US TSYS: TSY BID EVAPORATES LATE, DEBT DEAL NEAR?

US TSY SUMMARY: Exceptionally quiet start to the week (Fed in blackout, little

data) on very light volume (TYU<720k by the closing bell). Data picks up

tomorrow w/ existing home sales; US Tsy $40B 2Y note auction (9128287F1) kicks

off the week's Tsy supply.

- Tsy yld curves off flatter levels; equities extended session highs late but

quickly receded (2993.5H); Gold inched higher but remains well off last week's

highs (1427.46 in late trade)

- Light two-way flow on net, Tsys mirrored EGBs earlier, support evaporated

later in second half amid preemptive supply related selling. short end extending

session lows late EDU9 -0.035 to 97.87 (only on light volume though w/appr -15k

from 97.88 to .875; total EDU9 volume just over 200k).

- Note, 3M FRA/OIS forged wider, breached 28.00 first time since early January.

- The 2-Yr yield is down 0.4bps at 1.8144%, 5-Yr is down 1.5bps at 1.7997%,

10-Yr is down 0.9bps at 2.0464%, and 30-Yr is down 0.4bps at 2.5748%.

US TSY FUTURES CLOSE: Modestly higher by the bell -- well off early morning

highs, exceptionally quiet start to the week (Fed in blackout, little data) on

very light volume (TYU<720k by the closing bell). Data picks up Tuesday w/Jun

existing home sales; $40B 2Y note auction. Tsy yld curves mixed/off lows,

update:

* 3M10Y -2.066, -3.691 (L: -6.453 / H: -1.095)

* 2Y10Y -0.251, 22.823 (L: 21.368 / H: 23.302)

* 2Y30Y +0.217, 75.691 (L: 72.667 / H: 76.3)

* 5Y30Y +0.912, 77.198 (L: 74.064 / H: 77.551)

Current futures levels:

* Sep 2-Yr futures up 0.125/32 at 107-12.875 (L: 107-10.875 / H: 107-13.625)

* Sep 5-Yr futures up 0.75/32 at 117-26.75 (L: 117-21.75 / H: 117-28.75)

* Sep 10-Yr futures up 1.5/32 at 127-18.5 (L: 127-11 / H: 127-22)

* Sep 30-Yr futures up 3/32 at 154-27 (L: 154-16 / H: 155-11)

* Sep Ultra futures up 5/32 at 176-6 (L: 175-26 / H: 177-06)

US EURODLR FUTURES CLOSE: Trades mixed by the bell, short end extending session

lows late EDU9 -0.035 to 97.87 (only on light volume though w/appr -15k from

97.88 to .875; total EDU9 volume just over 200k). Current White pack (Sep 19-Jun

20):

* Sep 19 -0.030 at 97.875

* Dec 19 -0.015 at 97.975

* Mar 20 -0.005 at 98.215

* Jun 20 steady00 at 98.320

* Red Pack (Sep 20-Jun 21) +0.005 to +0.015

* Green Pack (Sep 21-Jun 22) +0.010

* Blue Pack (Sep 22-Jun 23) +0.010

* Gold Pack (Sep 23-Jun 24) +0.010

US DOLLAR LIBOR: Latest settles

* O/N -0.0024 at 2.3596% (+0.0029 last wk)

* 1 Month +0.0080 to 2.2691% (-0.0709 last wk)

* 3 Month +0.0234 to 2.2827% (-0.0629 last wk)

* 6 Month +0.0365 to 2.1807% (-0.0850 last wk)

* 1 Year +0.0306 at 2.1883% (-0.0734 last wk)

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 2.41%, volume: $58B

* Daily Overnight Bank Funding Rate: 2.40%, volume: $148B

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

* Secured Overnight Financing Rate (SOFR): 2.41%, $1.140T

* Broad General Collateral Rate (BGCR): 2.40%, $496B

* Tri-Party General Collateral Rate (TGCR): 2.40%, $475B

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

23-Jul 0830 Jul Philadelphia Fed Nonmfg Index (8.2, --)

23-Jul 0855 20-Jul Redbook retail sales m/m (1.0%, --)

23-Jul 0900 May FHFA Home Price Index (0.4%, 0.4%)

23-Jul 1000 Jun existing home sales (5.34m, 5.33m)

23-Jul 1000 Jul Richmond Fed Mfg Index (3, 5)

23-Jul 1300 US Tsy $40B 2Y note auction (9128287F1)

PIPELINE: FedEx 10Y launched

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

07/22 $1B #FedEx 10Y +110

07/22 $700M #Synchrony Financial 3Y, +110

07/22 $300M #Tampa Electric WNG 30Y, +112.5

07/22 $500M Citizens Financial WNG 7Y +110a

07/22 $Benchmark Bank of Montreal PerpNC1 +1

07/?? Chatter: CITGO later in week

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* 4,000 Red Dec'20 73/76/77/78 broken put condors, 0.0 vs. 98.425

* +5,000 Aug 80/81/82 call flys, 1.25

* +5,000 Blue Aug 85 calls, 1.5 vs. 98.26/0.11%

* +4,000 Dec 73 puts, 0.5

* -30,000 Mar 90 calls, 2.0  vs. 98.23/0.08%

* 10,000 Sep 77/78 2x6 put spd vs. 10,000x3 Aug 78 straddle, 2.0 net db earlier

* +30,000 Jun 92/95 call spds, 2.0 vs. 98.37/0.05%

* +30,000 Aug 77 puts, 1.0 vs. 97.885/0.10%

* -25,000 Mar 90 calls, 2.0 vs. 98.23/0.08%

* +8,000 Green Dec 76/80 put spds, 4.0

* +8,000 Red Sep 92/95 call spds, 3.0

* +4,000 Aug/Sep 77 put spds, 1.0

* +5,000 Sep 75/76/77 put flys, 1.25

Lion's share of limited overnight volume just over 50k

* +25,000 Aug 81 calls, 0.5

Tsy options:

* -2,500 USQ 156 calls 2/64 over USU 156/157 call spds

* 1,000 USU 156 calls, 61/64 vs. 155-07/0.41%

* 2,000 USU 159/161 call spds, 10/64

* 2,500 FVQ 116.25/117/117.5 put flys, 1.5/64

* +1,570 wk1 TY 125.2/125.5/126/126.2 put condors, 1/64

* 1,000 TYU 127.25/127.5 2x3 call spds, 3/64

* +3,000 FVU 116/117 put spds, 5.5/64 vs. 117-26

Pre-open screen trade:

* +3,000 TYU 125.5 puts, 6/64

* 4,000 TYU 126/129 combos, 2/64 vs. 127-11/0.30%

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

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