $63B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $164B

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

* Secured Overnight Financing Rate (SOFR): 2.39%, $1.092T

* Broad General Collateral Rate (BGCR): 2.38%, $469B

* Tri-Party General Collateral Rate (TGCR): 2.38%, $439B

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

26-Jun 0700 21-Jun MBA Mortgage Applications (-3.4%, --)

26-Jun 0830 May durable goods new orders (-2.1%, -0.3%)

26-Jun 0830 May durable new orders ex transport (0.0%, 0.1%)

26-Jun 0830 May advance goods trade gap (-$72.1B, -$71.8B)

26-Jun 0830 May advance wholesale inventories (0.8%, 0.5%)

26-Jun 0830 May advance retail inventories (0.5%, 0.3%)

26-Jun 1030 21-Jun crude oil stocks ex. SPR w/w 

26-Jun 1130 SF Fed Pres Daly, Forecasters Club NY

26-Jun 1300 US Tsy $41B 5Y note auction (9128286Z8)

PIPELINE: Waiting for Toyota to price

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

06/25 $1.5B #Toyota Motor $500M each: 3Y +48, 5Y +63, 10Y +77

06/25 $300M AIG Global Funding 3Y +65

06/25 $300M *UDR WNG 10Y +125

06/25 $Benchmark Bank of Montreal 5Y +90a

-

$6.35B Priced Monday

06/24 $2.5B *Enterprise Products Operating LLC $1.25B 10Y +110, $1.25B 30Y +165

06/24 $1.75B *American Honda Finance $750M 3Y +55, $500M 3Y FRN L+54, $500M 5Y

+70

06/24 $1.4B *Dominion Energy 2Y +97, 5Y +132

06/24 $400M *Ventas Realty 5Y +100

06/24 $300M *Public Service/New Hampshire WNG 30Y +105

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +22,500 Aug 77/78/80 put flys, 1.75

* +18,000 Mar 92 calls, 2.0

* 10,000 Jun 95/100 call spds, 2.25

* -15,000 Aug 78/80 call spds 2.5 over Dec 83 calls

Block, 1330:00ET,

* 7,500 Sep 80/81 2x3 call spds 0.5 over Sep 77 puts x2

Block, 1105:43ET, Note CME has incorrect leg prices on the August spd

* 15,000 Jul/Aug 78/81 call spd spd adds to 10k in pit where paper +July over

Aug, 1.5 net db

* 10,000 Jul/Aug 78/81 call spd spd, 1.5 -- sources say July bought over

* +5,000 short Dec 87/90/92/95 call condors, 5.0

* 7,000 Mar 93 calls, 1.5

Block, 1024:40-:56ET,

* total 20,000 Dec 82/85 call spds 4.5 over the Dec 77 puts vs. 98.18/0.36%

* +10,000 Jul 77/78 put spds, 1.0

* 5,000 Sep 82/Mar 85 put spds, 8.0

* 2,000 Blue Aug 85/87 call spds, 4.0

* +5,000 Green Dec 83 straddles, 41.5

Recapping salient overnight screen and Blocks:

* 20,000 Aug 77/78/80 put flys

* 10,000 short Jul 86 calls, 5.5

* 5,000 Sep 81/82 call spds

* -40,000 Jul 80/Aug 81/Sep 80 call trees, 0.5-1.0/Jul and Aug sold over,

blocked early overnight

Tsy options, Pit/screen:

* over 9,000 USU 134/135 put strips, 4/64, 5,500 on screen

* 3,000 TYU 131 calls, 15/64 vs. 128-08

* Update, >13,000 TYQ 122.5/125 put spds, 2/64

* 3,000 TYQ 122.5/125 put spds, 2/64

* +2,000 TYU 129/130.5 1x2 call spds, 4/64

*  1,400 FVQ 119/119.5 call spds, 7/64

* 15,307 TYU 136.5 calls, 2/64 on screen

* 18,000 TYU 136 calls, 2/64 also on screen

* +2,500 TYU 130/131/132 call trees, 1/64

* -2,000 TYQ 128 straddles, 1-23/64 earlier

* 7,900 TYQ 130 calls on screen, 10/64

* -4,000 TYU 130 calls, 20/64 vs. 127-31.5

* +3,000 TYQ 126/127/128 2x3x1 put flys, 2x3x1 put flys, 4/64 net

* 2,000 wk2 TY 126.5/127.2/128 2x3x1 put flys, 1/64 net/wings over

* 2,100 wk2 TY 125 puts, 2/64 vs. 127-29

* 3,000 TYU 129.5 calls, 26/64

Earlier flow/, screen/blocks

* over 13,000 FVQ/FVU 119 call spds, 8.5/64 on screen adds to 20k Block early

overnight

* 20,000 TYQ 127.5/128.5 call spds blocked, 31/64

* 20,000 TYU 128.5/129.5/130 call trees blocked, 0.0

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

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