US TSYS: QUIET WEEK OPEN AHEAD TUESDAY'S HEAVY DATA DROP

US TSY SUMMARY: Very quiet start to the week with little data and no Fed speak

Monday, many opting to ply the sidelines to await Tue's heavy data drop and

multiple Fed speakers. Rates started session weaker on light volume due to Japan

out for one-day holiday. Low participation on narrow ranges after the initial

bounce carried through the closing bell.

- Yld curves bull flattened, unwinding small portion of last week's steepening

(3M10Y -3.052 at -4.068); equities pared gains and drifting near steady in late

trade (ESU9 +.50 at 3016.25).

- A 25bp cut end of July is still 100% priced in while a 50bp cut that had risen

to over 25% from 0.0% after the Fed chair's testimony last week, has declined

back to 18% (according to MNI's PINCH model) today. For the balance of 2019,

MNI's PINCH model shows chances of a second 25bp cut at the Sep FOMC at 100%,

while Dec chances of third 25bp cut are at 69.9% vs. 45.0% a month ago.

- Decent option volume, strike roll-up and out positioning in Eurodollar options

- The 2-Yr yield is down 1.8bps at 1.829%, 5-Yr is down 2.7bps at 1.8444%, 10-Yr

is down 3.3bps at 2.0887%, and 30-Yr is down 3.7bps at 2.6099%.

US TSY FUTURES CLOSE: Firmer, near top end of session range on very light volume

(TYU <820k) partially due to Japan closed for one day holiday while many plying

sidelines to await Tue's heavy data drop and multiple Fed speakers. Update:

* 3M10Y  -2.878, -4.434 (L: -4.946 / H: -0.825)

* 2Y10Y  -1.538, 25.735 (L: 25.151 / H: 29.277)

* 2Y30Y  -1.997, 77.754 (L: 77.052 / H: 81.461)

* 5Y30Y  -1.117, 76.296 (L: 75.851 / H: 78.643)

Current futures levels:

* Sep 2-Yr futures up 0.375/32  at 107-12 (L: 107-10.125 / H: 107-12.125)

* Sep 5-Yr futures up 1.25/32  at 117-20.25 (L: 117-14.25 / H: 117-21)

* Sep 10-Yr futures up 2.5/32  at 127-6 (L: 126-27 / H: 127-07)

* Sep 30-Yr futures up 12/32  at 154-3 (L: 153-02 / H: 154-04)

* Sep Ultra futures up 23/32  at 175-1 (L: 173-11 / H: 175-05)

US EURODLR FUTURES CLOSE: After a weak open, futures trade modestly higher after

the bell, session highs for the most part on modest volume. Current White pack

(Sep 19-Jun 20):

* Sep 19 +0.010 at 97.935

* Dec 19 steady at 98.010

* Mar 20 +0.010 at 98.20

* Jun 20 +0.010 at 98.290

* Red Pack (Sep 20-Jun 21) +0.015 to +0.015

* Green Pack (Sep 21-Jun 22) +0.015 to +0.025

* Blue Pack (Sep 22-Jun 23) +0.020 to +0.025

* Gold Pack (Sep 23-Jun 24) +0.025 to +0.030 

US DOLLAR LIBOR: Latest settles

* O/N -0.0020 at 2.3571% (+0.00109 last wk)

* 1 Month -0.0179 to 2.3141% (-0.0345 last wk)

* 3 Month -0.0190 to 2.3032% (+0.0108 last wk)

* 6 Month -0.0121 to 2.2171% (+0.0194 last wk)

* 1 Year -0.0206 at 2.2105% (+0.0395 last wk)

US SWAPS: Little vol for spds - running mostly/mildly tighter by the bell, long

end back to steady. Mild overall flow covers better receiving in 5s-10s on net.

Individual flow includes receivers in 1s (2.054), and 3s (1.8215%), payer in 5s

(1.837%, two-way in 10s around 2.03125-2.02924%, decent 4s5s7s receiver fly.

Deal-tied selling in the mix. Current levels:

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

Mon 1500    -0.31/3.19     -0.75/-1.62    -0.81/-6.62   +0.00/-34.75

1345        -0.25/3.25     -0.69/-1.56    -0.69/-6.50   +0.19/-34.56

1130        -0.19/3.31     -0.31/-1.19    -0.38/-6.19   +0.25/-34.50

1015        -0.38/3.12     -0.38/-1.25    -0.44/-6.25   +0.06/-34.69

Mon Open    -0.06/3.44     -0.31/-1.19    -0.56/-6.38   +0.00/-34.75

Mon 0730    -0.06/3.44     -0.31/-1.19    -0.56/-6.38   +0.00/-34.75

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

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): 2.36%, $1.138T

* Broad General Collateral Rate (BGCR): 2.37%, $501B

* Tri-Party General Collateral Rate (TGCR): 2.34%, $473B

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

16-Jul 0815 Atl Fed Pres Bostic moderates Fed Listens event, Augusta Univ, Ga

16-Jul 0830 Gov Michelle Bowman open remarks Fed Listens event, Ga

16-Jul 0830 Jun retail sales (0.5%, 0.2%), ex MV(0.5%, 0.2%)/ex gas(0.5%, 0.4%)

