US TSYS: TRADE TENSIONS CONTINUE TO SPUR SAFE HAVEN TSY BID

US TSY SUMMARY: Carry-over risk-off/safe haven bid for Tsys Mon, ongoing trade

angst after U.S. Pres Trump tweeted threat of "more than Reciprocity" Sunday

against countries w/trade barriers/tariffs against US. Early gains also

coincided w/drop in US$/Yen as did heavy selling in equities.

- Choppy day for US$ index (DXY -.297 to 94.223 last vs. 94.698H; US$/Yen -0.53

to 109.44 vs. 110.04H); equities sharply lower (emini -54.5, 2704.75, 2700.25L);

gold weaker (XAU -1.41, 1268.01); West Texas crude little weaker after blowing

past 50DMA Fri (WTI -0.53, 68.05).

- Moderate volume, thin mkts exacerbated moves w/implied vol surging (VIX +5.34,

19.61H). Decent option-tied buying in Tsy futures, two-way positioning ahead

Fri's PCE. Swap spds tighter, better front end receiving first half, spds pared

move into midday amid pre-auction short setting ahead Tue' $34.000B 2Y auction

(JUL 02) settle. Early futures block: +11,250 FVU 113-14.75, buy through -14.25

post time offer vs. -10,000 TNU (10Y-ultra), 127-25.5. 

- Tsy cash/ylds: 2Y 99-30.25 (2.525%), 5Y 100-01 (2.741%), 10Y 100-00 (2.873%),

30Y 101-31 (3.024%)

US TSY FUTURES CLOSE: Higher near the top of the range. Curves hold mixed,

update:

* 2s10s -0.528, 34.425 (33.411L/34.973H);

* 2s30s +0.008, 49.407 (47.923L/50.218H);

* 5s30s +0.980, 28.064 (26.621L/28.550H);

Current futures levels:

* Sep Ultra bonds up 17/32 at 158-14 (157-30L/158-23H)

* Sep 30-yr Bond futures up 12/32 at 144-11 (143-31L/144-18H)

* Sep 10-yr futures up 6.5/32 at 120-01 (119-27.5L/120-04.5H)

* Sep 5-yr futures up 4.75/32 at 113-17.25 (113-12.75L/113-18.5H)

* Sep 2-yr futures up 1.5/32 at 105-29 (105-27.5L/105-29.5H)

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: Higher across the strip near top of a tight range.

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

* Sep'18 +0.005 at 97.545

* Dec'18 +0.010 at 97.355

* Jun'19 +0.020 at 97.230

* Jun'19 +0.020 at 97.130

* Red pack (Sep'19-Jun'20) +0.045-0.030

* Green pack (Sep'20-Jun'21) +0.040

* Blue pack (Sep'21-Jun'21) +0.040-0.035

* Gold pack (Sep'22-Jun'22) +0.035-0.030

US DOLLAR LIBOR: Latest settles,

* O/N +0.0036 to 1.9316% (+0.0024 last wk)

* 1 Month +0.0051 to 2.1028% (+0.0128 last wk)

* 3 Month -0.0018 to 2.3370% (+0.0129 last wk)

* 6 Month -0.0050 to 2.5025% (+0.0042 last wk)

* 1 Year -0.0109 to 2.7659% (+0.0050 last wk)

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

* Secured Overnight Financing Rate (SOFR): 1.92% vs. 1.87% prior, $742B

* Broad General Collateral Rate (BGCR): 1.90% vs. 1.83% prior, $350B

* Tri-Party General Collateral Rate (TGCR): 1.90% vs. 1.83% prior, $361B

US SWAPS: Spds running tighter by the bell, well off session narrows. Muted flow

amid 2-way in 2s and 5s around midday followed by spd curve steepeners in 2s vs.

