US TSYS: MONTH-END CONSOLIDATION, G20 FOCUS

US TSY SUMMARY: Rates weaker/off lows to near middle session range. Choppy month

end trade, decent spike in volume on the close (>100k TYU pushed total volume in

Sep 10Y >1.15M), large -17k FVU block sale at 118-05.25 (over 60k FVU into the

close). 

- Focus on Osaka G20 and US/China trade negotiations over data (Trump/Xi meeting

at 2230ET), otherwise quiet/consolidative ahead next week's shortened

Independence Day holiday closure Thursday, NFP on Friday.

- Muted/delayed react to another weak PMI at 49.7, first sub-50 reading since

January 2017.

- Not much new from Dallas Fed's Kaplan (non-voter) on Fox in early trade,

remains fairly patient on next move: too soon to change the stance of monetary

policy.

- Large option trade/blocks still favor upside (rate cut) insurance, paper

opened on appr 38k Red Sep'20/Red Dec'20 93/96/97/100 call condor strip.

- The 2-Yr yield is up 0.2bps at 1.7469%, 5-Yr is down 0.8bps at 1.7615%, 10-Yr

is down 1.4bps at 2%, and 30-Yr is down 0.4bps at 2.5256%.

US TSY FUTURES CLOSE: Choppy month end trade, decent spike in volume on the

close (>100k TYU pushed total volume in Sep 10Y >1.15M), large -17k FVU block

sale at 118-05.25. Yld curves mostly steeper, update: 

* 3M10Y  +3.512, -9.459 (L: -14.943 / H: -8.768)

* 2Y10Y  -1.003, 25.505 (L: 25.305 / H: 27.799)

* 2Y30Y  +0.323, 78.352 (L: 77.538 / H: 80.114)

* 5Y30Y  +0.907, 76.695 (L: 75.02 / H: 77.157)

Current futures levels:

* Sep 2-Yr futures down 0.875/32 at 107-18.625 (L: 107-17.625 / H: 107-19.625)

* Sep 5-Yr futures down 0.25/32 at 118-4.75 (L: 118-00.5 / H: 118-05.75)

* Sep 10-Yr futures steady at at 127-30 (L: 127-22 / H: 128-00)

* Sep 30-Yr futures down 4/32 at 155-19 (L: 155-05 / H: 155-22)

* Sep Ultra futures down 6/32 at 177-18 (L: 176-28 / H: 177-24)

US EURODLR FUTURES CLOSE: Moderately lower across much of the strip, Blues-Golds

outperforming. Current White pack (Sep 19-Jun 20):

* Sep 19 -0.005 at 98.00

* Dec 19 -0.015 at 98.090

* Mar 20 -0.025 at 98.285

* Jun 20 -0.030 at 98.375

* Red Pack (Sep 20-Jun 21) -0.03 to -0.02

* Green Pack (Sep 21-Jun 22) -0.015 to -0.01

* Blue Pack (Sep 22-Jun 23) -0.01 to steady

* Gold Pack (Sep 23-Jun 24) -0.005 to steady

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0155 at 2.3703% (+0.0228/wk)

* 1 Month -0.0043 to 2.3980% (-0.0063/wk)

* 3 Month +0.0010 to 2.3198% (-0.0294/wk)

* 6 Month -0.0128 to 2.2005% (-0.0196/wk)

* 1 Year -0.0065 at 2.1781% (-0.0240/wk)

US SWAPS: Spds are running wider across the curve by the close, the highest or

least inverted levels in two to three weeks, while the 2Y spd is appr 5.0bps

higher after going mildly inverted for the first time ever early Tuesday. Drop

in swappable issuance partially to blame. Current spd levels:

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

Fri 1500    +1.62/5.31     +1.38/-0.69    +1.50/-4.56   +1.06/-31.62

1315        +1.75/5.44     +1.50/-0.56    +1.62/-4.44   +1.19/-31.50

1100        +1.75/5.44     +1.56/-0.50    +1.31/-4.75   +1.12/-31.56

0930        +1.31/5.00     +1.25/-0.81    +1.19/-4.88   +1.06/-31.62

Fri Open    +1.25/4.94     +1.00/-1.06    +1.09/-5.00   +0.94/-31.75

Thu 1500    +0.56/3.38     +0.50/-2.31    +0.58/-6.31   +0.38/-33.44

Thursday recap: Spds running modestly wider across the curve amid rather decent

rate paying in 2s around 1.7820-1.7821, and 10s at 1.9570%, receiver flys in

2s3s5s and 2s5s10s since late morning. Note spds near steady to last Friday's

late levels while the 2Y spd is over 3.0bp wider after inverting for the first

time ever early Tuesday. 

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

* Daily Effective Fed Funds Rate: 2.38%, volume: $76B

* Daily Overnight Bank Funding Rate: 2.36%, volume: $180B

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

* Secured Overnight Financing Rate (SOFR): 2.42%, $1.117T

* Broad General Collateral Rate (BGCR): 2.40%, $469B

* Tri-Party General Collateral Rate (TGCR): 2.40%, $437B

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

01-Jul 0215 Fed VC Clarida, Bank of Finland mon-pol conf, Helsinki

01-Jul 0945 Jun Markit Mfg Index (final) (50.1, --)

01-Jul 1000 May construction spending (0.0%, 0.00%)

01-Jul 1000 Jun ISM Manufacturing Index (52.1, 51.2)

01-Jul 1130 US TSY $36B 13W bill auction (912796SL4)

01-Jul 1130 US TSY $36B 26W bill auction (912796RT8)

PIPELINE: No new high-grade issuance on tap for Friday as yet

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

Only $10.6B priced on week vs. $15B est.

-

No new high-grade issuance Thursday

-

$1.15B priced Wednesday

06/26 $800M *Weibo Corp 5Y +172.5

06/26 $350M *MassMutual Global Funding 3Y +52

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* 4,000 Jul 77/78 call spds, 11.5

* 2,100 Blue Mar 82 straddles, 45.5

* +5,000 Sep 73/75 put spds, cab

* +2,500 Mar 92/97 2x3 call spds, 7.5 adds to 10k Block

* +2,500 Jul/Green Jul 82/83 2x1 put spd spd, 3.5

Updates latest trade, 7k in pit, 21.9k Blocked at 1021-1038ET

* total +38,900 Red Sep 93/96/97/100 call condors from 3.0

* total +38,900 Red Dec 93/96/97/100 call condors from 3.5, 6.5 total condor

strip

* -25,000 Jul 80/81 call spd, 3.25

* +25,000 Aug 80/81 call spd, 5.0, 1.75 net

Block, 0929:27ET,

* 15,000 Aug 78/80/81 1x1.5x1 call flys, 6.25 net

* +20,00 Dec 86/87 call spds, 1.25

* -10,000 Oct 83 calls, 4.0

* +15,000 Aug 76/77 put spds, 1.25

Block, 0902:57ET,

* 10,000 short Mar 92/97 2x3 call spds, 7.5 net

* 6,000 Mar 80/82/85 call flys, 3.5

* just over 15,000 Dec 83 calls on screen overnight, 7.0

* over 9,000 short Jul 81/82/83 put trees, 3.0 on screen

Block, 0733:27ET,

* 6,000 Dec 86/87 call spds, 1.25 vs. 98.115/0.06%

Tsy options/Pit/screen:

* -1,500 TYQ 128 calls, 37

* 2,200 TYQ 127.5/129.5 2x3 call spds, 110

On screen

* over +15,000 USU 149 puts, 14/64

* over +10,000 TYQ 126.5 puts, 11- to 12/64

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

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