US TSYS: EARLY RISK-OFF TONE EVAPORATES AHEAD HOLIDAY

US TSY SUMMARY: As expected, generally quiet trade, two-way positioning flow,

better selling on light volume ahead Independence Day holiday (noon pit close

Tuesday, full mkt close Wednesday). Rates unwound early risk-off support,

gradually extended session lows following Jun ISM purchasing mngrs index (60.2),

May const spending (+.4% exp). Rates off lows post Pres Trump comments re: trade

- US$ index rebounds from Fri's weakness (DXY +0.583 to 95.053; US$/Yen +.11

110.87); equities weaker/off lows (emini -5.5, 2716.0); gold weaker (XAU -11.44,

1241.72); West Texas crude softre after tapping highest lvls since late 2014 Fri

(WTI -.26, 73.89).

- Limited second half futures volume (TYU<955k), most accts squared/pared and

plying sidelines ahead haeavy data and event risk upon mkt return: private ADP

employ and FOMC min's release Thu, NFP emply and China tariff deadline Fri.

- No corp supply hedging, some bill hedging, decent option volume on mostly

small delta trades, put buying/rate hike insurance for Red Mar'20. Tsy

cash/ylds: 2Y 99-28.75 (2.549%), 5Y 99-13 (2.751%), 10Y 100-02 (2.866%), 30Y

102-20 (2.991%).

US TSY FUTURES CLOSE: Trades weaker after the bell, lower half of range on quiet

two-way trade ahead Tue noon close, Wed Independence Day holiday. Current cash

10Y 100-02.5 (2.864%) vs. 100-11 (2.833%) on the open. Curves inch flatter:

* 2s10s -1.992, 31.124 (30.532L/33.007H);

* 2s30s -2.028, 43.645 (43.645L/46.481H);

* 5s30s -1.189, 23.761 (23.592L/26.335H);

Current futures levels:

* Sep Ultra bonds down 9/32 at 159-09 (159-04L/160-00H)

* Sep 30-yr Bond futures down 7/32 at 144-25 (144-22L/145-13H)

* Sep 10-yr futures down 3.5/32 at 120-02.5 (120-01L/120-14H)

* Sep 5-yr futures down 3.75/32 at 113-16 (113-15L/113-24H)

* Sep 2-yr futures down 1.5/32 at 105-28.75 (105-27.5L/105-30.75H)

US EURODOLLAR FUTURES CLOSE: Holding mildly lower levels across the strip by the

close, near low end narrow session range on light volume. Current White pack

(Sep'18-Jun'19):

* Sep'18 -0.005 at 97.540

* Dec'18 -0.010 at 97.350

* Jun'19 -0.020 at 97.220

* Jun'19 -0.025 at 97.120

* Red pack (Sep'19-Jun'20) -0.020-0.030

* Green pack (Sep'20-Jun'21) -0.035-0.030

* Blue pack (Sep'21-Jun'21) -0.025-0.015

* Gold pack (Sep'22-Jun'22) -0.015-0.010

US DOLLAR LIBOR: Latest settles,

* O/N -0.0056 to 1.9297% (+0.0073 last wk)

* 1 Month +0.0097 to 2.0999% (-0.0075 last wk)

* 3 Month +0.0068 to 2.3425% (-0.0031 last wk)

* 6 Month +0.0085 to 2.5097% (-0.0063 last wk)

* 1 Year +0.0075 to 2.7715% (-0.0128 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.12% vs. 1.93% prior, $702B

* Broad General Collateral Rate (BGCR): 2.10% vs. 1.90% prior, $32B

* Tri-Party General Collateral Rate (TGCR): 2.10% vs. 1.90% prior, $300B

US SWAPS: Spds mildly wider for the most part by the bell, spd curve steeper vs.

flatter rates on narrow range. Flow remains muted on the day, latest includes

two-way in 3s and 5s, modest paying in 2s at 2.8027% and 10s at 2.9295%. Early

session flow included two-way in 2s, 2s5s and 5s10s steepeners, 2s10s flatteners

on light size. Latest spd levels:

* 2Y  -0.16/26.12

* 5Y  +0.12/15.31

* 10Y +0.25/7.62

* 30Y +0.50/-5.25

PIPELINE: Expect limited corporate issuance on shortened holiday week

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

07/02 $500M Kommunalbanken WNG 11/2019 -3a

-

No new issuance Friday, slow week w/total $3.68B placed

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

- Jul 03 Jun NA-made light vehicle sales SAAR (9.9m , --)

- Jul 03 30-Jun Redbook retail sales m/m (--, --) 0855ET

- Jul 03 Jun ISM-NY current conditions (56.4, --) 0945ET

- Jul 03 May factory new orders (-0.8%, 0.0%) 1000ET

- Jul 03 May factory orders ex transport (0.4%, --) 1000ET

- Jul 03 Trading floor noon close ahead 4th of July holiday 

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +5,000 Dec 72/73 put spds 3.75 over the 76 calls

* 3,000 Red Mar 62/65 5x2 put spds, 1.5

* 1,500 Sep 76/77/78 call flys, 1.0

* 1,500 Sep 75/76/77 call flys, 1.0

* -3,000 Red Dec19 75 calls, 2.0

* +5,000 Blue Aug 75 calls, 1.0

* -2,500 Blue Aug 70 straddles, 18.5

* -3,000 short Dec 70 straddles, 35.0

* +4,000 Sep 75 puts, 2.5

* +4,000 short Sep 67/68/70 put flys, 2.5

* +5,000 Dec 72/73 put spds 3.25 over the Dec 76 calls

* -2,500 Mar 76 calls, 4.5 vs. 97.255/0.17%

* 1,000 short Oct 70 straddles, 28.0

* +1,000 short Sep 71 straddles, 23.0

Block, 0859:30ET, adds to another 10k in pit

* +10,000 short Mar 66/67/68 put strip, 33.5 vs. total 8,800 Red Mar 97.03

* -20,000 Sep 75/76 call spds 0.5 over the Dec 73/75 call spd spd in pit

* Very limited screen volume so far, less than 7.5k

Tsy options, Pit/screen

* 1,000 TYQ 118.5/119/119.5 put flys, 4/64 vs. 119-31/0.05%

* 6,000 USU 139/144 2x1 put spds, 46/64

* +9,700 TYQ 121.75/122.5 call spds, 3/64

* -2,500 TYQ 119.5/121 call over risk reversals, 4/64

* small USU 145 straddle sale, 2-63/64

Block, 0805:18ET

* 5,000 TYU 120-11.5, post time bid

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

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