US TSYS: CARRY-OVER FI WEAKNESS AS TRADE CONCERNS COOL

US TSY SUMMARY: Tsys hold weaker levels/near session lows by the bell. Decent

futures volume (TYU>1.22M) on relative narrow range.

- Tsy ylds in-line w/strong US$ index, DXY +0.533 to 94.766; US$/Yen near highs,

+.21 to 111.28(111.25H/110.59L); equities softer (emini -4.25, 2837.0); gold

weak (XAU -7.78, 1223.83); West Texas crude mildly higher (WTI +0.3, 69.6).

- Futures extended session lows earlier as US$ bounced after ECB/Draghi presser

weighed on EUR. Yld curves continue to unwind early wk steepening. Sources

reported cash bid for 5s, pre-auction short sets, two-way option and hedging

flow, August Tsy options expire Fri. Swap spds rebound finish mildly tighter on

light hedge unwinds

- Tsys held narrow range near session lows after $30B 7Y auction comes in right

on the screws -- awarded 2.930% rate vs. 2.930% WI (previous $30B 7Y awarded

2.809%).

- Participants hit sidelines ahead Fri's headline GDP, JPM cut forecast to 3.9%

from 4.4% after morning data. Tsy cash/ylds: 2Y 99-28.5 (2.677%), 5Y 99-16.5

(2.853%), 10Y 99-06 (2.969%), 30Y 100-19.5 (3.093%).

US TSY FUTURES CLOSE: Trading weaker, near session lows, moderate volume (TYU

1.23M), curves flattening, updates:

* 2s10s -1.396, 28.714 (27.699L/30.177H);

* 2s30s -1.615, 41.346 (40.152L/43.005H);

* 5s30s -0.987, 24.269 (23.654L/25.399H);

Current futures levels:

* Sep Ultra bonds down 31/32 at 156-13 (156-10L/157-06H)

* Sep 30-yr Bond futures down 22/32 at 142-23 (142-21L/143-08H)

* Sep 10-yr futures down 10/32 at 119-11 (119-10.5L/119-18H)

* Sep 5-yr futures down 5.25/32 at 113-2.75 (113-2.25L/113-6.5H)

* Sep 2-yr futures down 1.75/32 at 105-21.25 (105-21L/105-22.5H)

MONTH-END EXTENSIONS: *** UPDATED Bloomberg-Barclays US month-end index

extensions compared to the average increase for the past year and the same time

in 2017. TIPS ext 0.11Y, real 0.14Y; Govt inflation-linked, 0.11Y

*.....................Projected...1Y Avg Incr..Last Jul

*US Tsys.................0.06........0.06........0.10

*Agencies................0.08........0.07........0.05

*Credit..................0.05........0.04........0.06

*Govt/Credit.............0.06........0.05........0.08

*MBS.....................0.07........0.05.......-0.04

*Aggregate...............0.06........0.05........0.04

*Long Govt/Credit........0.07........0.00........0.04

*Interm Credit...........0.06........0.04........0.03

*Interm Govt.............0.06........0.02........0.05

*Interm Govt/Cred........0.07........0.02........0.05

*High Yield..............0.07........0.01.......-0.03

US EURODOLLAR FUTURES CLOSE: Trading mildly lower, at/near session lows,

parallel shift across Reds through Golds, tight range with low volume. Current

White pack (Sep'18-Jun'19):

* Sep'18 -0.005 at 97.570

* Dec'18 -0.010 at 97.335

* Jun'19 -0.025 at 97.170

* Jun'19 -0.030 at 97.055

* Red pack (Sep'19-Jun'20) -0.035

* Green pack (Sep'20-Jun'21) -0.035

* Blue pack (Sep'21-Jun'21) -0.030-0.035

* Gold pack (Sep'22-Jun'22) -0.035

US DOLLAR LIBOR: Latest settles,

* O/N +0.0024 to 1.9172% (+0.0037/wk)

* 1 Month -0.0052 to 2.0716% (+0.0026/wk)

* 3 Month +0.0020 to 2.3388% (-0.0027/wk)

* 6 Month +0.0061 to 2.5286% (+0.0044/wk)

* 1 Year +0.0089 to 2.8166% (+0.0150/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.87% vs. 1.90% prior, $753B

* Broad General Collateral Rate (BGCR): 1.86% vs. 1.89% prior, $404B

* Tri-Party General Collateral Rate (TGCR): 1.86% vs. 1.89% prior, $388B

US SWAPS: Spds reversed course later in second half, mildly tighter by the close

on light hedge unwinds and flatteners in 2s vs. 3s and 5s. Earlier flow included

bank portfolio 2-way in front end, payer in 2s at 2.86375%, receiver in 5s at

2.9675%, 2s3s steepener, 2s3s5s and 2s3s7s flys/receiving belly. Latest spd

levels:

* 2Y  -0.31/18.94

* 5Y  -0.69/12.06

* 10Y -0.25/5.00

* 30Y -0.06/-7.12

PIPELINE: Comerica 5Y launch, Industrial Bank of Korea 3Y FRN priced earlier

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

07/26 $850M #Comerica 5Y +95a, 5Y FRN L equiv

07/26 $500M *Industrial Bank of Korea 3Y FRN L+60

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

- Jul 27 Q2 GDP (adv) (2.0%, 4.5%) 0830ET 

- Jul 27 Q2 GDP Price Index (2.2%, 2.1%) 0830ET 

- Jul 27 Jul Michigan sentiment index (f) (97.1, 97.3) 1000ET 

- Jul 27 Q2 St. Louis Fed Real GDP Nowcast (3.7%, --) 1100ET 

- Jul 27 Q2 NY Fed GDP Nowcast (2.7%, --) 1115ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* 8,000 Sep 75 puts vs Sep 76/77 call sprd for net 0.5 vs 9758.5/0.10%

* +20,000 Blue Dec 67 puts at 9 vs 9695/0.32%

* 10,000 Green Dec 70 calls at 14.5

* 10,000 Green Sep 70 calls at 6.5

Block, 1354:560ET, post time bid, open

* 27,350 Green Oct 67 puts, 5.0 vs. 96.93/0.29

* 22,000 Long Green Dec 58/63 7x2 put sprd at 0

* 5,000 Long Green Jun 57/62 3x1 put sprd at 0.5

Block, 13:23:37ET,

* +10,000 Short Dec/Blue Dec 70 Straddle spd, 3.5 net

* -5,000 Gold Sep 70 puts at 11.5

* -10,000 Short Sep vs Green Sep 67/68 2x1 put strip for net 3.5

* 30,000 Dec 78 calls at 0.5

* 5,000 Dec 81 calls, cab

* 10,000 Sep 75/76 1x2 call sprd at 5

* 10,000 Dec 75/76 1x2 call sprd at 0.25

Tsy options, Pit/screen

* 3,000 TYQ 119/120 put strips, 42/64 vs. 2,490 TYU at 119-12

* 2,389 TYU 119.5 puts at 34.64 vs. 1,792 TYV 119 puts at 39/64

* -2,000 TYU 118.5/120 strangles, 27/64

* +2,000 TYQ 119.5/119.75 1x2 call spds, 3/64

* >15,000 TYU 119 calls, 19/64 on screen

* 2,200 USU 141/145 put over risk reversals, 6/64vs. 142-30/0.42% earlier

Block, 0623:29ET -- not seeing the option leg on Bbg

* +11,021 FVV 113.75 calls, 8/64 vs. 113-03.7/0.23%

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

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