US TSYS: TRADE/GEOPOLITICAL ANGST TAKES A BREATHER

US TSY SUMMARY: Real vol evaporated on narrow range trade in rates, brief

(likely) lull in trade and geopolitical risk added to two-way flow on narrow

range, US$ regained footing. Making Summer Trade Great Again (quiet)

- US$ index higher (DXY +.408 to 94.697; US$/Yen +0.45 to 110.11); equities

see-sawed higher after Mon's steep sell-off (emini +9.0, 2731.25); gold weaker

(XAU -7.09, 1258.52); West Texas crude >70 first time in 4 wks after headlines

US presses allies to cut Iran imports to zero by Nov 4 (WTI +2.34, 70.42 -- ).

- Plain vanilla early summer session, light futures volume (TYU<1M), narrow

ranges on two-way trade, limited deal-tied hedging; $34B 2Y auction awarded a

2.538% rate (2.590% previous) w/bid/cover 2.73. US$ rebound spurred sporadic

sell pressure as did tepid rebound in equities (weaker EU banks weighed on DAX)

- Limited react on Fed speak Dallas Fed Pres Kaplan (SEES U.S. GDP GROWTH OF

2.75% PERCENT THIS YEAR); Atlanta Fed Pres Bostic (TRADE CAUSING UNCERTAINTY,

TOO SOON TO PICK A WINNER).

- Tsy cash/ylds: 2Y 99-29.75 (2.533%), 5Y 100-00.25 (2.746%), 10Y 99-30.5

(2.878%), 30Y 101-29 (3.027%).

US TSY FUTURES CLOSE: Mildly lower in the middle of the range, curves hold

little steeper, update:

* 2s10s +0.023, 34.552 (33.821L/35.362H);

* 2s30s +0.442, 49.379 (48.548L/50.350H);

* 5s30s +0.748, 27.868 (27.002L/28.695H);

Current futures levels:

* Sep Ultra bonds down 03/32 at 158-10 (157-28L/158-23H)

* Sep 30-yr Bond futures down 03/32 at 144-08 (143-30L/144-17H)

* Sep 10-yr futures down 0.5/32 at 120-00.5 (119-26.5L/120-03.5H)

* Sep 5-yr futures down 0.5/32 at 113-16.75 (113-13.25L/113-18.75H)

* Sep 2-yr futures down 0.25/32 at 105-28.75 (105-27.75L/105-29.75H)

MONTH-END EXTENSIONS: Bloomberg-Barclays US month-end index extensions compared

to the average increase for the past year and the same time in 2017.

*.....................Projected...1Y Avg Incr..Last Jul

*US Tsys.................0.06........0.06........0.04

*Agencies................0.12........0.08........0.06

*Credit..................0.08........0.04........0.04

*Govt/Credit.............0.07........0.06........0.04

*MBS.....................0.07........0.05........0.15

*Aggregate...............0.07........0.05........0.07

*Long Govt/Credit........0.04........0.00.......-0.04

*Interm Credit...........0.05........0.04........0.03

*Interm Govt.............0.07........0.03........0.03

*Interm Govt/Cred........0.06........0.03........0.03

*High Yield..............0.04........0.01........0.00

US EURODOLLAR FUTURES CLOSE: Front end mostly steady with the rest of strip

slightly lower. Current White pack (Sep'18-Jun'19):

* Sep'18 0.000 at 97.545

* Dec'18 0.000 at 97.355

* Jun'19 0.000 at 97.230

* Jun'19 0.000 at 97.135

* Red pack (Sep'19-Jun'20) -0.005-EVEN

* Green pack (Sep'20-Jun'21) -0.010-0.005

* Blue pack (Sep'21-Jun'21) -0.010

* Gold pack (Sep'22-Jun'22) -0.010-0.005

US DOLLAR LIBOR: Latest settles,

* O/N +0.0034 to 1.9350% (+0.0070/wk)

* 1 Month -0.0010 to 2.1018% (+0.0041/wk)

* 3 Month -0.0014 to 2.3356% (-0.0032/wk)

* 6 Month +0.0000 to 2.5025% (-0.0050/wk)

* 1 Year +0.0050 to 2.7709% (-0.0059/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.91% vs. 1.92% prior, $755B

* Broad General Collateral Rate (BGCR): 1.89% vs. 1.90% prior, $364B

* Tri-Party General Collateral Rate (TGCR): 1.89% vs. 1.90% prior, $353B

US SWAPS: Spds turn steady/mixed in late trade, unwinding earlier narrowing on

decent two-way flow: rate paying in 2s (2.7925%), 3s (2.8602%), 5s (2.894%) and

6s (2.8975%); receivers in 4s (2.8775%) and 10s (2.93894%); spd curve steepeners

in  2s3s, 3s10s and 5s10s, flatteners in 2s4s. Earlier flow includes 2-way 3s4s

curve action, 2s3s steepener and decent rate receiving in 1s and 5s. Latest spd

levels:

