US TSYS: STRONG CURVE BOUNCE ON BOJ YLD/RATE MODIFY NEWS

US TSY SUMMARY: Tsys broadly lower/off lows by the bell, decent volume

(TYU>1.2M) as curves see largest rebound since May, 30YY >3.03% (Jun 27H). Trump

effect hits US$, complains China & EU for manipulating currency. 

- Tsys decouple from US$, however, AM sell off on word BoJ considering modifying

yld curve and rate targets, "allowing for natural rise in L/T rates." Ahead

open, US Pres Trump "ready" w/additional tariffs on $500B Chinese goods

backstopped rates & weighed on equities. Otherwise light data day, no react to

StL Fed Pres Bullard on MonPol ahead media blackout Sat.

- US$ index off hard: DXY -0.705 to 94.459 (95.280H/94.480L); US$/Yen -.94 to

111.53 (112.62H/111.40L); equities near steady (emini -0.75, 2804.5); gold

firmer (XAU +7.04, 1229.85); West Texas crude firmer (WTI +1.0, 70.46).

- Heavy early trade, stops triggered long end as curves bounced, heavy long end

pressure amid real$, bank and ins port' sales, fast$ flattener unwind 2s10s and

5s30s, prop 2-way shorts to interm's also net better sellers. Massive buy >150k

EDU8 (70k Block) at 97.555. Tsy cash/ylds: 2Y 99-26 (2.595%), 5Y 99-11.5

(2.763%), 10Y 99-26.5 (2.893%), 30Y 101-26.5 (3.030%).

US TSY FUTURES CLOSE: Near late session lows by the bell, curves off midday

steeps'. Current cash 10Y 99-27 (2.891%) vs. 100-07.5 (2.845%) late Thursday;

30YY over 3.03% revisits May 27 lvl. Curves steeper, updates:

* 2s10s +4.666, 29.189 (23.803L/29.838H);

* 2s30s +6.385, 42.952 (35.737L/43.864H);

* 5s30s +4.123, 26.443 (21.561L/27.205H);

Current futures levels:

* Sep Ultra bonds down 1-24/32 at 158-09 (158-08L/160-10H)

* Sep 30-yr Bond futures down 1-2/32 at 144-07 (144-04L/145-16H)

* Sep 10-yr futures down 9.5/32 at 120-00 (119-30.5L/120-12H)

* Sep 5-yr futures down 3.25/32 at 113-15.5 (113-14.25L/113-20.25H)

* Sep 2-yr futures down .5/32 at 105-25.5 (105-25L/105-26.5H)

US EURODOLLAR FUTURES CLOSE: Short end strong on heavy buying on day, levels

moderately lower out the strip by the bell; Reds pare back inversion

w/Greens-Blues slightly. Current White pack (Sep'18-Jun'19):

* Sep'18 +0.020 at 97.560

* Dec'18 +0.005 at 97.345

* Jun'19 +0.000 at 97.205

* Jun'19 -0.005 at 97.110

* Red pack (Sep'19-Jun'20) -0.010-0.025

* Green pack (Sep'20-Jun'21) -0.025-0.035

* Blue pack (Sep'21-Jun'21) -0.040

* Gold pack (Sep'22-Jun'22) -0.045-0.050

US DOLLAR LIBOR: Latest settles,

* O/N +0.0013 to 1.9135% (-0.0041/wk)

* 1 Month -0.0120 to 2.0690% (-0.0042/wk)

* 3 Month -0.0055 to 2.3415% (+0.0057/wk)

* 6 Month -0.0030 to 2.5242% (+0.0034/wk)

* 1 Year -0.0058 to 2.8016% (+0.0148/wk)

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

* Secured Overnight Financing Rate (SOFR): steady at 1.90%, $769B

* Broad General Collateral Rate (BGCR): 1.88% vs. 1.87% prior, $388B

* Tri-Party General Collateral Rate (TGCR): 1.88% vs. 1.87% prior, $375B

US SWAPS: Spds hold mixed levels by the bell, spd curve flatter/near lows. Mid-

to late-day flow includes decent paying in 2s at 2.825%, two-way in 10s after

decent round of paying at 2.952-2.956%, 6s10s curve steepener and 4s6s10s fly,

receiving the belly. First half flow included rate paying in 3s, 4s and 5s (appr

$750M nominal) after receiving in 2s (2.83%) and 5s (2.8925%) faded move coming

into the session. Latest spd levels:

* 2Y  +1.06/23.38

* 5Y  +0.06/14.75

* 10Y -0.62/6.25

* 30Y -1.62/-6.25

PIPELINE: Bank-lead issuance, heavy supply: $36.7B on week

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

No new issuance Friday, 

-

$5.25B priced Thursday

07/19 $3.25B *US Bank NA/Cinc. $650M 2Y +48, $1.35B 2Y FRN L+125, $1.25B 5Y fix

+68

07/19 $1.25B *IHS Markit $500M 5Y +145, $750M 10Y +195

07/19 $750M *M&T $500M 5Y fix +83, $250M 5Y FRN LIBOR +68

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

- Jul 21 Fed media blackout begins, runs through August 2

- Jul 23 Jun existing home sales (5.43M, 5.4M) 1000ET

- Jul 23 Jul Treasury Allotments (p) 1500ET

- Jul 23 US TSY $45B 26W bill auction, Jul 26 settle 1130ET

- Jul 23 US TSY $51B 13W bill auction, Jul 26 settle 1130ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* 5,000 Short Sep 70/71 call over risk reversal at 0 vs 9705.5/0.76%

* +10,000 long Green Dec 50 puts, 1.0 vs. 97.00/0.10%

* 8,000 Long Green Sep 60 puts at 3.5 vs 9702.5/0.10%

* -5,000 long Green Sep 63/68 3x1 put spds, 1.0

Block, 10:56:31ET-10:57:25ET,

* +20,000 Oct 76 calls at 0.75, adds to small in pit

* +70,000 (Blocks/pit/screen) Sep 75/76 2x1 call sprd for 3.25-3.0

* +50,000 Short Jun 63/68 2x1 put sprd vs Red Jun 63/68 2x1 put sprd for net 0,

Short Jun over

* 3,000 Sep 75 Straddle at 7.5

* +5,000 Oct 73/Nov 75 call spds, 2.0

* -10,000 Green Dec 73 calls vs. 5,000 Dec 73/75 call spds, 1.0 net cr

UPDATE: Total 20,000 Dec 73/75 call sprd vs Sep 75/76 call sprd 0.75 net

* +20k EDZ9 97.25/97.75 1x2 call spread at 4 at 1059:49BST

Tsy options, Pit/screen

* over 24,000 (pit/screen) TYQ 119.5 puts at 3/64 last couple minutes, 120-01.5

ref

* -4,000 TYU 121/121.5 call spds, 5/64 vs. 120-01

* 5,000 wk1 TY 121.5 calls, 2/64 vs. 119-31/0.05%

* 1,700 TYQ 120.5 calls, 4/64 vs. 120-01

* TYU 120 straddles trade small, 1-28/64

* over -7,000 TYU 121/122 call spds, 8- to 9/64

* 2,000 FVU 112.75/113 put spds at 12/64

* +9,000 TYU 121/121.5 call spds, 6/64

* -6,000 TYU 120/122 call spds, 35/64

* -4,300 TYU 119 puts, 8/64 vs. 120-07

* 4,000 TYQ 120/120.5 call spds, 16/64 vs. 120-08.5 little earlier

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

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