US TSYS: DEBT-DEAL, US/CHINA TRADE MEET FOR MON SPURS RISK-ON

US TSY SUMMARY: Though telegraphed earlier, mkt reacted positively to headline:

"U.S. NEGOTIATORS TO HEAD TO CHINA MONDAY FOR FACE-TO-FACE TALKS." bbg.

Knee-jerk react w/little substance to headlines, markets reacted positively

anyway, equities surged to session highs (3,006.75, +17.75) Tsys fell back to

midmorning lows. Note: 3M10Y Tsy yld curve back in positive territory (+4.668,

1.665 (L: -4.54 / H: 2.27) after gapping lower before the NY open.

- Sources reported two-way flow across the curve, recent short end buyers

covering shorts in 2s. Earlier weakness tied to United Healthcare issuance

($5.5B launched in second half), dealer +30s, fast$ and props doing steepeners

as long end sold off earlier, option-tied buying in 10s and 30s.

- US Tsy $40B 2Y note auction (9128287F1) awarded a 1.825% rate (1.695% on prior

$40B June auction) vs. 1.822% WI, bid/cover 2.50 vs. 2.58 previous (2.83 avg). 

- The 2-Yr yield is up 2.1bps at 1.8333%, 5-Yr is up 1.8bps at 1.8214%, 10-Yr is

up 2.4bps at 2.0707%, and 30-Yr is up 3.6bps at 2.6069%.

US TSY FUTURES CLOSE: Near session lows after the bell after revisiting

midmorning lows on confirmation US negotiators will head to China to hash out

trade deal. Knee-jerk react w/little substance to headlines, markets reacted

positively anyway w/equities extending session highs. Tsy yld curves bear

steepened w/3M10Y rebounding back to positive territory, update: 

* 3M10Y +4.668, 1.665 (L: -4.54 / H: 2.27)

* 2Y10Y +0.334, 23.537 (L: 21.101 / H: 24.157)

* 2Y30Y +1.472, 77.152 (L: 73.295 / H: 78.005)

* 5Y30Y +1.732, 78.379 (L: 75.782 / H: 79.273)

Current futures levels:

* Sep 2-Yr futures down 1.625/32 at 107-11.25 (L: 107-11 / H: 107-12.875)

* Sep 5-Yr futures down 4/32 at 117-23.25 (L: 117-22.25 / H: 117-27)

* Sep 10-Yr futures down 7/32 at 127-12 (L: 127-11 / H: 127-19.5)

* Sep 30-Yr futures down 20/32 at 154-10 (L: 154-05 / H: 154-31)

* Sep Ultra futures down 1-7/32 at 175-3 (L: 174-29 / H: 176-13)

US EURODLR FUTURES CLOSE: Weaker, at/near session lows, Whites-Reds

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

* Sep 19 -0.020 at 97.860

* Dec 19 -0.025 at 97.955

* Mar 20 -0.040 at 98.175

* Jun 20 -0.035 at 98.285

* Red Pack (Sep 20-Jun 21) -0.035 to -0.025

* Green Pack (Sep 21-Jun 22) -0.03 to -0.02

* Blue Pack (Sep 22-Jun 23) -0.02 to -0.015

* Gold Pack (Sep 23-Jun 24) -0.025 to -0.02

US DOLLAR LIBOR: Latest settles

* O/N -0.0059 at 2.3537% (-0.0083/wk)

* 1 Month -0.0031 to 2.2660% (+0.0049/wk)

* 3 Month -0.0072 to 2.2755% (+0.0162/wk)

* 6 Month +0.0041 to 2.1848% (+0.0406/wk)

* 1 Year +0.0029 at 2.1912% (+0.0335/wk)

US SWAPS: US SWAPS: Spds mostly tighter by the bell, short end lagging move amid

decent amount of swappable corporate issuance on the day. Aside from hedge

unwinds, second half flow included decent receiving in 6s-10s after some paying

in 5s at 1.7985%, couple payer flys: 3s5s10s and 23s5s10s on decent size. Latest

spd level:

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

Tue 1500    +0.06/2.62     -0.31/-1.69    -0.38/-7.12   -1.12/-36.31

1345        +0.06/2.62     -0.19/-1.56    -0.38/-7.12   -0.90/-36.10

1115        -0.69/1.88     -0.14/-1.50    -0.19/-6.94   -0.80/-36.00

Tue Open    -0.06/2.50     +0.23/-1.12    +0.06/-6.69   -0.10/-35.30

Mon 1500    +0.07/2.19     +0.12/-1.35    +0.17/-6.53   +0.06/-35.19

Monday recap: Spds running wider but well off midday levels by the bell.

Contributing to earlier move was nearly $920M paying in 2s around

1.8435-1.8560%, payer in 10s at 1.977% on lighter size, and 5s7s10s payer fly.

