US TSYS: FOREIGN AUTO TARIFF ANGST WEIGHS ON US$

US TSY SUMMARY: Relative quiet midweek trade, Tsys back near highs by the bell,

pared gains after strong 5Y note auction: $36B 5Y traded through: awarded 2.610%

rate vs. 2.820% WI (awarded 2.719% in June; 2.519% avg) w/ bid/cover 2.61 vs.

2.55 previous (2.50 avg). 

- Multiple late NY session headlines emerged around the US/EU trade talk in DC.

Rates held narrow range while US$ index fell to new session lows in react to

"Senators unveil bipartisan bill meant to delay Trump auto tariffs," CNN.

- Curves unwinding Fri/Mon's steepening, decent futures volume (TYU>1.2M).

Futures gained earlier on back of WP headline suggesting Trump advisors expect

(25%) tariffs on foreign autos this yr. Program buying quickly faded, two-way

flow/net. Heavy Block/buy 10k Eurodlr Red packs (EDU9-EDM0) +0-0.005. Modest

deal-tied flow, two-way swap flow on modest volume.

- US$ index off lows DXY -0.228 to 94.385; US$/Yen -.37 to 110.83

(111.38H/110.67L); equities rebound (emini +13.0, 2834.0); gold stronger (XAU

+7.66, 1232.19); West Texas crude bounce (WTI +0.71, 69.23). Tsy cash/ylds: 2Y

99-30 (2.653%), 5Y 99-04.25 (2.813%), 10Y 99-15 (2.936%), 30Y 101-05 (3.065%).

US TSY FUTURES CLOSE: Trading mostly higher, long end outperforming, decent

volume (TYU 1.23M), curves flattening, updates:

* 2s10s -3.267, 27.865 (27.310L/31.133H);

* 2s30s -3.162, 40.694 (39.855L/43.935H);

* 5s30s -0.600, 24.861 (23.855L/25.816H);

Current futures levels:

* Sep Ultra bonds up 10/32 at 157-10 (156-29L/157-22H)

* Sep 30-yr Bond futures up 06/32 at 143-12 (143-03L/143-19H)

* Sep 10-yr futures up 03/32 at 119-21 (119-17L/119-22.5H)

* Sep 5-yr futures up 01/32 at 113-08 (113-06L/113-8.5H)

* Sep 2-yr futures down 0.5/32 at 105-23 (105-22.75L/105-24H) 

US EURODOLLAR FUTURES CLOSE: Trading steady/mixed in short end, slightly higher

out the strip, tight range with mild volume. Current White pack

(Sep'18-Jun'19):

* Sep'18 -0.005 at 97.575

* Dec'18 0.000 at 97.345

* Jun'19 +0.005 at 97.195

* Jun'19 +0.005 at 97.085

* Red pack (Sep'19-Jun'20) +0.005

* Green pack (Sep'20-Jun'21) +0.010-0.005

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

* Gold pack (Sep'22-Jun'22) +0.020-0.015

US DOLLAR LIBOR: Latest settles,

* O/N +0.0007 to 1.9148% (+0.0013/wk)

* 1 Month +0.0067 to 2.0768% (+0.0078/wk)

* 3 Month +0.0020 to 2.3368% (-0.0047/wk)

* 6 Month +0.0000 to 2.5225% (-0.0017/wk)

* 1 Year -0.0003 to 2.8077% (+0.0061/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.90% vs. 1.87% prior, $775B

* Broad General Collateral Rate (BGCR): 1.89% vs. 1.86% prior, $382B

* Tri-Party General Collateral Rate (TGCR): 1.89% vs. 1.86% prior, $371B

US SWAPS: Spds running modestly tighter by the bell, at/near low end narrow

range. Light deal-tied hedging on day added to flow along w/two-way in 2s-5s,

late rate payer in 2s at 2.8485%, and 2s3s5s fly/receiving belly. Latest spd

levels:

