US TSYS: TSY CURVES STEEPEN AHEAD BOJ POLICY ANNC TUESDAY

US TSY SUMMARY: Tsys trading steady/mixed, off early session lows by the bell,

curves bear steepening but off session steeps'. Trade action very quiet ahead

heavy policy wk (BoJ Tue, FOMC Wed, BoE Thu) and data capped by July NFP Friday.

-  US$ index near lows, DXY -.348 to 94.321; US$/Yen mildly lower/off lows, -.04

to 111.01 (111.17H/110.89L); equities weaker (emini -12.0, 2805.75); gold softer

(XAU -0.89, 1222.37); West Texas crude strong, holding over 70.0 after Fri's

sell-off (WTI +1.32, 70.01).

- Light two-way flow on net, early sales unwound into midday, little/no

deal-tied flow, little substantive data to cover. Tue's BoJ focus: could adjust

its MonPol settings, through an ETF purchase tweak, the removal of

pre-announcements re: Rinban or even an alteration to Yield Curve Control (YCC).

Block 5s/10Y-ultra flattener Block.

- Modest option volume, light hedging (TYU well under 875k by the bell) typical

light summer volume ahead heavy bout of data and policy risk. Tsy cash/ylds: 2Y

99-29.25 (2.665%), 5Y 99-17.25 (2.848%), 10Y 99-05 (2.973%), 30Y 100-12.5

(3.104%).

US TSY FUTURES CLOSE: Trading mixed in the bottom half of the range, light

volume (TYU 899k), curves steepening, updates:

* 2s10s +2.264, 30.339 (27.671L/30.679H);

* 2s30s +2.653, 43.524 (40.788L/43.605H);

* 5s30s +1.484, 25.590 (23.830L/25.670H);

Current futures levels:

* Sep Ultra bonds down 15/32 at 156-08 (156-00L/156-27H)

* Sep 30-yr Bond futures down 11/32 at 142-19 (142-12L/143-00H)

* Sep 10-yr futures down 02/32 at 119-12 (119-08L/119-15.5H)

* Sep 5-yr futures Even 00/32 at 113-3.5 (113-1.25L/113-05H)

* Sep 2-yr futures up 0.5/32 at 105-22 (105-21L/105-22.25H)

MONTH-END EXTENSIONS: *** UPDATED Bloomberg-Barclays US month-end index

extensions compared to the average increase for the past year and the same time

in 2017. TIPS ext 0.11Y, real 0.14Y; Govt inflation-linked, 0.11Y

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

*US Tsys.................0.06........0.06........0.10

*Agencies................0.08........0.07........0.05

*Credit..................0.05........0.04........0.06

*Govt/Credit.............0.06........0.05........0.08

*MBS.....................0.07........0.05.......-0.04

*Aggregate...............0.06........0.05........0.04

*Long Govt/Credit........0.07........0.00........0.04

*Interm Credit...........0.06........0.04........0.03

*Interm Govt.............0.06........0.02........0.05

*Interm Govt/Cred........0.07........0.02........0.05

*High Yield..............0.07........0.01.......-0.03

US EURODOLLAR FUTURES CLOSE: Trading mixed with the short end out performing the

long end, tight range with light volume, Current White pack (Sep'18-Jun'19):

* Sep'18 -0.005 at 97.565

* Dec'18 0.000 at 97.325

* Jun'19 +0.005 at 97.175

* Jun'19 +0.005 at 97.060

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

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

* Blue pack (Sep'21-Jun'21) -0.020-0.010

* Gold pack (Sep'22-Jun'22) -0.025-0.020

US DOLLAR LIBOR: Latest settles,

* O/N +0.0044 to 1.9160% (-0.0019 last wk)

* 1 Month +0.0048 to 2.0815% (+0.0077 last wk)

* 3 Month +0.0008 to 2.3431% (+0.0008 last wk)

* 6 Month +0.0007 to 2.5305% (+0.0056 last wk)

* 1 Year -0.0001 to 2.8212% (+0.0197 last wk)

