US TSYS: QUIET RATE BID INTO G20 EVENT RISK, TRADE TALK

US TSY SUMMARY: Rates strong, at/near late session highs by the bell, moderate

volume (TYU>1.1M), 10YY -.0346bp at 2.0123%, curves back to flattening. Focus on

G20 and US/China trade negotiations over data. 

- Midday comments on US/China trade from Trump admin advisor Kudlow spurred

renewed bid in rates as long end extended session highs into the second half --

mkt trepidation as Kudlow says US "MAY MOVE AHEAD ON ADDITIONAL CHINA TARIFFS". 

- Equities initially pared gains on Kudlow comment before clawing higher later

in second half. 

- Early chatter over unlikely possibility that next week's employment release

could be pushed out a week if Pres Trump decrees extended federal holiday/4-day

weekend for Independence day holiday, see 0646ET bullet.

- Final leg US TSY supply today: $32B 7Y note auction (9128287B0) auction traded

through w/strong participation; awarded 1.889% rate vs. 1.894% WI (previous $32B

7Y awarded 2.144%); 2.44 bid/cover vs. 2.30 prior (2.61 avg).

- The 2-Yr yield is down 3bps at 1.7389%, 5-Yr is down 3.2bps at 1.7631%, 10-Yr

is down 4.1bps at 2.0054%, and 30-Yr is down 4.5bps at 2.5242%.

US TSY FUTURES CLOSE: US Tsys extending session highs across the board in late

trade, more a dearth of offers than headline triggered it appeared. Yld curves

hold flatter, equities near top end of session range. Update:

* 3M10Y  -3.445, -13.659 (L: -14.175 / H: -8.739)

* 2Y10Y  -0.968, 26.421 (L: 25.883 / H: 28.142)

* 2Y30Y  -1.385, 78.272 (L: 76.902 / H: 80.367)

* 5Y30Y  -1.179, 76.087 (L: 74.315 / H: 77.44)

Current futures levels:

* Sep 2-Yr futures up 1.875/32 at 107-19.25 (L: 107-15.25 / H: 107-19.625)

* Sep 5-Yr futures up 6.25/32 at 118-4.75 (L: 117-25.75 / H: 118-05.75)

* Sep 10-Yr futures up 10/32 at 127-29 (L: 127-12 / H: 127-30.5)

* Sep 30-Yr futures up 23/32 at 155-22 (L: 154-18 / H: 155-26)

* Sep Ultra futures up 1-8/32 at 177-21 (L: 175-27 / H: 177-27)

US EURODLR FUTURES CLOSE: Moderately higher across the strip, just off the top

end session range. Current White pack (Sep 19-Jun 20):

* Sep 19 +0.015 at 98.005

* Dec 19 +0.015 at 98.105

* Mar 20 +0.020 at 98.310

* Jun 20 +0.025 at 98.405

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

* Green Pack (Sep 21-Jun 22) +0.025 to +0.030

* Blue Pack (Sep 22-Jun 23) +0.025 to +0.030

* Gold Pack (Sep 23-Jun 24) +0.025 to +0.030

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0008 at 2.3548% (+0.0073/wk)

* 1 Month +0.0000 to 2.4023% (-0.0020/wk)

* 3 Month -0.0110 to 2.3188% (-0.0304/wk)

* 6 Month +0.0136 to 2.2133% (-0.0068/wk)

* 1 Year +0.0014 at 2.1846% (-0.0175/wk)

US SWAPS: 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. Current spd levels:

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

1345        +0.56/3.38     +0.50/-2.31    +0.53/-6.38   +0.38/-33.44

1200        +0.19/3.00     +0.44/-2.38    +0.28/-6.62   -0.06/-33.88

1030        +0.44/3.25     +0.44/-2.38    +0.53/-6.38   +0.31/-33.50

Thu Open    +0.25/3.06     +0.00/-2.81    +0.22/-6.69   +0.38/-33.44

Wed 1500    +2.81/2.69     +0.06/-3.00    +0.62/-7.12   +1.19/-34.19

Wed Open    +2.81/2.69     +0.12/-2.94    +0.25/-7.50   +0.88/-34.50

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

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

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

* Daily Effective Fed Funds Rate: 2.38%, volume: $70B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $172B