* 2Y  -0.31/25.88

* 5Y  +0.00/14.62

* 10Y -0.12/6.62

* 30Y +0.06/-7.12

PIPELINE: Slow build

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

06/26 $1B Municipality Finance 3Y, 5Y

06/26 $500M Penske Truck Leasing 5Y +137.5a

06/26 $300M USAA Capital 2Y +65a

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

- Jun 27 22-Jun MBA Mortgage Applications (5.1%, --) 0700ET 

- Jun 27 May durable goods new orders (-1.6%, -0.8%) 0830ET 

- Jun 27 May durable new orders ex transport (0.9%, 0.4%) 0830ET 

- Jun 27 May advance goods trade gap (-$68.2b, --) 0830ET 

- Jun 27 May advance wholesale inventories 0830ET 

- Jun 27 May advance retail inventories 0830ET 

- Jun 27 May NAR pending home sales index (106.4, --) 1000ET 

- Jun 27 22-Jun crude oil stocks ex. SPR w/w (-5.914m bbl, --) 1030ET 

- Jun 27 Fed VC Quarles, "Int'l Reg Participation and Cooperation", Q&A, Idahi,

1100ET

- Jun 27 US TSY TO SELL $16.000 BLN 1Y-10M FRN, SETTLE JUN 29 1130ET 

- Jun 27 Bos Fed Pres Rosengren, Olcay Ethics/Eco Lecture, Peterson Inst Int'l

Ec's, Boston 1215ET 

- Jun 27 US TSY TO SELL $36.000 BLN 5Y NOTES, SETTLE JUL 02 1300ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

Block, 13:36:56ET

* 10,000 Green Sep 68 puts at 6.5 vs 9702.5/0.34%

* 7,000 Jun 77 call at 4 vs 9711/0.12%

* 3,500 Red Mar 77 call at 10 vs 9698/0.18%

* 3,000 Oct 72 put at 2.25 vs 9736/0.26%

* 10,000 Green Dec 66/70 1x2 put sprd at 32

* 4,000 Short Aug 73/75 call sprd at 1 vs 9708.5/0.10%

* 16,500 Dec 82/83 put sprd, on screen

UPDATE: Total -14,000 Long Green Dec 62/70 7x2 put sprd at 5.5

* 5,000 Short Sep 70/71 3x2 put sprd at 6.5

* 3,000 Short Sep 68/70 2x1 put sprd at 1

* 4,000 Short Sep 67/68 put sprd at 2

* +45,000 Front Sep 75 Puts, +25k block/pit at 2.75-2.5

* 8,000 Long Green Dec 62/70 7x2 put sprd at 5.5

* 3,500 Short Mar 65/67 put sprd at 6.5 vs 9701.5/0.12%

* +10,000 Short Sep 68/70/71 put fly at 2.5 vs 9708.5/0.10%

* -5,000 Aug 73/75 put sprd at 1.5

* -5,000 Front Sep 75/77 Strangle at 5

* -5,000 Front Sep 75/76 Strangle at 5.25

* -3,000 Short Sep 70/71 Strangle at 17

* +40,000 Front Mar 67/68/70 put fly at 1.75

* +20,000 Short Aug 67/68 put sprd, 10k block at 1.5 and 10k traded at 1.25

* 3,500 Green Sep 66/67/68 put fly at 1.5 vs 9704/0.10%

* 5,000 Short Aug 67/68 2x1 put sprd at 0.5

* 4,500 Short Sep 72 calls at 6 vs 9707.5/0.30%

* 4,000 Sep 75/76 Strangle at 5

Tsy options, Pit/screen:

* 2,600 wk5 FV 113.7 calls, 3.5/64 vs. 113-18

* 2,100 TYQ 117.5 puts, 2/64 vs. 119-28.5

* -6,000 TYU 122 calls, 11/64 vs. 120-00

* 1,500 TUU 106.2/106.3 call strip, 7.5/64

* 6,100 TYQ 120 calls, 35/64 vs. 120-02/0.51%

* 1,000 FVQ 113.7/114.2/114.7 put flys, 

* 1,500 TYQ 118.5 puts, 5Block, 0824:10ET,

* 5,000 TYU 120-02.5, post time bid, still bid

* >7,500 TYQ 120.5/121.5 call spds, 14- 15/64 on screen

* 3,500 TYQ 121 calls, 13- 14/64 vs. 120-00.5/0.19% 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$]