* 2Y  -0.69/19.25

* 5Y  -0.62/13.00

* 10Y -0.31/5.25

* 30Y -0.12/-7.00

PIPELINE: Burlington Northern Santa Fe 30Y launch, Posco priced earlier

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

07/25 $750M #Burlington Northern Santa Fe 30Y +112.5

07/25 $500M *Posco 5Y +130

07/25 $Benchmark Temasek 10Y +90a

07/25 $Benchmark Aviation Capital Group 3Y FRN +100a, 7Y +170a

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

- Jul 26 21-Jul jobless claims (207k, 215k) 0830ET 

- Jul 26 Jun durable goods new orders (-0.4%, 3.5%) 0830ET 

- Jul 26 Jun durable new orders ex transport (0.0%, 0.4%) 0830ET 

- Jul 26 Jun advance goods trade gap (-$64.8B, --) 0830ET 

- Jul 26 Jun advance wholesale inventories (0.6%, 0.3%) 0830ET 

- Jul 26 Jun advance retail inventories (0.4%, --) 0830ET 

- Jul 26 22-Jul Bloomberg comfort index (58.8, --) 0945ET 

- Jul 26 Q2 housing vacancies rate 1000ET 

- Jul 26 20-Jul natural gas stocks w/w (2,249 BCF, --) 1030ET 

- Jul 26 Jul Kansas City Fed Mfg Index (28, --) 1100ET 

- Jul 26 US TSY $30B 7Y note auction, Jul 31 settle 1300ET 

- Jul 26 25-Jul Fed weekly securities holdings ($2.36T, --) 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* -8,000 Short Dec 70 Straddle at 30.5

* -8,000 short Dec 70 straddles, 30.5, some vs. 71 calls (21.0 net)

* +3,000 Green Dec 67 puts, 9.0

* Update, total 30,000 long Green Sep 60/63 3x1 put spds 0.5, ongoing -- adds to

20k on Tue

* 12,500 Long Green Sep 60/70 put sprd at 29 vs 9695.5/0.29%

* 5,000 Long Green Jun 57/62 3x1 put sprd at 0

* 4,000 Short Dec 63/66 put sprd at 2 vs 9701/0.10%

* 7,500 Dec 75/76 1x2 call sprd at CAB vs 9735.5/0.05%

* -10,000 Blue Sep 67/71 call over risk reversal at 1 vs 9696/0.40%

Block, 09:50:45ET,

* 10,000 Green Dec 67 puts at 9 vs 9695/0.32%

Block, 09:45:45ET,

* 10,000 Short Sep 72 calls at 2 vs 9701/0.12%, note recent 10k traded in pit

* 10,000 Blue Dec 70/71/72 call tree at 1.5 vs 9695/0.15%, note recent 6k traded

at 2

* 5,000 Short Sep 72 calls at 2 vs 9701/0.12%

* -12,000 Long Green Sep 60/63 3x1 put sprd at 0.5

* 5,500 Blue Dec 70/71/72 call tree at 2 vs 9697/0.15%

Tsy options, Pit/screen:

* 2,300 wk1 US 144/145 call spds 9/64 over USQ 144 calls

* 5,000 FVQ 113.25 puts from 6- to 6.5/64 vs. FVU 112.25/115 strangles at 35/64

* -5,000 TYU 122 calls, 2/64 hit as underlying bid softens up

* 2,750 TYQ 118/119.5 put spds, 5/64

* 1,000 TYU 120.5/121.5 2x3 call spds, 13/64

* 2,000 FVU 113.25 straddles, 36.5/64

* 1,500 TYQ 1195/120 1x2 call spds, 9/64 vs. 119-19/0.36%

* 1,000 TYU 120/121 1x2 call spds, 4/64

* total 2,900 TYU 118/119 put spds w/TYQ 119.5 puts, 20/64 vs. 119-17 to -16.8

* 2,900 TYU 118/119 put spds w/TYQ 119.5 puts, 20/64 vs. 119-17

Screen trade coming into the session

* +6,000 TUU 105.7/105.8/106 call flys, 1.5/64

* +3,000 TYU 117.5/118.5 put spds, 3/64

* total over 5,000 TYQ 119 puts, 1/64

* >10,000 TUU 105.8 calls on scree earlier

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

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