US TSYS: QUIET RISK-OFF, MON/POL TESTIMONY NEXT WEEK

US TSY SUMMARY: Tsys see-sawed higher Friday, extending top-end session range on

light futures (TYU<635k), quiet summer trade and sidelined accts into the

semi-annual MonPol report release (Fed chair testimony Tue, July 17). No new

ground broken in report: policy remains accommodative, further gradual hikes,

yield curve "shifted up" while flattening continues/nears inversion. Mixed

messages from US Pres Trump: US/UK trade deal at risk on soft-BREXIT (later

denied), relationship w/PM May "very, very strong". 

- US$ index reversed early strength: DXY -0.080 to 94.747; US$/Yen see-sawed

lower -.27 to 112.28 (112.80H/112.34L); equities mildly higher (emini +5.0,

2803.5); gold weaker (XAU -6.16 1241.25); West Texas crude bounced (WTI +.46,

70.79).

- Light late wk flow included two-way/position squaring in fronts/intermediates,

option-tied selling, fund selling 30s; swap flys include 2s3s10s, 2s4s10s and

5s7s10s (rec belly). Tsy cash/ylds: 2Y 99-27 (2.578%), 5Y 99-16.75 (2.727%), 10Y

100-12 (2.829%), 30Y 103-25.5 (2.931%).

US TSY FUTURES CLOSE: Stronger, just off late session highs. Current cash 10Y

100-12 (2.829%) vs. 100-06 (2.851%) late Thursday. Curves mostly flatter:

* 2s10s -0.855, 24.687 (24.457L/26.046H);

* 2s30s -0.675, 34.941 (34.501L/36.020H);

* 5s30s +0.556, 20.318 (19.016L/20.889H);

Current futures levels:

* Sep Ultra bonds up 15/32 at 160-30 (160-10L/161-03H)

* Sep 30-yr Bond futures up 14/32 at 145-23 (145-07L/145-25H)

* Sep 10-yr futures up 6/32 at 120-11 (120-04L/120-12.5H)

* Sep 5-yr futures up 5/32 at 113-20.5 (113-15.25L/113-20.75H)

* Sep 2-yr futures up 1/32 at 105-26.5 (105-25.5L/105-27H)

US EURODOLLAR FUTURES CLOSE: Modestly higher by the bell, at/near session highs

on modest volume, Reds extend inversion w/Greens-Blues. Current White pack

(Sep'18-Jun'19):

* Sep'18 +0.010 at 97.545

* Dec'18 +0.010 at 97.345

* Jun'19 +0.015 at 97.220

* Jun'19 +0.025 at 97.130

* Red pack (Sep'19-Jun'20) +0.030-0.025

* Green pack (Sep'20-Jun'21) +0.035-0.040

* Blue pack (Sep'21-Jun'21) +0.035

* Gold pack (Sep'22-Jun'22) +0.035-0.030

US DOLLAR LIBOR: Latest settles,

* O/N +0.0000 to 1.9176% (-0.0080/wk)

* 1 Month +0.0016 to 2.0732% (-0.0130/wk)

* 3 Month -0.0032 to 2.3360% (+0.0047/wk)

* 6 Month +0.0012 to 2.5208% (+0.0127/wk)

* 1 Year +0.0015 to 2.7868% (+0.0081/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.90% vs. 1.89% prior, $747B

* Broad General Collateral Rate (BGCR): 1.87% vs. 1.89% prior, $366B

* Tri-Party General Collateral Rate (TGCR): 1.87% vs. 1.89% prior, $354B

US SWAPS: Spds running mostly tighter by the bell, 5yr holding mildly wider on

light 2-way flow. Late morning flow includes steepeners in 2s vs. 3s and 5s,

flurry of flys include 2s3s10s, 2s4s10s and 5s7s10s, all receiving the belly. No

deal-tied flow amid dearth of swappable issuance heading into weekend. Expect to

see pick-up in latter next week as banks exit latest earnings season. Latest spd

levels:

* 2Y  -0.25/22.75

* 5Y  +0.12/14.12

* 10Y -0.19/6.75

* 30Y -0.62/-3.75

PIPELINE: $23.85B has priced on week

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

No new issuance Friday,

-

$5.9B priced Thursday

07/12 $2B *Sumitomo Mitsui Fncl Grp $750M 5Y fix +100, $500M 5Y FRN +86, $750M

10Y +110

07/12 $2B *TD Bank 5Y fix +78, 5Y FRN Libor +64

07/12 $400M *Northern Natural Gas 30Y +135

07/12 $1B *Nordic Investment Bank (NIB) WNG 5Y +3

07/12 $500M *Korea East/West Power 5Y

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

- Jul 16 Jun retail sales (0.8%, 0.6%) 0830ET

- Jul 16 Jun retail sales ex. motor vehicle (0.9%, 0.3%) 0830ET

- Jul 16 Jun retail sales ex. mtr veh, gas (0.8%, --) 0830ET

- Jul 16 Jul Empire Manufacturing Index (25.0, 20.0) 0830ET

- Jul 16 May business inventories (0.3%, 0.4%) 1000ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* Update, total -65,000 (pit/screen) short Dec 70/71 put spds, 7.0

* Update, total +18,000 Mar 70/71 put spds 4.5

* 5,000 Mar 67/68 put sprd at 0.5 vs 9723/0.08%

Block, 11:19:35ET,

* +10,000 Sep 76 calls at 1.75 vs 9754.5/0.20%, adds to +10k block earlier for

total of +20k

Block, 11:08:45ET,

* +10,000 Oct 71 puts at 0.5, note +5k traded on screen

* +5,000 Oct 71 puts at 0.5 vs 9733.5/0.10%

* 12,500 Green Dec 62 puts at 1, 09:53:40ET

* +10,000 Sep 76 calls at 1.75 vs 9754.5/0.20%, 09:57:59ET

* +10,000 Long Green Dec 60/63 5x2 put sprd for 2.5 vs 9705/0.10%

* 20,000 Short Sep 72/75 call sprd vs Blue Sep 75/77 call sprd for net 1.5

* 4,000 Aug 75/76 Strangle at 1.5

* total 10,400 Red Sep19 80/81/85/86 call condors vs. Red Dec19 82/87 call spds

* 6,400 Dec 71 puts

* 3,000 Mar 70/72 put spds

Tsy options, Pit/screen:

* 3,400 TUU 105.3/106.3 call over risk reversals, .5/64

* 3,000 wk3 TY 119.5/119.75 put spds, 2/64

* +3,000 TYU 122 calls, 7/64 earlier vs. 120-09.5/0.14%

* -4,000 FVU 112.5/114.75 strangles, 7/6

* +2,250 TYU 120.5 straddles, 1-11/64, offer fades

* +4,000 TYU 121 calls, 19/64 vs. 120-09/0.32%

* +4,500 FVQ 113.75 calls, 7/64 vs. 113-17.5 earlier

* 2,000 FVQ 113.75 calls, 7/64vs. 113-17.7/0.35%

* +1,500 USU 141/149 risk reversal at even, call bought over

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

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