US TSYS: REVERSE EARLY RISK ON, CRUDE, US$/YEN DIVE

US TSY SUMMARY: Tsys reversed early risk-on tone (carry over from London trade

w/Bunds and Gilts weaker, sovereign spds tighter, equities firmer, crude hitting

multi-year highs) to finish at/near session highs. 

- Decent action on shortened pre-holiday session, moderate futures volume (TYU

appr 975k), light data w/auto sales, factory orders, Redbook retail sales.

- US$ index little softer (DXY -0.182 to 94.689; US$/Yen -.35 110.55); equities

weaker, well off early highs (emini -12.5, 2715.75 vs. 2739.75H); gold firmer

(XAU +11.05 1253.05); West Texas crude reversed course -- off multi year highs

not seen since late 2014 (WTI -.17, 73.77, 72.73L/75.27H).

- Swap spds mildly wider for the most part, short end tighter since the open,

spd curve steeper vs. flatter yld curves. Light two-way flow on shortened

pre-holiday session: Earlier flow includes 2-way in 2s and 5s, better net

receiver in 5s and 2s/6s flattener, earlier receiving out the curve.

- Tsy cash/ylds: 2Y 99-30.25 (2.524%), 5Y 99-17.5 (2.721%), 10Y 100-11.5

(2.831%), 30Y 103-08 (2.959%).

US TSY FUTURES CLOSE: Firmer, near session highs after a weaker/risk-on start.

Current cash 10Y 100-10 (2.836%) vs. 99-31 (2.877%) on the open. Curves inch

flatter:

* 2s10s -1.452, 30.403 (29.774L/32.983H);

* 2s30s -0.864, 43.172 (42.308L/45.477H);

* 5s30s -0.018, 23.625 (22.601L/24.801H);

Current futures levels:

* Sep Ultra bonds up 22/32 at 159-31 (158-27L/160-01H)

* Sep 30-yr Bond futures up 19/32 at 145-11 (144-16L/145-12H)

* Sep 10-yr futures up 7.5/32 at 120-10 (119-30L/120-11H)

* Sep 5-yr futures up 3.75/32 at 113-20 (113-13.5L/113-20.25H)

* Sep 2-yr futures up 1.25/32 at 105-29.25 (105-27.25L/105-29.25H)

US EURODOLLAR FUTURES CLOSE: Holding mildly firmer levels across the strip by

the early close, near top end narrow session range on light volume. Current

White pack (Sep'18-Jun'19):

* Sep'18 +0.010 at 97.550

* Dec'18 +0.015 at 97.365

* Jun'19 +0.015 at 97.240

* Jun'19 +0.025 at 97.150

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

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

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

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

US DOLLAR LIBOR: Latest settles,

* O/N -0.0016 to 1.9281% (-0.0072/wk)

* 1 Month +0.0000 to 2.0999% (+0.0097/wk)

* 3 Month +0.0000 to 2.3425% (+0.0068/wk)

* 6 Month -0.0029 to 2.5068% (+0.0056/wk)

* 1 Year +0.0016 to 2.7731% (+0.0091/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.04% vs. 2.12% prior, $775B

* Broad General Collateral Rate (BGCR): 2.00% vs. 2.10% prior, $337B

* Tri-Party General Collateral Rate (TGCR): 2.00% vs. 2.10% prior, $310B

US SWAPS: Spds mildly wider for the most part, short end tighter since the open,

spd curve steeper vs. flatter yld curves. Light two-way flow on shortened

pre-holiday session. Earlier flow includes 2-way in 2s and 5s, better net

receiver in 5s and 2s/6s flattener, earlier receiving out the curve. Latest spd

levels:

* 2Y  -0.19/25.69

* 5Y  +0.19/15.50

* 10Y +0.19/7.88

* 30Y +0.12/-5.25

PIPELINE: Issuance remains slow ahead holiday, $500M/wk

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

07/03 $500M *Kommunalbanken WNG 11/2019 -3

- 

No new issuance Monday

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

- Jul 04 US markets closed for Independence Day holiday

- Jul 05 29-Jun MBA Mortgage Applications 0700ET

- Jul 05 Jun challenger layoff plans (-4.8%, --) 0730ET

- Jul 05 Jun ADP private payrolls (178k, --) 0815ET

- Jul 05 30-Jun jobless claims (227k, 224k) 0830ET

- Jul 05 Jun Markit Services Index (final) (56.5, --) 0945ET

- Jul 05 01-Jul Bloomberg comfort index (57.3,--) 0945ET

- Jul 05 Jun ISM Non-manufacturing Index (58.6, 58.2) 1000ET

- Jul 05 Jul IBD/TIPP Optimism Index (53.9, --) 1000ET

- Jul 05 29-Jun crude oil stocks ex. SPR w/w 1100ET

- Jul 05 Federal Reserve June 12-13 FOMC minutes release 1400ET

- Jul 05 04-Jul Fed weekly securities holdings 1630ET

     Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 5,000 Dec 73/75 1x2 call spds, 1.0

* -8,000 Blue Aug 73 calls, 1.5

* +20,000 Mar 68/70/71 put flys, 2.0 vs. 97.25/0.10%

* 2,000 Sep 76/77/78 call flys, 1.25 vs.

* 2,000 Dec 75/76/77 call flys, 1.0

* over 10,000 Red Dec19 61/62 put spds, 1.0

* +8,000 Jun 66/67 put spds, 1.0 vs. 97.13/0.10% w/

* +8,000 Red Dec'19 61/65 put spds, 5.5 vs. 97.01/0.15%

* 5,000 Dec 73/75/76 call flys, 1.75

* 2,500 Green Sep 65/68 put spds, 7.0

* screen 6,000 Green Sep 68/70 combo

screen trade into opening bell

* total 20,000 Jun 70 puts (not calls), 12.0

* total 25,000 long Green Dec20 50 puts, 1.0

* 10,000 Dec 82/83 put spds

* 5,000 Sep 75/76 call spds vs. Dec 73/75 call spds (global macro sold 20k Mon

at 0.5)

* 9,500 Jun 70 calls, 12.0

* 4,300 long Green Dec'20 95 puts, 1.0

* earlier 10,000 Dec 72/73 put spds 4.0 over the 76 call block makes up balance

of overnight trade

Tsy options, Pit/screen:

* +10,000 TYQ 121/TYU 122 call spds, 1/64

* 4,000 TYQ 118.5/119.5 2x1 put spds, 5/64

* over 5,000 TYQ 118.5/119 2x1 put spds, even

* 15,000 TYQ 118/119 2x1 put spds on screen, 1/64 net

* 3,000 FVU 115 calls, 4.5/64 vs. 113-19

* 1,500 FVU 113.5 straddles, 52.5/64 earlier

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

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