16-Jul 0830 Jun imports price ind (-0.3%, -0.6%); exports (-0.2%, -0.3%)

16-Jul 0830 Jul NY Fed Business Leaders Index 

16-Jul 0855 13-Jul Redbook retail sales m/m (-2.2%, --)

16-Jul 0915 Jun Industrial Prod (0.4%, 0.2%); CapU 78.1%, 78.1%)

16-Jul 1000 May business inventories (0.5%, 0.3%)

16-Jul 1000 Jul NAHB home builder index (64, --)

16-Jul 1220 Dal Fed Pres Kaplan, NABE Economic Measurement, lunch session, DC

16-Jul 1300 Fed Chair Powell, G7/Aspects of MonPol in Post-Crisis Era, Paris

16-Jul 1530 Chi Fed Pres Evans, CNBC Work Series event, Q&A

16-Jul 1600 May net TICS flows (-$7.8B, --)

PIPELINE: Burlington Northern Santa Fe +30Y priced late

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

07/15 $825M *Burlington Northern Santa Fe +30Y +95

07/15 $750M #CIBC 4NC3 +80

07/15 $600M #John Deere Capital 10Y +72

07/15 $400M #Reliance Standard Life global funding 3Y +83

07/15 $1B #Rabobank 5Y Sn +83

07/15 $500M #Bank of Nova Scotia WNG 3.5Y +58

07/15 $2B IADB 2Y +3a, 7Y +14a

07/15 $Benchmark Westpac Banking 15NC10, 20Y

07/15 $Benchmark Landeskreditbank Baden-Wuerttemberg (LBank) 5Y RegS +18a

07/?? Chatter: $2.75B Trivium and $4.9B Sinclair Broadcast this week

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* another 6,000 Sep 77/78 put spds vs. Oct 78/80 put spds 2.5 net, adds to 60k

pit/screen/block at 2.25

* 5,000 Aug 81 calls vs. Sep 81/82 call spds, 0.5 net/Sep spd over

* 5,000 Dec 78 puts, 8.0 vs. 98.01/0.35%

* +20,000 short Sep 80 puts, 2.0 on screen

* Update, +25,000 long Green Mar 85/90 call spds, 15.0db on the opener (OI only

1,260 and 6,512 respectively coming into the session)

* 5,000 Aug 76/77 1x2 call spds, 7.0

* +5,000 Aug 77 calls, 0.75

* -5,000 short Aug 88 calls, cab

* -3,000 short Aug 80/81 2x1 put spds, 0.5

* +3,000 Aug 81/82 1x2 call spds, 0.5

Block, 0937:46ET,

* 14,000 Oct 82 calls, 3.75

Block, 0932ET, adds to appr -25k/pit from 4.0-3.5

* -10,000 Dec 80/83/87 call flys, 7.5 vs.

* +10,000 Aug 80/81 2x3 call spds, 4.0

Block, 0921:59ET

* +10,000 Sep 75/77 put spds, 1.5

Block, 0722-0728ET, (screen volume appr 30k now)

* 20,000 Sep 77/78 put spds, 3.25 vs.

* 20,000 Oct 78/80 put spds, 5.5 -- background: paper had been large sellers

(pit/screen/blocked) of the Sep put spd last few weeks, CME posted block buy

last Thursday at 3.5 -- likely seeing start of roll-out and up in strikes as

markets fine tune (read moderating chances of 50bpcut at July meet)

Block, 0722:33-072859ET, repeated on screen another 15,000

* -20,000 Sep 77/78 put spds, 3.25

* +20,000 Oct 78/80 put spds, 5.5

Block, 0703:32ET,

* 5,000 Green Mar 78 calls, 43.5 vs.

* 6,250 Green Mar 80 calls, 34.5 vs.

* 5,000 Green Mar 77 puts, 5.0 vs. 98.245/0.09%

Tsy options, Pit/screen:

4,000 FVQ 116.5/117 put spds vs. FVU 116.5/116.75 put spds, 1.0 net/Sep over

* +26,800 TYU 127 puts, 38/64 on the screen

* +5,000 TUQ 107p, 1/64

* 2,800 USQ 153 puts, 39/64

* +2,000 TYQ 128/128.5 call spds, 3

* +5,500 wk1 FV 118 calls 8/64 over FVU 119c

* 1,400 TYQ 126.7 puts, 11/64

* +1,800 USQ 154 puts, 50/64

* +2,000 TYQ 125/126/126.5p flys, 3

* -1,000 TYQ 126/128 R/R, 1/64

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

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