US TSYS: SECOND DAY STRONG TSY BEAR CURVE STEEPENING

US TSY SUMMARY: Tsys sharply lower after the bell, at/near low end broad range,

heavier futures volume for typically quiet summer trade (TYU>1.49M); 30YY topped

3.101%, mid-June highs. Quiet start w/Fed in blackout through Aug 2, limited

data w/existing home sales (5.38M), 13- and 26W bill auctions.

- Less risk-on move than buyers making themselves scarce amid thin mkt/summer

conditions. Moderate sell interest hits air pocket, triggering some sell-stops

on the way down, curve flattener unwinds by weaker hands (2s10s near 10bp

steeper from last Thu set's, 5s30s appr 5.5 steeper). Sources noted couple

rounds of block sales in Sep Bunds; rebound in US$ index (+.191 to 94.667 vs.

94.207L) and US$/Yen contributed (+.09, 111.51 vs. 110.75L). Tsy Block, +5,378

WNU, 156-21 buy-thru -16 post time offer; late steepener Block +9.3k FVU

113-06.5 vs. -4k USU 142-26. Equities rebound (emini +7.0, 2807.75); gold

remains soft (XAU -7.47, 1226.53); West Texas crude weaker/revering early bid

(WTI -0.5, 67.76).

- Tsy cash/ylds: 2Y 99-23.88 (2.633%), 5Y 99-02.25 (2.826%), 10Y 99-07.5

(2.963%), 30Y 100-13 (3.102%).

US TSY FUTURES CLOSE: Trading lower at/near the bottom of the range, decent

volume (TYU 1.42M), curves steeper, updates:

* 2s10s +3.073, 32.863 (28.821L/33.141H);

* 2s30s +3.723, 46.776 (42.084L/47.272H);

* 5s30s +1.657, 27.613 (25.633L/28.191H);

Current futures levels:

* Sep Ultra bonds down 2-00/32 at 156-11 (156-09L/158-19H)

* Sep 30-yr Bond futures down 1-11/32 at 142-27 (142-25L/144-12H)

* Sep 10-yr futures down 16/32 at 119-15.5 (119-15L/120-3.5H)

* Sep 5-yr futures down 09/32 at 113-6.25 (113-5.75L/113-17.5H)

* Sep 2-yr futures down 02/32 at 105-23.5 (105-23.25L/105-26.5H)

US EURODOLLAR FUTURES CLOSE: Trading mixed with the long end moderately lower,

most of strip at or near session lows. Current White pack (Sep'18-Jun'19):

* Sep'18 +0.010 at 97.565

* Dec'18 -0.010 at 97.330

* Jun'19 -0.020 at 97.180

* Jun'19 -0.035 at 97.075

* Red pack (Sep'19-Jun'20) -0.055-0.040

* Green pack (Sep'20-Jun'21) -0.070-0.060

* Blue pack (Sep'21-Jun'21) -0.070

* Gold pack (Sep'22-Jun'22) -0.070-0.065

US DOLLAR LIBOR: Latest settles,

* O/N +0.004813 to 1.9183% (-0.0041 last wk)

* 1 Month -0.0054 to 2.0636% (-0.0042 last wk)

* 3 Month -0.0062 to 2.3353% (+0.0057 last wk)

* 6 Month -0.0034 to 2.5208% (+0.0034 last wk)

* 1 Year -0.0024 to 2.7992% (+0.0148 last wk)

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

* Secured Overnight Financing Rate (SOFR): 1.88% vs. 1.90% prior, $773B

* Broad General Collateral Rate (BGCR): 1.86% vs. 1.88% prior, $395B

* Tri-Party General Collateral Rate (TGCR): 1.86% vs. 1.88% prior, $379B

US SWAPS: Spds running tighter by the bell, just off session lows. Decent flow

as rates continue to bear steepen, buyers absent heading into midday. Pick-up in

swappable corp supply (notably in 5Y sector). Flow over the last hour includes

flatteners in 2s vs. 5s and 7s, 2s5s10s fly/receiving belly. Outright flow, >$1B

nominal receiver in 1s, receiver in 2s at 2.840%, two-way in 5s around

2.945-2.9555%. Latest spd levels:

