US TSYS: QUIET END TO HECTIC WK/FOCUS ON NEXT WK'S RETAILSALES

     MNI US Closing FI Analysis: Quiet End To Hectic Week

US TSY SUMMARY: Quiet end to a hectic week, short end pricing in 25bp cut at the

end of month, small chance of 50bp cut likely to die on the vine if markets

maintain status quo for the next two weeks. Next Monday will be a quiet start,

mkt focus focus on Tuesday's heavy data (retail sales) and Fed speakers before

they go into blackout a week from tomorrow. 

- Rates opened weaker on thin volume, sources reported better selling in 5s and

10s from prop and real$. Pretty quiet chop in post-PPI trade, rebounding after

initial sell-off with several rounds of position squaring keeping levels

anchored in first half.

- Long end rates extended lows for the week early, bounced midmorning and have

inched higher ever since, light overall volume by the bell (TYU just over 1M).

Yld curves mostly steeper again, 3M10Y scaling back after surging 20bp off

inverted lows since Wednesday, breached positive territory briefly earlier -

first time since May 23.

- The 2-Yr yield is down 2.6bps at 1.8369%, 5-Yr is down 3bps at 1.8626%, 10-Yr

is down 2.6bps at 2.1114%, and 30-Yr is down 2.2bps at 2.6378%.

US TSY FUTURES CLOSE: Rates trading higher/late session highs into the closing

bell ON AIR (TYU volume only 1M). While equities going vertical, extending new

all-time highs: DJIA up 187.87 points (0.69%) at 27240.99; S&P E-Mini Future up

10 points (0.33%) at 3011. Update:

* 3M10Y  -2.52, -3.034 (L: -4.14 / H: 0.543)

* 2Y10Y  -0.425, 26.695 (L: 25.932 / H: 28.032)

* 2Y30Y  +0.268, 79.536 (L: 78.047 / H: 81.047)

* 5Y30Y  +0.844, 77.378 (L: 75.491 / H: 78.559)

Current futures levels:

* Sep 2-Yr futures up 0.875/32  at 107-11.5 (L: 107-08.875 / H: 107-11.75)

* Sep 5-Yr futures up 2.25/32  at 117-18.5 (L: 117-13 / H: 117-19.75)

* Sep 10-Yr futures up 3/32  at 127-2.5 (L: 126-25 / H: 127-04.5)

* Sep 30-Yr futures up 4/32  at 153-21 (L: 152-28 / H: 153-24)

* Sep Ultra futures up 2/32  at 174-6 (L: 172-31 / H: 174-12)

US EURODLR FUTURES CLOSE: Modestly higher across the strip, at/near session

highs after the bell, a quiet end to a hectic week. Current White pack (Sep

19-Jun 20):

* Sep 19 +0.010 at 97.920

* Dec 19 +0.015 at 98.005

* Mar 20 +0.025 at 98.190

* Jun 20 +0.025 at 98.275

* Red Pack (Sep 20-Jun 21) +0.020 to +0.025

* Green Pack (Sep 21-Jun 22) +0.020 to +0.020

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

* Gold Pack (Sep 23-Jun 24) +0.015 to +0.020

US DOLLAR LIBOR: Latest settles

* O/N +0.0001 at 2.3591% (+0.00109/wk)

* 1 Month +0.0070 to 2.3320% (-0.0345/wk)

* 3 Month +0.0189 to 2.3222% (+0.0108/wk)

* 6 Month +0.0166 to 2.2292% (+0.0194/wk)

* 1 Year +0.0379 at 2.2311% (+0.0395/wk)

US SWAPS: Spds turned mostly tighter in the second half, long end leading the

way as Tsys recovered from earlier weaker levels. Decent two-way flow on session

w/receivers in 2s through 5s after better paying in the short end (2s around

1.9833-1.8944%, 9s at 2.0325% and 10s at 2.0715%. No deal-related flow after

largest amount of issuance issuance place in wks ($34.15b). Current levels:

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

Fri 1500    +0.19/3.81     -0.12/-1.00    -0.75/-5.94   -1.38/-34.50

1345        +0.00/3.62     +0.06/-0.81    -0.62/-5.81   -1.50/-34.62

1200        +1.12/4.75     +0.56/-0.31    -0.12/-5.31   -0.50/-33.62

1030        +0.19/3.81     +0.31/-0.56    +0.12/-5.06   +0.12/-33.00

0915        +0.19/3.81     +0.31/-0.56    +0.12/-5.06   +0.12/-33.00

Fri Open    +0.25/3.88     +0.38/-0.50    +0.12/-5.06   +0.00/-33.12

Thu 1500    +0.38/4.50     +0.25/-0.50    +0.19/-5.06   -1.12/-33.19

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

* Daily Effective Fed Funds Rate: 2.40%, volume: $77B

* Daily Overnight Bank Funding Rate: 2.38%, volume: $172B

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

* Secured Overnight Financing Rate (SOFR): 2.41%, $1.147T

* Broad General Collateral Rate (BGCR): 2.40%, $495B

* Tri-Party General Collateral Rate (TGCR): 2.40%, $474B

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

15-Jul 0830 Jul Empire Manufacturing Index (-8.6, 2.0)

15-Jul 0850 NY Fed Pres Williams, keynote remarks at LIBOR Transition Briefing:

The Transition to Alternative Reference Rates at SIFMA Conf Center, NY

PIPELINE: Quiet late week issuance after $34.15B priced/wk vs. $20B est

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

Nothing new in the works so far Friday

-

$7.5B priced Thursday

07/11 $6.5B *Mitsubishi UFJ Fncl Grp (MUFG): $2.25B 3Y +78, $1B 5Y +90, $1.75B

10Y +105, $1.5B 20Y +108

07/11 $1B *Nationwide 11NC10 fix-FRN +185

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: (Reminder, July options expire tomorrow)

* -5,000 short Oct 82 straddles, 29.5 vs. 98.305/0.15%

* +3,500 Sep 80/81 call spds, 2.75

* 4,000 Dec 72/73 put spds vs. Mar 70/73 put spds, cab/March ovr

* +5,000 Sep 77/82 call spds 16.5 over the Sep 76 puts

* Update, over 15,000 Green Aug 78 puts, 0.5 on screen

* -6,000 Jun 82/85 call spds, 9.0 vs. 98.18 vs. +24,000 Jun 92/95 call spds,

1.5, add to -4k Thu

* 5,000 Dec 80/81 call spds4.5 vs. 97.98/0.05

* 3,750 short Aug 87 calls, 1.0 vs. 98.315/0.10

* 4,500 Aug 78/80/81 call trees, 3.75 (hear sale)

* +/-7,000 Aug 78 straddles, 11.5-12.0

Additional screen flow coming into the session

* +11,000 Jul 78 puts, cab (July expires today)

* +10,000 Red Dec'20 95/97/100 call flys, 2.0

* -4,000 Sep 75/77 put spds, 1.75 -- adds to earlier Block

Block, 0805:30ET,

* 10,000 Sep 75/77 put spds, 1.75

Block, 0759:58ET,

* 10,000 Green Mar 77 straddles. 56.5 vs.

* 12.500 Green Mar 80 calls, 32.5

Tsy options, Pit/screen:

* -1,095 TYQ 125.75/126.5 put spds on screen recently, 8/64

* 1,000 TYQ 126.5/127/127.5 put flys 8/64

* 1,000 wk2 TY 126.5/127/127.5 put flys 10/64

* 12,250 FVU 116.5 puts, 7.5/64 on screen

* 1,000 TYQ 125.25/126.25 2x1 put spds, 6/64 earlier

Block, 0906:39ET, conditional bear curve steepener

* -40,000 FVU 116.75 puts, 11/64 vs.

* -10,400 FVU 117-14.5, 117-13.5 post-time offer

* +10,000 USU 151 puts, 41/64 vs.

* +2,700 USU 153-07 -- well through the 153-03 post time offer

* -1,500 TYU 125.5 puts, 12/64

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

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