US TSYS: QUIET RISK-ON UNWIND, DAL FED KAPLAN URGES PATIENCE

US TSY SUMMARY: Tsys well supported by the bell, more risk-on unwind than a

concerted risk-off move w/equities still hovering in positive territory late. 

- Bull curve flattening on very light volume (TYU<865k by the bell), quiet start

to the week despite continued geo-pol concerns. Short end now pricing in appr

46% chance of 50bp rate cut at July 30-31 FOMC meet. Dallas Fed Pres Kaplan rged

policymakers to allow events to unfold before lowering interest rates, adding

it's too early to judge whether trade tensions and a global economic slowdown

will cause a material deterioration in the U.S. outlook.

- Rates extended session highs into midday, no specific driver for general

risk-on unwind tone. Light prop and fast$ selling into latest move. Yld curves

mostly/mildly steeper, exception is 3M10Y collapsing.

- Tsys receded briefly in late trade but rebounded on block buy 9,407 TUU at

107-21.62, likely swap related as front end spds neared inversion for the first

time ever.

- The 2-Yr yield is down 2.9bps at 1.7385%, 5-Yr is down 4bps at 1.7508%, 10-Yr

is down 3.5bps at 2.0194%, and 30-Yr is down 3.6bps at 2.5479%.

US TSY FUTURES CLOSE: Rebound in late trade, block buying in short end helping

levels rebound off late dip. Overall very quiet trade, note TYU volume less than

865k. Update:

* 3M10Y  -2.93, -9.041 (L: -11.012 / H: -5.589)

* 2Y10Y  -0.321, 27.883 (L: 27.038 / H: 29.355)

* 2Y30Y  -0.408, 80.804 (L: 78.872 / H: 82.664)

* 5Y30Y  +0.267, 79.451 (L: 76.831 / H: 80.398)

Current futures levels:

* Sep 2-Yr futures up 2.875/32 at 107-21.375 (L: 107-18.625 / H: 107-22.5)

* Sep 5-Yr futures up 8/32 at 118-5.75 (L: 117-30.25 / H: 118-07.5)

* Sep 10-Yr futures up 13/32 at 127-29.5 (L: 127-17 / H: 127-31.5)

* Sep 30-Yr futures up 25/32 at 155-12 (L: 154-17 / H: 155-16)

* Sep Ultra futures up 1-10/32 at 176-29 (L: 175-14 / H: 177-03)

US EURODLR FUTURES CLOSE: Well bid -- at/near session highs by the bell, near

parallel shift in Reds-Golds. Current White pack (Sep 19-Jun 20):

* Sep 19 +0.035 at 98.050

* Dec 19 +0.045 at 98.160

* Mar 20 +0.055 at 98.360

* Jun 20 +0.060 at 98.450

* Red Pack (Sep 20-Jun 21) +0.055 to +0.055

* Green Pack (Sep 21-Jun 22) +0.050 to +0.055

* Blue Pack (Sep 22-Jun 23) +0.055 to +0.060

* Gold Pack (Sep 23-Jun 24) +0.050 to +0.055

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0017 at 2.3492% (+0.0009 last wk)

* 1 Month -0.0026 to 2.4017% (+0.0226 last wk)

* 3 Month -0.0164 to 2.3328% (-0.0528 last wk)

* 6 Month -0.0103 to 2.2098% (-0.0572 last wk)

* 1 Year -0.0234 at 2.1787% (-0.0444 last wk)

US SWAPS: Spds running tighter across the board, short end sub-1.0 and headed

towards inversion for the first time ever. Muted swap-tied flow includes ongoing

payer unwinds, some light deal-tied flow in the mix. Current spd levels:

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

Mon 1500    -1.25/0.88     +0.06/-2.38    -0.38/-7.12   -1.00/-34.62

1315        -0.50/1.62     +0.44/-2.00    -0.12/-6.88   -0.75/-34.38

1030        -1.12/1.00     +0.19/-2.25    +0.00/-6.75   +0.12/-33.50

9:00        -0.38/1.75     +0.62/-1.81    +0.38/-6.38   +0.12/-33.50

Mon Open    -0.25/1.94     +0.50/-1.94    +0.25/-6.50   +0.12/-33.50

Fri 1500    -0.50/1.50     -0.94/-2.50    -0.75/-6.75   -1.12/-33.62

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

* Daily Effective Fed Funds Rate: 2.37%, volume: $61B

* Daily Overnight Bank Funding Rate: 2.36%, volume: $165B

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

* Secured Overnight Financing Rate (SOFR): 2.37%, $1.103T

* Broad General Collateral Rate (BGCR): 2.35%, $480B

* Tri-Party General Collateral Rate (TGCR): 2.35%, $456B

OUTLOOK: *** Data/speaker calendar (prior, estimate): Slow start to week:

