US TSYS: RECESSION METRIC COOLING? 3M10Y YLD SPD GAPS STEEPER

US TSY SUMMARY: Near lows of the week, post auction selling after large tail in

30Y R/O evaporating late while others reported steady buying in intermediates to

long end. Huge two-day Yld curve steepening since yesterday (3M10Y appr 20bp

largest since Nov 2016). Block buys short end contributing.

- Rates under pressure earlier amid fresh round of selling in lead up to Fed

Chair Powell taking podium to testify in the Senate. Early flow included prop

and fast$ buying dip here after bout of bank and real$ selling 10s and 30s.

- Other Fed speakers said to lean on rates as well: Atlanta Fed Pres Bostic

(non-voter, leans dove) sounded circumspect on policy easing ('does not want to

front-run conversation' on cutting rates in July); Richmond Fed Pres Barkin

(non-voter) in 'wait and see' mode.

- Big tail Tsys sell off after $16B 30Y Bond auction re-open (912810SH2) awarded

2.644% rate (2.607% previous) vs. 2.617% WI; 2.13 bid/cover (2.32 previous, 2.43

avg). The 2-Yr yield is down 8.5bps at 1.8216%, 5-Yr is down 5.3bps at 1.8259%,

10-Yr is down 0.5bps at 2.0595%, and 30-Yr is up 3.3bps at 2.5729%.

US TSY FUTURES CLOSE: Little off lows of the week, post auction selling after

large tail in 30Y R/O evaporating late while others reported steady buying in

intermediates to long end. Huge two-day Yld curve steepening since yesterday

(3M10Y appr 20bp largest since Nov 2016). Update:

* 3M10Y  +9.263, -2.506 (L: -17.775 / H: -1.807)

* 2Y10Y  +3.759, 26.916 (L: 22.185 / H: 28.225)

* 2Y30Y  +3.905, 78.512 (L: 73.153 / H: 80.898)

* 5Y30Y  +0.938, 75.757 (L: 73.138 / H: 78.099)

Current futures levels:

* Sep 2-Yr futures down 2.5/32 at 107-10.25 (L: 107-10.125 / H: 107-14.625)

* Sep 5-Yr futures down 8.75/32 at 117-15 (L: 117-13.75 / H: 117-27.75)

* Sep 10-Yr futures down 16.5/32 at 126-29.5 (L: 126-27.5 / H: 127-20.5)

* Sep 30-Yr futures down 1-8/32 at 153-13 (L: 153-04 / H: 155-03)

* Sep Ultra futures down 2-5/32 at 174-02 (L: 173-15 / H: 176-28)

US TSY FUTURES CLOSE: Reposting as long end coming under renewed selling after

the bell -- nearing post-auction lows, 3M10Y making new highs as short end

continues to outperform. Update:

* 3M10Y  +9.787, -1.982 (L: -17.775 / H: -1.726)

* 2Y10Y  +4.079, 27.236 (L: 22.185 / H: 28.225)

* 2Y30Y  +4.736, 79.343 (L: 73.153 / H: 80.898)

* 5Y30Y  +1.639, 76.458 (L: 73.138 / H: 78.099)

Current futures levels:

* Sep 2-Yr futures down 2.5/32 at 107-10.25 (L: 107-10.125 / H: 107-14.625)

* Sep 5-Yr futures down 9/32 at 117-14.75 (L: 117-13.75 / H: 117-27.75)

* Sep 10-Yr futures down 17.5/32 at 126-28.5 (L: 126-27.5 / H: 127-20.5)

* Sep 30-Yr futures down 1-14/32 at 153-9 (L: 153-04 / H: 155-03)

* Sep Ultra futures down 2-16/32 at 173-23 (L: 173-15 / H: 176-28)

US TSYS/30Y: Big tail Tsys sell off after $16B 30Y Bond auction re-open

(912810SH2) awarded 2.644% rate (2.607% previous) vs. 2.617% WI; 2.13 bid/cover

(2.32 previous, 2.43 avg). Indirects drew 49.99% vs. 60.78% prior (48.26 avg),

16.78% directs vs. 15.14% prior (12.79% avg), and 33.23% for dealers vs. 24.08%

prior (38.95% avg).

US EURODLR FUTURES CLOSE: At/near session lows across the strip, short end

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

* Sep 19 -0.020 at 97.910

* Dec 19 -0.025 at 97.990

* Mar 20 -0.040 at 98.160

* Jun 20 -0.040 at 98.250

* Red Pack (Sep 20-Jun 21) -0.055 to -0.045

* Green Pack (Sep 21-Jun 22) -0.075 to -0.06

* Blue Pack (Sep 22-Jun 23) -0.085 to -0.075

* Gold Pack (Sep 23-Jun 24) -0.085 to -0.085

US DOLLAR LIBOR: Latest settles

* O/N +0.0043 at 2.3590% (+0.00108/wk)

* 1 Month -0.0441 to 2.3250% (-0.0415/wk)

