US TSYS: QUIET RATE RALLY AS AHE (+0.2%) MISSES TARGET

US TSY SUMMARY: Tsys trading firmer by the bell, well off post data gap-trade.

Rather disappointing trade on anemic volume w/appr 640k TYU since the open

adding to 250k overnight. Little react as tariffs on Chinese goods took effect

midnight Thu (reaction to tariffs already priced in, potential for negative

consequences of to economy will take much longer to show up).

- US$ index weaker (DXY -0.353 to 94.042; US$/Yen lower -.22 110.42

(110.79H/110.38L); equities stronger (emini +25.5, 2764.0); gold weaker (XAU

-2.6 1255.27); West Texas crude rebounds (WTI +.87, 73.81).

- Mkt overreacted to data, "mainly because wages didn't meet expectations, and

the U/E rate nudged higher to above 4.00%," one trading desk said. Others

posited algo related buying caused post data spike (only picking up on the AHE

figure). Limited 2-way flow from late morning on, light position squaring ahead

weekend, rates paring gains later in second half, fast$, props selling 10s. Fed

to release chairman Powell's Semiannual monetary policy report to Congress at

1100ET Friday, July 13. Tsy cash/ylds: 2Y 99-29 (2.541%), 5Y 99-17.5 (2.721%),

10Y 100-12.5 (2.827%), 30Y 103-22 (2.938%).

US TSY FUTURES CLOSE: Mildly higher by the close, low end of range (well off

initial post-data gap trade) on light volume (TYU<900k). Current cash 10Y 100-12

(2.829%) vs. 100-10.5 (2.835%) late Thursday. Curves mixed:

* 2s10s +1.001, 28.639 (26.546L/29.277H);

* 2s30s +0.539, 39.739 (37.640L/40.887H);

* 5s30s +0.198, 21.713 (20.188L/22.805H);

Current futures levels:

* Sep Ultra bonds up 11/32 at 160-21 (160-07L/161-15H)

* Sep 30-yr Bond futures up 6/32 at 145-22 (145-12L/146-11H)

* Sep 10-yr futures up 3.5/32 at 120-11.5 (120-06.5L/120-20H)

* Sep 5-yr futures up 3/32 at 113-20.5 (113-17.25L/113-26H)

* Sep 2-yr futures up 1.5/32 at 105-28.5 (105-27.25L/105-29.5H)

US EURODOLLAR FUTURES CLOSE: Mildly higher across much of the strip by the bell,

muted volume for a headline payroll session. Current White pack (Sep'18-Jun'19):

* Sep'18 +0.000 at 97.540

* Dec'18 +0.010 at 97.355

* Jun'19 +0.010 at 97.235

* Jun'19 +0.020 at 97.140

* Red pack (Sep'19-Jun'20) +0.020-0.025

* Green pack (Sep'20-Jun'21) +0.020-0.025

* Blue pack (Sep'21-Jun'21) +0.020-0.015

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

US DOLLAR LIBOR: Latest settles,

* O/N -0.0025 to 1.9256% (-0.0097/wk)

* 1 Month -0.0109 to 2.0862% (-0.0040/wk)

* 3 Month -0.0072 to 2.3314% (-0.0044/wk)

* 6 Month -0.0121 to 2.5081% (+0.0069/wk)

* 1 Year -0.0103 to 2.7787% (+0.0097/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.97% vs. 2.05% prior, $807B

* Broad General Collateral Rate (BGCR): 1.95% vs. 1.98% prior, $366B

* Tri-Party General Collateral Rate (TGCR): 1.95% vs. 1.97% prior, $346B

US SWAPS: Spds running mostly tighter by the bell, spd curve on session steeps'.

Late flow included rate paying in 2s at 2.88005%, two-way in 8s and 10s. Midday

two-way flow on moderate volume: partial position squaring heading into weekend.

Flow includes two-way in 2s and 5s, outright receiver in 10s at 2.8978%, two-way

in 2s5s followed by steepeners in 3s5s and 5s10s. Latest spd levels:

* 2Y  -0.50/24.94

* 5Y  -0.69/15.38

* 10Y -0.12/8.12

* 30Y +0.25/-4.06

PIPELINE: Issuance remains slow, $500M/wk

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

No new high-grade supply issued Thursday or Friday

-

$500M priced Tuesday

07/03 $500M *Kommunalbanken WNG 11/2019 -3

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

- Jul 09 Mn Fed Pres Kashkari, "Homeownership in Indian Country: Creating Opp's

for Choice" Mn, 0910ET

- Jul 09 Jun ETI 1000ET

- Jul 09 Jul NY Fed expectations survey 1100ET

- Jul 09 May consumer credit 1500ET

- Jul 09 Jun Treasury Allotments (final) 1500ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +3,500 Blue Sep 73/76 1x2 call spds on screen, 1.0

* +5,000 short Mar 66/67/68 put strip, 34.5

* +3,000 short Jul 70 puts, 1.0

* +2,500 Dec 71 puts, 1.0

* -12,500 long Green Dec 65/70/75 iron flys, 38.5

* -20,000 Jun 70 puts, 11.0 vs. 97-13.5

* -2,000 short Sep 71/72 strangles, 18.0

Block, 0940:37ET,

* 10,000 Blue Dec 70/71/73 call trees, 2.5 net vs. 97.05/0.12%

* +25,000 Sep 73/75 put spds, 2.0

Block, 0750:32ET, adds to 20k sale by global macro

acct on Monday, same lvl

* -10,000 Sep 75/76 call spds, 4.5 vs.

* +10,000 Dec 73/75 call spds, 4.0

Block, 0329ET

* +5,000 Mar 70/72 2x1 put spds, 7.5 vs. 97.215/0.07%

Tsy options, Pit/screen:

* +2,000 TYQ 119.5/121.5 put over risk reversals, 2/64

* another 30,000 TYU 121/122 call spds, 15/64 -- over 100k on day now.

Background, back on June 11, paper bought appr 100k TYU 120/122 call spds at 29-

to 30/64

* +10,000 TYQ 120.75 calls, 17/64 vs.

* -12,500 TYQ 121.5 calls, 6/64 vs.

* -7,500 TYQ 120 puts, 12/64

* +3,000 TYQ 120.25 puts, 18/64

* 2,000 TYU 119/122 call over risk reversals, 2/64

* 2,000 TYQ 120.25 puts, 18/64

* -4,500 TYQ 119.5 puts, 5/64

* 1,000 TYU 120.5 straddles, 1-17/64

* -10,000 FVQ 113.25 puts, 5.5- to 5/64

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

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