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

* Secured Overnight Financing Rate (SOFR): 1.88% vs. 1.90% prior, $774B

* Broad General Collateral Rate (BGCR): 1.87% vs. 1.89% prior, $393B

* Tri-Party General Collateral Rate (TGCR): 1.87% vs. 1.89% prior, $378B

US SWAPS: Spds hold mildly wider across the curve amid relatively light flow on

the session. Short-end little off earlier wides amid receivers in 2s (2.88375%)

and 3s (2.948%), 2s7ssteepener and 4s5s flatteners followed by

2s4s5sfly/receiving belly. Latest spd levels:

* 2Y  +0.62/20.88

* 5Y  +0.50/12.75

* 10Y +0.38/6.25

* 30Y +0.44/-5.31

PIPELINE: Slow issuance expected on heavy policy annc week

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

07/30 $Benchmark Woori Bank 10Y tier 2bond, IPT +240a

-

No new issuance early Friday, $12.7B priced on week

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

- Jul 31 Q2 ECI (0.8%, 0.6%) 0830ET

- Jul 31 Jun personal income (0.4%, 0.4%) 0830ET

- Jul 31 Jun current dollar PCE (0.4%, 0.5%) 0830ET

- Jul 31 Jun total PCE price index (0.2%, --) 0830ET

- Jul 31 Jun core PCE price index (0.2%, 0.1%) 0830ET

- Jul 31 28-Jul Redbook retail sales m/m (0.3%, --) 0855ET

- Jul 31 May Case-Shiller Home Price Index (0.8, --) 0900ET

- Jul 31 Jul ISM-Milwaukee Mfg Index (60.18, --) 0900ET

- Jul 31 Jul MNI Chicago PMI (64.1, 63.1) 0945ET

- Jul 31 Jul Conference Board confidence (126.2, 127.0) 1000ET

- Jul 31 Jul Dallas Fed services index (22.4, --) 1030ET

- Jul 31 FOMC policy meeting day one

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* +3,000 Red Jun 60 puts, 3.0 vs. 96.925/0.09%

* -2,000 long Green Jun 57/70 2x1 put spds, 34.5

* +2,500 long Green Jun 65 calls, 66.0 vs. 96.95/0.67%

* +4,000 Green Sep 66/68 put spds 3.75 over short Sep 67/68 put spds

* +5,000 Short Oct 67/71 call over risk reversal at 1 vs 9694/0.48%

* +10,000 Red Sep 62/65 2x1 put sprd for net 0.5

* +30,000 Long Green Jun 57/62 3x1 put sprd for net 1

* +10,000 Sep 65/66 2x1 put spds, 0.5 cr

Block, 08:25:17ET,

* 10,000 Dec 71 puts at 1

Tsy options, Pit/Screen:

* 1,500 TYU 119.5/120.5 call spds, 19/64 vs. 119-13.5/0.30%

* 1,150 USU 142.5/145.5 1x3 call spds 10/64 over the USU 139.5/142.5 3x1 put

spds

* -5,000 TYU 118.5 puts, 10/64 on screen after

* 5,800 TYU 122.75 calls, 1/64 on screen

* total +11,000 TYU 117 puts on screen, 2/64

* +6,500 TYV 115.5/117 put spds, 6.5- to 6/64 on screen

* -2,000 TYU 119.25 straddles, 58/64 vs. 119-08.5

* 2,000 wk1 TY 118.5/120 combo, 0.0 vs. 119-10.5

* 1,500 FVU 113.5 calls, 6.5/64 on screen

* Update, total +15,000 TYV 120.5/121.5/122.5 call flys, 5/64 vs. 119-08

* +1,000 USU 143.5/145 1x2 call spds, 10/64

* +7,800 TYV 120.5/121.5/122.5 call flys, 5/64 vs. 119-08

* +5,000 TYV 120.5/121.5/122.5 call flys, 5/64 vs. 119-08

* +5,000 FVU 114.25 calls, 2/64

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

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