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

* Secured Overnight Financing Rate (SOFR): 2.43%, $1.099T

* Broad General Collateral Rate (BGCR): 2.43%, $473B

* Tri-Party General Collateral Rate (TGCR): 2.43%, $441B

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

28-Jun 0830 May personal income (0.5%, 0.3%)

28-Jun 0830 May current dollar PCE (0.3%, 0.2%)

28-Jun 0830 May total PCE price index (0.2%, --)

28-Jun 0830 May core PCE price index (0.3%, 0.2%)

28-Jun 0900 Jun ISM-Milwaukee Mfg Index (47.83, --)

28-Jun 0945 Jun MNI Chicago PMI (54.2, --)

28-Jun 1000 Jun Michigan sentiment index (f) (97.9, --)

28-Jun 1100 Q2 St. Louis Fed Real GDP Nowcast (3.26%, --)

28-Jun 1115 Q2 NY Fed GDP Nowcast (1.39%, --)

28-Jun 1200 16/17 grain stocks

28-Jun 1520 SF Fed Pres Daly, Aspen Ideas Festival, Aspen, Col, Q&A

PIPELINE: No new high-grade issuance on tap for Thursday so far

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

$1.15B priced Wednesday, $10.6B/wk

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

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

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* 11,500 short Sep 78/80/81/85 call condors, 12.0 vs. 98.46/0.27%

* +5,000 Sep 80/Oct 81 call spds, 2.5

* total 20,000 (half blocked) Sep 75 puts, 0.5 vs. 97.98

* +6,000 short Aug 86/88/91 call flys, 3.5 vs. 98.475/0.10

* -6,000 short Aug 86/88 1x2 call spds, 2.5

* Update, total +15,000 Sep 77/78 put spds vs. selling Oct 77 puts, 0.0 net

* +80,000 Mar/Jun 95/97 1x2 call spd strip, 1.0

* +10,000 Aug 75/76 put spds, 0.5

* +10,000 Sep 77/78 put spds vs. selling Oct 77 puts, 0.0 net

* -4,000 Oct 82/83 call strip, 12.5

* 3,000 Oct 78/80 put spds, 4.25

* +10,000 Green Mar 72 puts, 1.0 vs. 98.30/0.05%

* -3,500 Sep/short Sep 77/78 put spd spd, conditional steepener collect 2.25

* 2,000 Blue Aug 82 straddle, 23.0

* 2,000 Aug 81/82/83 call flys, 2.5

Block, 0745:50ET, sold/blocked at same level last week

* +5,000 Green Dec 83/85 call spds, 5.0 vs. 98.35/0.09%

Block, 0704:21ET -- adding to +15k earlier

* another +5,000 Aug 78/80/81 call trees, 3.5 vs. 97.99/0.47%

Tsy options, Pit/screen:

* +7,000 wk1 FV 117.5/118.7 call over risk reversals, 1.5/64 vs. 118-03.7/0.38%

* +6,000 FVU 119 calls, 17/64 vs. 118-50/0.28%

* +4,000 TYU 130 calls, 15/64 vs. 127-22/0.17%

* +5,000 USU 147 puts, 10/64

* 2,000 wk4 TYM 127.75 straddles, 20/64

* wk4 TYM vs. wk2 TYN 127.75 straddle spd on a 1x2 basis, 46/64 net

Recapping overnight trade/blocks

* 13,000 TYQ 127.75/128.5 call spds vs. TYQ 126.25 put, 3/64 net

* >30,000 TYQ 126 puts, 10/64 (15k blocked)

* 10,000 USU 147 puts, 10/64 vs. 154-21/0.05% block

* 20,000 FVU 117.25/117.75 put spds, 13.5 block

* 9,500 FVQ 118.75 calls, 8/64

* 6,900 TYQ 125 puts, 3/64

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

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