* 3 Month -0.0362 to 2.3033% (-0.0081/wk)

* 6 Month -0.0497 to 2.2126% (+0.0028/wk)

* 1 Year -0.0925 at 2.1932% (+0.0016/wk)

US SWAPS: Spds hold a largely narrow range by the bell, mostly wider with long

end extending tighter after the 30Y R/O. Spds were mildly mixed after CPI, spd

curve mildly steeper for most of the session. Limited swap-tied flow w/ some

deal-tied selling in fronts to intermediates coming into the session, mild rate

receiving from props in short end into the post-data sale. Current levels:

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

Thu 1500    +0.38/4.50     +0.25/-0.50    +0.19/-5.06   -1.12/-33.19

1345        +0.50/4.62     +0.31/-0.44    +0.12/-5.12   -1.31/-33.00

1200        -0.12/4.00     +0.25/-0.50    +0.38/-4.88   -0.38/-32.06

1030        -0.31/3.81     -0.06/-0.81    +0.38/-4.88   +0.19/-31.50

0845        -0.31/3.81     -0.06/-0.81    +0.38/-4.88   +0.19/-31.50

Thu Open    -0.12/4.00     +0.06/-0.69    +0.06/-5.19   -0.50/-32.19

Wed 1500    +2.38/4.62     +1.81/-1.25    +1.00/-5.25   -0.12/-31.88

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

* Daily Effective Fed Funds Rate: 2.41%, volume: $78B

* Daily Overnight Bank Funding Rate: 2.40%, volume: $167B

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

* Secured Overnight Financing Rate (SOFR): 2.46%, $1.139T

* Broad General Collateral Rate (BGCR): 2.45%, $510B

* Tri-Party General Collateral Rate (TGCR): 2.45%, $482B

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

12-Jul 0830 Jun Final Demand PPI (0.1%, 0.1%)

12-Jul 0830 Jun PPI ex. food and energy (0.2%, 0.2%)

12-Jul 0830 Jun PPI ex. food, energy, trade (0.4%, 0.2%)

12-Jul 1000 Chi Fed Pres Evans on trade & economy, Chicago, Q&A

12-Jul 1100 Q3 StL Fed Real GDP Nowcast (2.89%, --)

12-Jul 1115 Q3 NY Fed GDP Nowcast (1.48%, --)

PIPELINE: $6.5B Mitsubishi UFJ Fncl Grp (MUFG) 4-part launched late

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

07/11 $6.5B #Mitsubishi UFJ Fncl Grp (MUFG): $2.25B 3Y +78, $1B 5Y +90, $1.75B

10Y +105, $1.5B 20Y +108

07/11 $1B #Nationwide 11NC10 fix-FRN +185

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: (Reminder, July options expire tomorrow)

* 5,000 Mar 83 puts, 1.0 vs. 98.87/0.05%

* 10,000 Mar 92/93 call spds, 1.5

* +4,000 Mar 77/78/80 put trees, 1.5

Additional flow from midday

* -4,500 Green Mar 82 straddles, 43.0

* +4,000 Blue Oct 78/83 strangles, 9.5

* -4,000 Oct 78/82 strangles, 10.0

* -5,000 short Mar 80 put / Blue Mar 77 put spds, 2.5 cr bear curve steepener

* -20,000 Sep 78/77 put spds, 3.75

* -5,000 Jun 91/100 call spds, 3.5

* 4,000 Jun 82/85 call spds, 9.0 vs. 98.215

* 16,000 Jun 92/95 call spds, 1.5

* 10,000 short Jul 83 calls, 0.5

* 16,000 Oct 77 puts vs. Dec 75/77/80 put flys, 4.5 net cr/Dec sold over

* +3,500 Oct 77/83 strangles, 5.0

* >17,000 Jul/Aug 78/80 call spd spd, 0.5 net

* 8,000 short Mar 92/93 call spds, 1.5 vs. 98.43

* +10,000 Aug 80/81 call spds, 2.5

* +5,000 Nov 81/83 1x2 call spds, 2.25

* >7,000 Jul/Aug 78/80 call spd spd, 0.5

* 3,500 Aug 78/80 strangles, 7.5

* Block total of 20,000 Sep 77/78 put spds, 3.5, hearing sale

Block, 0809:15ET,

* 10,000 Sep 77/78 put spds, 3.5

Block, 0548:12ET

* 10,000 Oct 78 puts, 5.0 vs. 98.045/0.25%

Tsy options, Pit/screen:

Block, 1136:43ET, traders say offered at 5/64 in the pit

* +24,336 FVU 117.25 puts, 17.5/64

* -24,054 FVQ 117.5 puts, 11.5

* 5,000 TUU 106.5 puts, 1/64 vs. 107-08.5/0.05%

* +/-5,000 FVU 119 calls, 5/64

O/N Block recap

* 13,000 TYQ 128.25 calls, 9/64

* 10,000 FVQ 118 calls, 11/64

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

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