US TSYS: MODEST MIDWEEK BID, TSY YLD CURVES BULL-FLATTEN

US TSY SUMMARY: Generally quiet mid-week session as rates traded firmer, more or

less recovering from the prior session' weakness. Moderate volumes better than

the first half of wk w/TYU just over 1M after the bell. Yld curves bull

flattened w/3M10Y re-inverting (-7.843, -4.876; L:-5.050/H:-0.894). 

- Little react to new home sales below exp at 646k while markets spared an ear

to listen to ret special counsel Mueller testimony to Congress re: Russian

interference -- no new territory or revelations.

- Decent supply-related hedging as several domestic/foreign banks issued. On

Tsys: Small tail: US Tsy $41B 5Y note auction (912828Y87), awarded 1.824%

(1.791% June; 2.520% avg) vs. 1.812% WI, bid/cover 2.26 vs. 2.35 previous (2.49

avg).

- On Flows, better buys on net in intermediates to long end, swap-tied switches

in 2s and 5s earlier, payer in 5s at 1.78977%, 2s5s7s receiver fly, deal-tied

paying helping spds from narrowing further, steepener unwinds.

- The 2-Yr yield is down 1.6bps at 1.8219%, 5-Yr is down 1.7bps at 1.8164%,

10-Yr is down 3.3bps at 2.048%, and 30-Yr is down 3.9bps at 2.5762%.

US TSY FUTURES CLOSE: Firmer by the bell, just off top end of session range

after long end revisited midmorning high ahead the closing bell. Yld curves bull

flattening, update: 

* 3M10Y -7.843, -4.876 (L: -5.05 / H: -0.894)

* 2Y10Y -2.134, 22.034 (L: 22.034 / H: 24.975)

* 2Y30Y -2.658, 74.959 (L: 74.959 / H: 78.668)

* 5Y30Y -2.184, 75.741 (L: 75.72 / H: 78.746)

Current futures levels:

* Sep 2-Yr futures up 0.125/32 at 107-11.375 (L: 107-10.75 / H: 107-13.375)

* Sep 5-Yr futures up 1.5/32 at 117-24.5 (L: 117-21.25 / H: 117-28.5)

* Sep 10-Yr futures up 5.5/32 at 127-17 (L: 127-08.5 / H: 127-21.5)

* Sep 30-Yr futures up 18/32 at 154-27 (L: 154-00 / H: 154-30)

* Sep Ultra futures up 1-0/32 at 176-4 (L: 174-20 / H: 176-06)

US EURODLR FUTURES CLOSE: Steady/mixed in the short end after the bell, modestly

higher out the strip/near middle session range. Current White pack (Sep 19-Jun

20):

* Sep 19 +0.005 at 97.865

* Dec 19 -0.005 at 97.955

* Mar 20 steady at 98.180

* Jun 20 +0.005 at 98.290

* Red Pack (Sep 20-Jun 21) +0.005 to +0.010

* Green Pack (Sep 21-Jun 22) +0.005 to +0.015

* Blue Pack (Sep 22-Jun 23) +0.015 to +0.020

* Gold Pack (Sep 23-Jun 24) +0.020 to +0.030

US DOLLAR LIBOR: Latest settles

* O/N -0.0015 at 2.3522% (-0.0098/wk)

* 1 Month -0.0043 to 2.2617% (+0.0006/wk)

* 3 Month -0.0089 to 2.2666% (+0.0073/wk)

* 6 Month -0.0017 to 2.1831% (+0.0389/wk)

* 1 Year -0.0117 at 2.1795% (+0.0218/wk)

US SWAPS: Spds mostly tighter by the bell, long end reversing course to mildly

wider. That said, limited flow on net included switches in 2s and 5s earlier,

payer in 5s at 1.78977%, 2s5s7s receiver fly, deal-tied paying helping spds from

narrowing further. Latest spd level:

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

Wed 1500    -0.40/3.25     -0.57/-2.04    -0.24/-7.34   +0.12/-36.31

1245        -0.49/3.16     -0.70/-2.17    -0.42/-7.52   -0.32/-36.75

1115        -0.19/3.56     -0.40/-1.87    -0.37/-7.47   -0.25/-36.67

1000        -0.19/3.56     -0.45/-1.92    -0.42/-7.52   -0.35/-36.77

Wed Open    +0.62/3.44     -0.15/-1.62    -0.40/-7.00   -0.12/-36.56

Wed 0730    +0.31/3.12     -0.15/-1.62    -0.40/-7.00   -0.07/-36.50

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

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%, $1.091T

* Broad General Collateral Rate (BGCR): 2.38%, $499B

* Tri-Party General Collateral Rate (TGCR): 2.38%, $475B

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

25-Jul 0830 20-Jul jobless claims (216k, 218k) 

