US TSYS: QUIET RISK-ON, NO TRADE ESCALATION OVER WEEKEND

US TSY SUMMARY: Tsys trading weaker by the bell, bottom half of range after some

midday risk-on unwinds. Anemic volume w/appr 650k TYU by the bell. No data day,

Quiet early summer trade, second tier data. US Pres Trump annc SCOTUS pick

Monday night, PPI Wed, CPI Thu, Fed to release chairman Powell's Semiannual

monetary policy report to Congress at 1100ET Friday, July 13.

- US$ index bounces late (DXY +0.125 to 94.088; US$/Yen higher +.36 110.83

(110.90H/110.30L); equities stronger, adding to Fri's gains (emini +22.0,

2785.0); gold weaker (XAU -2.6 1255.27); West Texas crude mildly higher (WTI

+.23, 74.03).

- Quiet session, carry-over risk-on tone as markets taking solace from no new

trade escalation after China tariffs triggered midnight last Thu (reaction to

tariffs already priced in, potential for negative consequences of to economy

will take much longer to show up). Geo-pol risk on simmer, however, ahead U.S.

Pres Trump's departure for NATO summit Tue.  

- Tsy cash/ylds: 2Y 99-28.25 (2.557%), 5Y 99-13.5 (2.748%), 10Y 100-04.5

(2.856%), 30Y 103-05 (2.964%).

US TSY FUTURES CLOSE: Weaker by the bell, bottom half of range after some midday

risk-on unwinds. Anemic volume w/appr 650k TYU by the bell. No data day, Quiet

early summer trade, second tier data. Current cash 10Y 100-04.5 (2.856%) vs.

100-05.5 (2.853%) on the open. Curves mildly steeper:

* 2s10s +1.422, 29.535 (28.209L/29.718H);

* 2s30s +1.429, 40.294 (38.690L/40.450H);

* 5s30s +0.420, 21.394 (20.297L/21.825H);

Current futures levels:

* Sep Ultra bonds down 21/32 at 160-100 (159-26L/160-29H)

* Sep 30-yr Bond futures down 15/32 at 145-06 (145-03L/145-28H)

* Sep 10-yr futures down 7/32 at 120-04 (120-03L/120-12.5H)

* Sep 5-yr futures down 4/32 at 113-16.5 (113-15.5L/113-21.25H)

* Sep 2-yr futures down 1/32 at 105-27.5 (105-26.75L/105-28.75H)

US EURODOLLAR FUTURES CLOSE: Mildly lower by the close, at/near modest session

lows on light volume. Current White pack (Sep'18-Jun'19):

* Sep'18 -0.005 at 97.540

* Dec'18 -0.015 at 97.340

* Jun'19 -0.020 at 97.215

* Jun'19 -0.025 at 97.120

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

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

* Blue pack (Sep'21-Jun'21) -0.025-0.020

* Gold pack (Sep'22-Jun'22) -0.025

US DOLLAR LIBOR: Latest settles,

* O/N +0.0002 to 1.9258% (-0.0097 last wk)

* 1 Month -0.0087 to 2.0775% (-0.0040 last wk)

* 3 Month +0.0017 to 2.3331% (-0.0044 last wk)

* 6 Month +0.0006 to 2.5087% (+0.0069 last wk)

* 1 Year -0.0028 to 2.7759% (+0.0097 last wk)

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

* Secured Overnight Financing Rate (SOFR): 1.93% vs. 1.97% prior, $760B

* Broad General Collateral Rate (BGCR): 1.90% vs. 1.95% prior, $367B

* Tri-Party General Collateral Rate (TGCR): 1.90% vs. 1.95% prior, $350B

US SWAPS: Spds running mixed by the bell, wings mildly wider vs. tighter

intermediates -- short end unwinding tighter levels late. Deal-tied flow returns

w/CS and Commonwealth Bank of Australia (CBA) issuing 5Y debt. Light flow

included rate receiving in 5s (2.896%) and 7s (2.908%), 2s5s spd curve

flatteners. Latest spd levels:

* 2Y  +0.25/25.62

* 5Y  -0.62/14.88

* 10Y -0.31/7.81

* 30Y +0.44/-3.56

PIPELINE: Pick-up in high-grade issuance, Credit Suisse and CBA 5Y

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

07/09 $2B #Credit Suisse PNC5 AT1 notes, 7.5%

07/09 $1.25B Commonwealth Bank of Australia (CBA) 5Y +40

07/09 $Benchmark EIB 5Y +8a

-

No new high-grade supply issued Thursday or Friday, $500M priced last week

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

- Jul 10 Jun NFIB Small Business Index (107.8, --) 0600ET

- Jul 10 07-Jul Redbook retail sales m/m  (-0.4%, --) 0855ET

- Jul 10 May JOLTS job openings level (6698k, --) 1000ET

- Jul 10 May JOLTS quits rate (2.3%, --) 1000ET

- Jul 10 US TSY $33B 3Y note auction, Jul 16 settle, 1300ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 5,000 short Mar 70/71 strangles, 14.0

* 6,500 Mar 70/71 put spds, 5.0 vs. 97.20

* +3,000 Gold Dec 62/63/75/76 call condors, 10.5

Block, 1250:45ET, still midmarket

* 10,000 Green Sep 68 puts, 6.0 vs. 97.005/0.32%

* -5,000 long Green Dec 63/68 5x2 put spds, 4.0 net,5-leg sold over

* +4,000 short Sep 68/70/71 put flys, 3.0

* +3,000 Sep 73/75 put spds, 2.0

* +5,000 short Oct 67/68 3x2 put spds, 4.0

* +5,000 Red Dec 63/66 put spds vs. -10,000 Green Sep 73 calls, 1.0 net debit

* 2,000 short Aug 70/71 strangles, 8.5

* Green Sep 70 straddles sold at 24.0

Tsy options, Pit/screen:

* 1,000 TYQ 120.5/121/121.5 call flys, 4/64

* 1,835 TYU 121 straddles, 1-28/64

* 1,500 TYU 120 straddles, 1-15/64

* 1,650 USU 143/146 3x1 put spds, 7/64 net vs.

* 1,650 USU 146/150 call spds on a little over a 3.5x1 ratio, 20/64

Screen trade by the open included

* over 10,000 FVU 114.25 calls, 9.5/64

* 5,650 USU 141 puts, 14/64

* 9,500 TYQ 119.5 puts, 9/64 outright and vs. TYQ 119 puts at 3/64

Background on last Friday's appr -100,000 TYU 121/122 call spds, 15/64, open

interest in TYU 121 calls increased appr 89k, TYQ 122 call OI decreased 76k.

Back on June 11, paper bought appr 100k TYU 120/122 call spds at 29- to 30/64.

Fri's sale tightens up the call spd, global macro fund now basically long the

TYU 120/121 call spd.

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

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