US TSYS: RATE RALLY AND DOLLAR REVERSAL/TRUMP EFFECT

US TSY SUMMARY: Rates higher by the bell/off highs on choppy day, implied vol

rather subdued. Second-half surge on heavy futures volume (150k TYU from

120-07.5 to 120-13.5 over 5 min's)/US$ fell after Pres Trump comments on CNBC:

not happy about interest rates going higher, and "CHINESE CURRENCY `DROPPING

LIKE A ROCK". Rates receded off highs soon after, helping keep vol in check.  

- US$ index off highs: DXY +0.030 to 95.115 (95.652H/94.937L); US$/Yen -.40 to

112.46 (113.17H/112.06L); equities weaker (emini -6.5, 2809.5); gold off lows

(XAU -4.63, 1222.92); West Texas crude stronger (WTI +0.57, 69.33).

- Early rate recovery/domino effect w/DAX leading initial sell-off in equities,

eminis followed, spurred Tsy bid, tight stops triggered as fast$ and prop accts

+5s-7s, real$ bought 10s, insurance portfolio buying 30s cash and futures. Large

sale -30k EDU8/EDZ8 at 0.210 front end Eurodollar futures an unwind of buy from

Tue, recent front end duration weighted steepener Block +10,504 TUU vs. -8,950

FVU. West Texas crude strong bounce after Saudi headlines re: substantial

inventory drawdown. Tsy cash/ylds: 2Y 99-26.25 (2.591%), 5Y 99-15 (2.739%), 10Y

100-07.5 (2.845%), 30Y 102-03 (2.967%).

US TSY FUTURES CLOSE: Trading higher in the top half of the

range, strong volume (TYU 1.54M), Curves mixed, updates:

* 2s10s -0.739, 25.048 (24.402L/26.795H);

* 2s30s +0.060, 37.499 (35.918L/38.082H);

* 5s30s +1.101, 22.740 (20.634L/22.986H);

Current futures levels:

* Sep Ultra bonds up 21/32 at 160-01 (158-30L/160-15H)

* Sep 30-yr Bond futures up 18/32 at 145-09 (144-12L/145-18H)

* Sep 10-yr futures up 07.5/32 at 120-9.5 (119-27.5L/120-13.5H)

* Sep 5-yr futures up 4.25/32 at 113-18.5 (113-10L/113-21H)

* Sep 2-yr futures up 1.5/32 at 105-26 (105-23.25L/105-26.75H)

US EURODOLLAR FUTURES CLOSE: Trading mildly higher across the strip near the top

of the range. Current White pack (Sep'18-Jun'19):

* Sep'18 +0.005 at 97.540

* Dec'18 +0.010 at 97.335

* Jun'19 +0.015 at 97.205

* Jun'19 +0.015 at 97.115

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

* Green pack (Sep'20-Jun'21) +0.030-0.025

* Blue pack (Sep'21-Jun'21) +0.030-0.025

* Gold pack (Sep'22-Jun'22) +0.035-0.025

US DOLLAR LIBOR: Latest settles,

* O/N -0.0010 to 1.9122% (-0.0054/wk)

* 1 Month -0.0052 to 2.0810% (+0.0078/wk)

* 3 Month -0.0005 to 2.3470% (+0.0112/wk)

* 6 Month +0.0006 to 2.5272% (+0.0064/wk)

* 1 Year +0.0066 to 2.8074% (+0.0206/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.90% vs. 1.92% prior, $783B

* Broad General Collateral Rate (BGCR): 1.87% vs. 1.91% prior, $389B

* Tri-Party General Collateral Rate (TGCR): 1.87% vs. 1.91% prior, $376B

US SWAPS: Spds mostly wider by the bell, spd curve flatter w/short end on

session wides after decent round of midday receiving in 2s and 3s and 2s5s,

5s10s steepeners pushed spds back near steady recently. Earlier flow included

paying 3s4s5s, receiving 5s6s7s and paying 5s7s10s, decent rate paying in 5s

around 2.9245-.9265% and 3s4s flatteners, real$ paying long end earlier. Latest

spd levels:

* 2Y  +0.62/23.25

* 5Y  +0.44/14.56

* 10Y +0.12/6.81

* 30Y -0.25/-4.62

PIPELINE: Slowing down after $31.45B priced on Week, bank-heavy issuance as

earnings cycle winds down

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

07/19 $Benchmark US Bank NA/Cincinnati 2Y & 5Y fix/FRN

07/19 $Benchmark M&T 5Y fix +95a, 5Y FRN LIBOR equiv

07/19 $Benchmark IHS Markit 5Y +170a, 10Y +220a

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

- Jul 20 Jun BLS state payrolls (269.5k, --) 1000ET

- Jul 20 Q3 St. Louis Fed Real GDP Nowcast (+3.58%, --) 1100ET

- Jul 20 Q3 NY Fed GDP Nowcast (2.6%, --) 1115ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* 5,000 Long Green Dec 95 puts at 1 vs 9700/0.10%

* 5,000 Sep 80/81 1x2 call sprd at CAB vs 9753.5/0.10%

* +5,000 Blue Sep 67/73 call over risk reversal at 1 vs 9707/0.20%

* +4,000 Red Dec 70/71 put sprd at 7.5 vs 9699/0.10%

* 6,000 Mar 70/71 put sprd at 4.5

* 6,000 Mar 71/72 Strangle at 18.5

Block, 1257:21ET, adds to 10k in pit

* 10,000 Dec 71/72 2x1 put spds, 2.0 net

* -5,000 Sep 75/76 call sprd vs Dec 73/75 call sprd for net 0.5

* +20,000 Long Green Dec 55/60 4x1 put sprd at 0

* 5,000 Jan 73/76 2x3 call sprd at 4.5

* +6,000 Short Dec 70/Dec 73 put sprd for 5.5, Buying the Short Dec

* +5,000 Green Dec 72/73 call sprd at 2.5

* +5,000 Short Jun/Blue June 73 calls for 1

* +3,000 Short Dec 67/68 put sprd vs Front Dec 71/72 put sprd for net 1.25

Tsy options, Pit/screen: 

* +10,000 FVU 115/115.5 call spds, 1/64

Block, 1200:01ET,

* +8,200 TYZ 120 calls, 1-6/64 buy through 1-5/64 post time offer

* 1,300 TYU 121 calls, 14/64

* 2,200 TYQ 119.5 puts, 3/64 vs. 120-03/0.10%

* +4,200 TYQ 119.5 puts, 3/64

* 2,500 TYQ 119/120 1x2 call spds on screen earlier, 36/64 net

* 1,000 TYU 120.5 calls, 21/64 vs. 120-02.5

* 1,000 TYU 118.5 puts, 5/64 vs. 120-07.5

* -1,000 TYQ 120 straddles, 28/64

* 4,000 TYQ 120.5/121 1x2 call spds, 2/64 net on screen

* appr 10,000 TYU 121 calls, 11/64 on screen

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

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