25-Jul 0830 Jun durable goods new orders (-1.3%, 0.8%); ex transport (0.3%,

0.2%)

25-Jul 0830 Jun advance goods trade gap (-$74.6B, -$72.5B)

25-Jul 0830 Jun advance wholesale inventories (0.4%, 0.5%)

25-Jul 0830 Jun advance retail inventories (0.5%, 0.2%)

25-Jul 0945 Bloomberg Consumer Comfort (64.7, --)

25-Jul 1000 Q2 housing vacancies rate

25-Jul 1030 19-Jul natural gas stocks w/w

25-Jul 1100 Jul Kansas City Fed Mfg Index

25-Jul 1300 US Tsy $32B 7Y note auction (912828Y95)

25-Jul 1630 24-Jul Fed weekly securities holdings

PIPELINE: US Bancorp 2-part launched, Bank of Nova Scotia priced; $7.17B looks

to price on day

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

07/24 $2.25B #US Bancorp $1.25B 5Y fix +60, $1B 10Y +95

07/24 $1.37B #CITGO 5NC2 9.25%

07/24 $1.25B *Bank of Nova Scotia 7Y +82

07/24 $1B *NRW Bank WNG 5Y +15

07/24 $800M *Constellation Brands 10Y +110

07/24 $500M *Boston Gas Co WNG 10Y +95

07/24 $Benchmark JPMorgan Chase PerpNC5 pfd 5%

Canadian Issuance:

07/24 C$500M *Export Development Canada 5Y +31.5

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* 7,500 Mar 73/75 call spds, 3.5 vs. 98.21/0.08%

* +3,000 Jun 76/78 2x1 put spds, 2.0

* +12,500 Aug 80 calls, 1.75 vs. 97.875/0.10%

* Update, total +9,000 Red Jun21 92 calls, 11.5 vs. 98.43/0.10%

* 7,500 Red Jun21 92 calls, 11.5 vs. 98.43/0.10%

* -20,000 Oct 82/83 call strip, 4.0

* 4,000 short Dec 88/Blue Dec 86 call spds, 0.5 vs. 98.255/0.20%

* -3,000 short Sep 88 calls, 1.0

* -6,000 Blue Dec 77/87 call over risk reversals, 0.5 vs. 98.235/.22%

* over 10,000 Aug 81 calls, 0.5 vs. 97.89/0.05%

* 3,000 Sep 78/short Sep 81 put spds, 4.0 vs. 97.88/0.20%

* -5,000 Sep 76/Dec 75 put strip, 1.25

* -2,000 Aug 80/81/82 call flys, 1.0

* +1,000 Red Sep'20 83 straddles, 54.0

Modest overnight volume, highlights

* 10,700 Aug 80 calls, 1.5

* 7,800 Aug 76 puts, cab

* 4,000 Aug 78 puts,

* 10,000 Dec 82 calls, 4.75

* 6,000 Dec 78 calls

Tsy options:

* 1,000 TYQ 127.25/127.5/127.75 iron flys

* +3,050 FVQ 117.75 straddles, 14.5/64

* 3,450 FVU 117 puts, 20/64 vs.

* 1,000 USU 152 puts, 1-5/64

* -1,750 TYU 126.5/127.5/128.5 iron flys, 46/64

* 1,000 USU 155 calls, 1-8/64 vs. 154-22/0.46%

* +2,300 FVV 118 straddles 1-5/64 vs.

* -4,600 FVV 116.5 puts, 5.5/64 w/-5,750 FVV 120 calls, 5/64

* 3,700 TYU 127 puts, 23/64 vs. 127-19/0.35%

* 1,400 FVQ 117.75/118/118.25 call trees, 6/64 vs. 117-26

* +15,000 TYU 131/131.5 call strip, 4/64

* +2,000 TYU 127.5 puts, 37/64

* +2,000 TYQ 127 straddles, 40/64 vs. 127-18/0.48%

* -1,000 TYU 126 puts, 8/64

* +4,800 FVU 114.75/115 put strip, 2/64

* -1,500 TYU 124.5/126.5 2x1 put spds, 1/64

* 1,045 TYQ 126.75/127 straddle spd

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

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