US TSYS: YLDS BOUNCE, TSY SEC REPEATS US/CHINA TRADE HOPES

US TSY SUMMARY: Very quiet midweek trade as futures drift around late session

lows after the bell, moderate volume (TYU 1.2M) as 10YY rebounds +.0653bp to

2.0503%, curves mostly steeper. 

- Carry-over risk-on move after comments from Tsy Sec Mnuchin on US/China

(nothing concrete or even new: "hopeful will see a deal", Trump/Xi have "close

working relationship", Mnuchin told CNBC). Nevertheless, algos and fast$ running

with it, taking opportunity to reverse Tue's gains, long end currently back near

Mon's late highs. Yld curves mostly steeper.

- Little react to SF Fed Daly comments: "`UNCOMFORTABLE' INFLATION LOWER THAN

TARGET" bbg, "MAY HAVE TO DO MORE TO DRIVE INFLATION ABOVE 2% TARGET" bbg.

Meanwhile, short end pricing of 50bp cut at July FOMC continues to ebb (25Bp

still on the table).

- Soft $41B 5Y note auction (9128286Z8), awarded 1.791% vs. 1.785% WI (awarded

2.065% in May; 2.524% avg), bid/cover 2.35 vs. 2.38 previous (2.49 avg). 

- The 2-Yr yield is up 3.9bps at 1.7709%, 5-Yr is up 7.3bps at 1.7968%, 10-Yr is

up 6.4bps at 2.0485%, and 30-Yr is up 4.9bps at 2.5681%.

US TSY FUTURES CLOSE: Drifting around late session lows on moderate volume (TYU

1.2M) as 10YY rebounds +.0653bp to 2.0503%, curves mostly steeper. Update:

* 3M10Y  +3.974, -10.126 (L: -14.267 / H: -10.042)

* 2Y10Y  +2.630, 27.534 (L: 23.257 / H: 28.267)

* 2Y30Y  +1.055, 79.385 (L: 76.154 / H: 81.105)

* 5Y30Y  -2.301, 76.863 (L: 75.708 / H: 78.8)

Current futures levels:

* Sep 2-Yr futures down 4.375/32 at 107-17.625 (L: 107-17 / H: 107-22.25)

* Sep 5-Yr futures down 11/32 at 117-30.5 (L: 117-30.25 / H: 118-10.5)

* Sep 10-Yr futures down 17.5/32 at 127-18.5 (L: 127-18 / H: 128-06)

* Sep 30-Yr futures down 1-0/32 at 154-29 (L: 154-28 / H: 156-01)

* Sep Ultra futures down 1-12/32 at 176-9 (L: 176-08 / H: 177-30)

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

pricing of 50bp cut at July FOMC continues to ebb (25Bp still on the table).

Current White pack (Sep 19-Jun 20):

* Sep 19 -0.045 at 97.995

* Dec 19 -0.070 at 98.090

* Mar 20 -0.070 at 98.295

* Jun 20 -0.075 at 98.385

* Red Pack (Sep 20-Jun 21) -0.08 to -0.07

* Green Pack (Sep 21-Jun 22) -0.065 to -0.06

* Blue Pack (Sep 22-Jun 23) -0.065 to -0.06

* Gold Pack (Sep 23-Jun 24) -0.07 to -0.065

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0093 at 2.3540% (+0.0065/wk)

* 1 Month -0.0018 to 2.4023% (-0.0020/wk)

* 3 Month +0.0186 to 2.3298% (-0.0194/wk)

* 6 Month +0.0170 to 2.1997% (-0.0204/wk)

* 1 Year +0.0359 at 2.1832% (-0.0189/wk)

US SWAPS: Spds directionally wider with bounce in Tsy ylds, short end off first

time inversion breached Tuesday. Limited flow, some rate paying in 5s on day.

Current spd levels:

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

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

1315        +3.06/2.94     +0.19/-2.88    +0.38/-7.38   +1.12/-34.25

1115        +3.25/3.12     +0.19/-2.88    +0.50/-7.25   +0.75/-34.62

0945        +3.00/2.88     +0.00/-3.06    +0.12/-7.62   +0.50/-34.88

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

Tuesday recap: 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. 

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: $164B

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

* Secured Overnight Financing Rate (SOFR): 2.41%, $1.101T

* Broad General Collateral Rate (BGCR): 2.40%, $475B

* Tri-Party General Collateral Rate (TGCR): 2.40%, $446B

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

27-Jun 0830 22-Jun jobless claims (216k, 220k)

27-Jun 0830 Q1 GDP (3rd) (3.1%, 3.2%)

27-Jun 0830 Q1 GDP Price Index (0.8%, 0.8%)

27-Jun 1000 May NAR pending home sales index (104.3, --)

27-Jun 1030 21-Jun natural gas stocks w/w

27-Jun 1100 Jun Kansas City Fed Mfg Index (4, 1)

27-Jun 1300 US Tsy $32B 7Y note auction (9128287B0)

27-Jun 1500 May farm prices

27-Jun 1630 26-Jun Fed weekly securities holdings

PIPELINE: High grade issuance dries up

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

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

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

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* -18,500 short Aug 86/88 1x2 call spds, 2.5

* 10,000 Aug 78/80/81 1x call fly, 2.0 net

* -10,000 Oct 82/85 2x3 call spds, 9.0 earlier

* 10,000 Sep 81/82 1x2 call spds on screen

* +10,000 Mar 73 puts, 1.0 vs. 98.27/0.05%

* +5,000 Aug 77/78/80 put flys, 2.25

* +25,000 short Dec 80/88 call over risk reversals, 3.0 vs. 98.47/0.44%

* 10,000 Red Sep20 91/96 1x2 call spds, 6.0

Block, 1040:42ET

* +10,000 Jun/Mar 95/97 1x2 call spd strip, 1.5

* another -40,000 Oct 78/80 put spds, 4.0 vs. 98.115/0.12% -- adds to 40k Block

sale earlier

* +5,000 Green Dec 88 calls, 6.0 vs. 98.41/0.20%

* Update, -5,500 short Jul/short Aug 85 straddle strips this morning from 46.5

to 46.0

* +10,000 Jul 77 puts, 0.5

* 5,000 Dec 76/80 2x1 put spds, 7.0 vs. 98.135/0.16

* +2,500 Green Dec 83 straddles, 41.5

* +4,000 short Dec 77/78 put spds, 1.5

* +4,500 Jun 97/100 call spds, 0.5

Block, 0932:13-:51ET

* total -40,000 Oct 78/80 put spds, 4.0 vs. 98.115/0.12%

* +9,000 Aug 76 puts, 0.75

* -7,000 Sep 80/82 1x2 call spds, 8.0 vs. 98.01/0.14%

* -4,000 short Jul 81/82 put spds, 1.0

* 2,000 Aug 77/78/80 call trees, 0.0

Recapping overnight Blocks:

* +10,000 short Jul 80 calls, 6.0 (0329:49ET)

* +15,000 short Dec 80/Blue Dec 78 put spds, 0.5 flattener (0432-0438ET)

* +5,000 Green Mar 82/85 call spds 3.0 over Mar 80 puts (0443:59ET)

* +10,000 Green Mar 82/85 call spds 6.0 over the Mar 78 puts (0600:22ET)

Tsy options, Pit/screen:

* +2,500 TYQ 126/127/128 m2x3x1 put flys, 3/64

* +2,500 TYU 131 calls, 10/64

* 1,500 TYQ 128 straddles, 1-21

* +2,000 TUQ 107/107.38 2x1 put spds vs. TUQ 108/108.25 call spds, 1/64 net

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

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