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USDCAD drops 40 pips post Canadian data

US TSY FUTURES

Reversing Initial Bid Post-Data

US EURODLR OPTIONS

BLOCK, Red Dec Put Spd

UK T-BILL AUCTION RESULTS

1/3/6-month UKTBs (repost)

US TSYS/BILLS
US TSYS/BILLS: VIEW: Goldman Sachs note that "according to ICI, the week ending
June 17 marked the 5th consecutive week of outflows from gov't only money funds.
These AUM declines, taken together with elevated dealer inventories of T-bills &
recent auction results, suggest demand for bills may have peaked, and additional
bill supply could give rise to bill cheapening. The additional supply could
occur as a result of a 'Phase 4' fiscal package that is larger than the $500bn
we have currently penciled in. However, we see two potentially mitigating
factors. 1) Prime funds, which have seen a resumption of inflows since April,
have added to their holdings of bills over the last two months as CP-bill
spreads have tightened & CP issuance has dropped; further prime fund inflows
could alleviate supply-driven cheapening to some extent. 2) Recent bill auction
sizes have been trimmed as Tsy cash balances remain high, and we suspect net
issuance could fall short of Tsy's borrowing estimates in the remainder of 2Q20,
and/or in 3Q20. Even if Tsy does not curtail bill issuance over the next few
months, we project that net bill supply will turn very sharply negative in Q4,
which in our view means any near-term cheapening is unlikely to persist."
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com