Dearth of swappable corporate supply adding to move as issuers wait for latest

earnings to wind down.

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

* Daily Effective Fed Funds Rate: 2.40%, volume: $60B

* Daily Overnight Bank Funding Rate: 2.40%, volume: $155B

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

* Secured Overnight Financing Rate (SOFR): 2.40%, $1.123T

* Broad General Collateral Rate (BGCR): 2.38%, $495B

* Tri-Party General Collateral Rate (TGCR): 2.38%, $469B

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

24-Jul 0700 19-Jul MBA Mortgage Applications (-1.1%, --)

24-Jul 0900 Jun bldg permits revision

24-Jul 0945 Jul Markit Mfg Index (flash) (50.6, 51.0)

24-Jul 0945 Jul Markit Services Index (flash) (51.5, 51.8)

24-Jul 1000 Jun new home sales (0.626m, 0.660m)

24-Jul 1030 19-Jul crude oil stocks ex. SPR w/w 

24-Jul 1130 US Tsy $20B 2Y FRN note auction (9128287G9)

24-Jul 1300 US Tsy $41B 5Y note auction (912828Y87)

PIPELINE: $5.5B UnitedHealth launched; just over $10B priced on day

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

07/23 $5.5B #UnitedHealth $750M 5Y +55, $1B 10Y +80, $1.25B Each: 20Y +95, 30Y

+110, 40Y +130

07/23 $1.25B #JBS USA 10.5NC5.5 5.5%

07/23 $1B #BB&T 5Y +70

07/23 $500M #Bank of Montreal WNG PerpNC5 4.8%

07/23 $1.5B *Bank of America 2NC1 FRN +32

07/23 $300M *Hanwha Energy 3Y +70

07/23 $Benchmark United Mexico States 10Y Tap +165a, 30Y +195a

07/?? Chatter $1B NRW Bank WNG 5Y +16a later in week

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

Block, 1350:58ET,

* 10,000 Sep 78 puts, 8.0 -- midmarket

Red-pack call spd strip,

* -6,600 Red Dec'20 78/83 put spds, 20.0 vs. 98.37/0.28%

* -6,600 Red Dec'20 78/83 put spds, 20.0 vs. 98.405/0.26%

* -6,600 Red Dec'20 78/83 put spds, 20.5 vs. 98.39/0.24%

* +10,000 Sep 78 puts, 7.5 vs. 97.865

* 4,000 Aug 77/80 put spds, .5 over. 2,000 Sep 77/78 put spds

* 4,000 Red Dec'20 87/95 2x1 call spds, 31.0 vs. 98.37

* 4,500 Dec 76/77/78 put trees vs. 1,500 Dec 82 calls, 4.0 net on package/put

tree over

* +5,000 Aug 77 puts, 1.25 vs. 97.875/0.10%

* over +5,000 Blue Dec 75/77/80 put flys, 3.5 on screen

* 4,500 Dec 76/77/78 put trees vs. 1,500 Dec 82 calls, 4.0 net on package/put

tree over

* -15,000 short Dec/Green Dec 80 call spds, 2.5 net cr conditional curve

flattener (short Dec over)

* 4,000 short Dec 82 straddles, 38.0

* 6,000 Red Dec'20 76/90 strangles, 17.0

* +2,500 Red Dec'20 97/100 call spds, 0.5

* +4,000 Oct 77/78 put strip, 9.0Block, 0907:37ET,

* 20,000 Aug 80 calls, 1.5 vs.

* 10,000 Sep 78 puts, 8.0

* -25,500 (pit/screen) Dec 80/83/87 call flys, 7.0 vs. 97.97-.975/0.25%

* +5,000 Dec 77 puts, 4.25 vs. 97.955/0.25%

* +10,000 short Aug 80/81 put spds, 1.0 vs. 98.35/0.10%

Overnight Block

* +40,000 Aug 80 calls, 1.5

Tsy options, 

* 2,500 FVQ 117.5 calls, 10/64 vs. 117-26.2/0.60%

* 2,300 wk2 TY125.7/126.7 put spds, 12/64

* Update, over +6,000 TYQ 126.5/127 3x1 put spds, 1/64

* 2,000 TYU 125.5 puts, 5/64 vs. 127-18.5/0.10%

* 10,000 TYU 126.5/129 put over risk reversals

* over 3,000 TYV 127/129 call over risk reversals, 2/64

* +8,000 FVU 118.5/119 call spds, 8.5/64

* over +5,000 FVU 117.75 calls, 25/64

* +1,500 USQ 153/155/157 iron flys, 55/64

* +5,000 TYU 126/127 put spds, 15/64

* 1,000 TYU 126.5/127/127.5 put tree, 0.0

* -2,000 USU 157/159 call spds, 19/64

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

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