* 2Y  -0.95/22.65

* 5Y  -0.94/13.69

* 10Y -0.69/5.56

* 30Y -1.06/-7.44

PIPELINE: Multiple launches, still waiting on IFC, may price Tuesday

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

07/23 $1.55B #Fifth Third Bank, $500M 3Y fix +63, $300M 3Y FRN L+44, $750M 7Y

fix +103

07/23 $1B #Berkshire Hathaway Energy 30Y +135

07/23 $750M #PNC Bank 10Y +112

07/23 $500M #SMBC Aviation Capital 5Y +133

07/23 $500M *Nonghyup Bank 5Y +122.5

07/23 $Benchmark International Finance Corp (IFC) 5Y MS+4a

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

- Jul 24 Jul Philadelphia Fed Nonmfg Index (39.1, --) 0830ET 

- Jul 24 21-Jul Redbook retail sales m/m (0.1%, --) 0855ET 

- Jul 24 May FHFA Home Price Index (0.1%, --) 0900ET 

- Jul 24 Jul Markit Services Index (flash) (56.5, --) 0945ET 

- Jul 24 Jul Markit Mfg Index (flash) (55.4, --) 0945ET 

- Jul 24 Jul Richmond Fed Mfg Index (20, --) 1000ET 

- Jul 24 US TSY $35B 2Y note auction, Jul 31 settle 1300ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

Block, 14:35:03ET,

* 10,000 Short Sep 70 puts vs Green Sep 68 puts for net 1

* 4,000 Dec 71/72/73 put fly at 3.75 vs 9733.5/0.05%

* 6,000 Red Dec 77 calls at 6 vs 9699/0.14%

* 5,000 short Dec 63/65/66/67 put condors, 2.0 on screen

* -12,000 Sep 75/76 put sprd at 6.5

* 10,000 Mar 71/75 put sprd at 24.5 vs 9721.5/0.40%

* 12,000 Jun 66/67/68 put fly at 2 vs 9706/0.05%

UPDATE: Total 10,000 Sep 75 calls at 8 vs 9759/0.10%

* 10,000 Dec 71/73 put sprd at 9

UPDATE: Total 7,000 Sep 75 calls at 8 vs 9759/0.10%

* 4,000 Oct 71/72/73 put fly at 4.5

* 4,000 Sep 75 calls at 8 vs 9759/0.10%

* -10,000 Mar 70/72 put sprd at 11

* 3,000 Sep 75/76 call sprd vs Dec 73/75 call sprd for net 1.75

* 30,000 Red Sep 73/78 1x2 call sprd vs Red Dec 73/78 1x2 call sprd for net 6.5

* 4,000 Short Jun 63/68 2x1 put sprd vs Red Jun 63/68 2x1 put sprd for net 0,

Tsy options, Pit/screen, reminder August options expire Friday:

* 2,500 TYU 118.5/119 put spds, 9/64 vs. 119-15

* 2,400 TYQ/TYU 119.5 put spds, 19/64 vs. 119-22.5/0.10%

* 4,854 TYQ 121.5 calls vs. 1,618 TYU 120.5 calls, 13/64 net on the 3x1

* 1,500 USQ 141/142.5 2x1 put spds, 10/64

* 1,300 USU 143 puts, 1-7/64 vs. 143-08/0.45%

*+1,000 TYU 120/122 call spds, 26/64 earlier

Block, 0952:15ET,

* -8,200 TYZ 120 calls, 57/64 sell through 58/64 post-time bid

* +3,000 USU 145/147 call spds 31/64 vs. 143-30/0.20-.22%

* 1,000 TYU 118.5/119.5 2x1 put spds, 8/64 vs. 119-27/0.10%

* 1,000 wk2 TY 118/119 put spds, 6/64 vs. 119-28

* -4,000 FVU 113.5 straddles, 40.5/64 in pieces -- bid reloads

* appr 35,000 (pit/screen) TYQ 120.5 calls at 4/64

Overnight trade/totals:

* appr +13,000 TYU 119/119 put spds, 8- to 9/64

* appr -10,000 TYQ 119.5 puts, 3- to 5/64

* +5,000 TYU 118.5 puts, 7/64

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

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