5s and 7s, receiver in 8s at 2.91563%. Latest spd levels:

* 2Y  -0.38/26.44

* 5Y  -0.06/14.69

* 10Y +0.00/6.75

* 30Y -0.25/-7.31

PIPELINE: Slow start to week, nothing HG supply yet

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

-

Two jumbo issues (Bayer, Walmart) pushed issuance to $44.4B last wk. No new

issuance Friday

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

- Jun 26 Jun Philadelphia Fed Nonmfg Index (45.3, --) 0830ET

- Jun 26 23-Jun Redbook retail sales m/m (0.0%, --) 0855ET

- Jun 26 Apr Case-Shiller Home Price Index (0.5, --) 0900ET

- Jun 26 Jun Richmond Fed Mfg Index (16, --) 1000ET

- Jun 26 Jun Conference Board confidence (128.0, 128.8) 1000ET

- Jun 26 Jun Dallas Fed services index (18.5, --) 1030ET

- Jun 26 US TSY TO SELL $34.000 BLN 2Y NOTES, SETTLE JUL 02 1300ET

- Jun 26 Atl Fed Pres Bostic, armchair chat, Birmingham Civil Rights Inst, Al,

Q&A 1300ET

- Jun 26 Dal Fed Pres Kaplan moderated Q&A "Grtr Houston Prtnrshp State Talent"

Tx, 1345ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 10,000 Front Jun 66/67/68 put fly at 2 vs 9712.5/0.10%

* 5,000 Green Dec 60/67 3x1 put sprd at 6 9701.5/0.02%

* 6,000 Short Oct 78/80 call sprd at 2

* 4,000 Green Sep 62/66 2x1 put sprd at 1

* +10,000 Red Sep/Red Mar, +0.055 on screen

UPDATE: Total 10,000 Mar 70/71 put sprd vs Mar 72/73 call sprd, 0.5 net vs

9722.5/0.27%

* 7,250 Mar 70/71 put sprd vs Mar 72/73 call sprd for net 0.5 vs 9722.5/0.27%

* +4,000 Front Mar 67/68/70 put fly at 1.75

* 3,500 Short Aug 72 call at 4 vs 9709.5/0.10%

UPDATE: Total -7,000 Short Dec/Front Dec 75 call sprd at 0.5

UPDATE: Total 12,500 Short Sep 70 vs 9704/0.44% vs Green Sep 70 vs 9697/0.54%

put sprd for net 6, 10k on screen, the rest in pit

Block, 10:20:00ET

* 10,000 Short Sep 70 vs 9704/0.44% vs Green Sep 70 vs 9697/0.54% put sprd at 6

* 5,000 Short Dec/Front Dec 75 call sprd at 0.5

UPDATE: Total 5,500 Front Jun 66/67/68 put fly at 2 vs 9711.5/0.10%

* 2,500 Front Jun 66/67/68 put fly at 2 vs 9711.5/0.10%, note +10k bought late

Fri

* 4,500 Short Dec 68/70/71/72 put strip vs call, 19 net put strip ovr vs

9701.5/0.04%

Tsy options, Pit/screen:

* Over 10,000 TYU 120 straddles, 1-30 to 1-33/64

* 15,000 TYU 120.5/122.5 call spds, 26/64

* +5,000 TYQ 121 calls, 14- to 15/64

* -5,000 TYU 122 calls, 12/64 vs. 12/64 vs. 120-01/0.15%

* another 10-15,000 TYU 120.5 calls, 35/64 last, >44k total

* 30,000 TYQ 120/122 call sprd for 30, brings total to over 80k

* -48,000 TYU 121 calls at 24, on screen

* +30,000 TYU 120.5 calls, 36/64

* Appr -50,000 TYQ 120/122 call sprd between 30 and 32 vs futures on 43D

* 2,900 TYU 117.5 puts, 7/64 vs. 119-27.5/0.10%

* over +8,000 TYQ 120.5 calls, 21- to 23/64

* over 3,000 FVQ 113.75 calls, 16/64

* 1,000 TYQ 119/119.5 2x1 put spds, 2/64

* 1,000 TYU 117/117.5 put strip, 11/64

* +2,700 TYQ 120.5 calls, 21/64, total volume just over 8.5k

* 1,000 FVU 112.25/113 2x1 put spds

* 1,000 FVU 114/114.5 1x2 call spds

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

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