25-Jun 0845 NY Fed Pres Williams, OPEN Finance Forum NY

25-Jun 0830 Jun Philadelphia Fed Nonmfg Index

25-Jun 0855 22-Jun Redbook retail sales m/m (-2.4%, --)

25-Jun 0900 Apr FHFA Home Price Index (0.1%, --)

25-Jun 0900 May bldg permits revision

25-Jun 0900 Apr Case-Shiller Home Price Index (0.1, --)

25-Jun 1000 May new home sales (673k, 690k)

25-Jun 1000 Jun Richmond Fed Mfg Index (5, 7)

25-Jun 1000 Jun Conference Board confidence (134.1, 130.5)

25-Jun 1030 Jun Dallas Fed services index

25-Jun 1200 Atl Fed Pres Bostic, panel: State of Nation's Housing '19 Release

25-Jun 1830 StL Fed Pres Bullard, opens Homer Jones Memorial Lecture, Q&A

PIPELINE: High-grade issuance starts off slowly

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

06/24 $400M Ventas Realty 5Y +120a

06/24 $300M Public Service/New Hampshire WNG 30Y +125a

06/24 $Benchmark Enterprise Products Operating LLC 10Y +125a, 30Y +180a

06/24 $Benchmark American Honda Finance 3Y +70a, 5Y +85a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +15,000 Aug 80/81/82 call flys, 2.25 vs. 98.06/0.10%

* -20,000 short Aug 80/82/85 call flys, 6.0

Block, 1211:38ET, adds to 5k in pit, same level

* +10,000 short Dec 85/87/90 call trees, 3.0 net

* -20,000 Dec 80/83/88 1x3x2 broken call flys, 1.0-1.25

-10,000 Dec 82/85/86 call flys, 1.0

* -10,000 Dec 82/85/86 broken call flys 1.5 over Oct 85 calls -- adds to 25k

Block

* +5,000 Oct/Dec 82 call spds, 3.0

* 4,700 Sep 81/82 call spds on screen

Block, 0950:12ET,

* 25,000 Oct 85 calls, 4.0 vs.

* 25,000 Dec 82/85/86 broken call flys, 5.5

* -10,000 short Aug 82/85/87 call flys, 6.25

* +10,000 Jul/Sep 81 call spds, 4.5 vs. 98.03/0.08%

and Block crosses so far

* -2,800 Mar/short Mar 80 put spds, 1.0

* +2,750 Mar 81 calls, 37.0 vs. 98.37

* -6,000 Green Dec 73/85 1x2 call spds, 69.5 vs. 98.37

* 1,000 Dec 80/81/82 call flys, 1.25

Block package at 0553:49ET

* 10,000 Aug 80 calls 2.0 over the Jul 78/80 call spd vs. 98.025/0.30%

* -25,000 Sep 76/78 call spds, 20.5 vs. 98.025/0.20%

* +25,000 Sep 77/78 1x2 call spds, 10.5 vs. 98.025

* +50,000 Sep 81/82/83 call flys, 2.5 vs. 98.025

Block at 0536:00ET 

* -20,000 short Jul 86 calls, 4.0

Block at 0411:00ET

* 40,000 Jul 80 calls, 7.0 vs,.

* 20,000 Sep 80 calls, 11.5-12.0

Tsy options/Pit/screen:

* 4,000 TYU 127/128 strangles vs.

* 6,000 TYU 125.5/130 strangles, 133

* +5,500 TYU 130 calls, 20-17

* +2,000 TYU 126.5/130 strangles, 42

* +10,000 wk2 FV 117.5 puts, 9.5

* +2,000 FVQ 117.5/118.5 strangles, 45.5

* +1,000 FVU 117/119.5 strangles, 22.5

Block, 0644:10ET,

* 25,000 FVQ 119 calls, 9/64

* 20,000 FVU 119 calls, 16.5

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

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