US TSYS: TSYS WEAKER, FED CHAIR PREVIEW AHEAD MON/POL REPORT

US TSY SUMMARY: US TSY SUMMARY: Tsys mildly weaker by the bell, near mid-range

on light summer volume (TYU<875k). Rates pared losses late on rather boilerplate

comments by Fed Chair Powell on Marketplace news, the day ahead of semi-annual

Mon/Pol report release Friday (testimony July 17), inflation "symmetrically"

around 2%, economy in good place while "sustained" high tariffs are negative for

economy. Trump/NATO summit headlines not market moving, Trump affirms commitment

to NATO while casting verbal barbs at Germany, Brussels. 

- US$ index mildly higher/off highs DXY +0.066 to 94.785; US$/Yen higher +.49

112.50 (112.63H/111.92L); equities strong (emini +24.0, 2798.0); gold firmer

(XAU +4.40 1246.27); West Texas crude mi;d;y weaker (WTI -.17, 70.20).

- Little react to data: CPI (0.1% vs. 0.2% est), weekly claims (226k expected);

Fed speakers Harker (1215ET) and Kashkari (2000ET), elicited little react as

well. Final leg Tsy supply w/$14B 30Y bond auction awarded 2.958% rate (3.100%

previous) tails vs. 2.953% WI.

- Tsy cash/ylds: 2Y 99-26.2 (2.590%), 5Y 99-12.75 (2.754%), 10Y 100-06 (2.851%),

30Y 103-13.5 (2.951%).

US TSY FUTURES CLOSE: Trading slightly lower near the middle of the range,

volume remains very light (TYU 870k). Curves remain flatter:

* 2s10s -1.242, 25.497 (25.314L/27.234H);

* 2s30s -1.707, 35.360 (35.128L/37.353H);

* 5s30s -0.641, 19.407 (18.620L/20.366H);

Current futures levels:

* Sep Ultra bonds down 03/32 at 160-15 (160-00L/160-19H)

* Sep 30-yr Bond futures down 06/32 at 145-09 (145-00L/145-14H)

* Sep 10-yr futures down 03/32 at 120-05 (120-00.5L/120-08H)

* Sep 5-yr futures down 2.25/32 at 113-15.5 (113-12.5L/113-17.75H)

* Sep 2-yr futures down 01/32 at 105-25.5 (105-25L/105-26.75H)

US EURODOLLAR FUTURES CLOSE: Trading steady to slightly lower with a parallel

shift across the strip, light volume, tight range. Current White pack

(Sep'18-Jun'19):

* Sep'18 0.000 at 97.540

* Dec'18 -0.005 at 97.335

* Jun'19 -0.010 at 97.205

* Jun'19 -0.015 at 97.105

* Red pack (Sep'19-Jun'20) -0.015-0.005

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

* Blue pack (Sep'21-Jun'21) -0.010-0.005

* Gold pack (Sep'22-Jun'22) -0.015-0.005

US DOLLAR LIBOR: Latest settles,

* O/N -0.0006 to 1.9176% (-0.0080/wk)

* 1 Month -0.0026 to 2.0716% (-0.0146/wk)

* 3 Month +0.0022 to 2.3392% (+0.0079/wk)

* 6 Month +0.0073 to 2.5196% (+0.0115/wk)

* 1 Year +0.0069 to 2.7853% (+0.0066/wk)

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

* Secured Overnight Financing Rate (SOFR): steady at 1.89%, $766B

* Broad General Collateral Rate (BGCR): 1.89% vs. 1.87% prior, $377B

* Tri-Party General Collateral Rate (TGCR): 1.89% vs. 1.87% prior, $363B

US SWAPS: Spds hold narrow range on day while short end flips to tighter/long

end wider late. Deal-tied flow in the mix, supply ramping up late. Earlier flow

remains relatively light w/2-way in 2s around 2.8235-2.830%, 2s3s and 3s4s

steepeners and some deal-tied paying in 5s. Decent fly activity 2s4s5s and

8s9s10s, receiving the belly. Latest spd levels:

* 2Y  -0.38/23.12

* 5Y  -0.25/14.00

* 10Y -0.38/6.94

* 30Y +0.06/-3.06

PIPELINE: $2B Each Sumitomo, TD Bank Launched

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

07/12 $2B #Sumitomo Mitsui Fncl Grp $750M 5Y fix +100, $500M 5Y FRN +86, $750M

10Y +110

07/12 $2B #TD Bank 5Y fix +78, 5Y FRN Libor +64

07/12 $400M #Northern Natural Gas 30Y +135

07/12 $1B *Nordic Investment Bank (NIB) WNG 5Y +3

07/12 $500M *Korea East/West Power 5Y

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

- Jul 13 Jun imports price index (0.6%, 0.3%) 0830ET

- Jul 13 Jun exports price index (0.6%, --) 0830ET

- Jul 13 Jul Michigan sentiment index (p) (98.2, 98.3) 1000ET

- Jul 13 Monetary Policy Report to Congress release (testimony Jul 17), 1100ET 

- Jul 13 Q3 StL Fed Real GDP Nowcast 1100ET

- Jul 13 Q3 NY Fed GDP Nowcast 1115ET

- Jul 13 At Fed Pres Bostic, town hall Northern Chap Va Society of CPAs, Va,

Q&A. 1230ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +/-5,000 short Sep 70/71 strangles, 13.0

* -2,000 Blue Aug 70 straddles, 14.5

* -2,000 Blue Sep 70 straddles, 21.5

* -4,000 Blue Dec 70 straddles, 36.5

* -8,000 long Green Jun 62/70 3x1 put spds, 3.0

* +1,000 Short Mar 65/66/68 put tree at 3.75

* 16,500 Blue Dec 71/75 call spds, screen

Block, 10:59:04ET-10:59:57ET,

* +10,000 Green Dec 67/70 put strip for net 27 vs 7800 future at 9700.5, note

trade adds to buy yesterday at same level and 10k on July 5th at 29

* 10,000 Green Mar 65/75 Strangle at 14.5, adds to 5k in the pit

* 6,000 Short Mar 70 Straddle at 43.5, note +5k earlier at 44

* 5,000 Green Mar 65/75 Strangle at 14.5

* 25,000 Short Sep 70 puts at 6.5 vs 9706/0.40%

* 5,000 Short Aug 71 calls at 4 vs 9706/0.32%

UPDATE: Total 6,000 Green Dec 67/70 put strip at 27 vs 9700.5/0.78%

* 5,000 Short Jun 70 Straddle at 53

* 3,000 Green Dec 67/70 put strip at 27 vs 9700.5/0.78%

* +5,000 Short March 70 Straddle at 44

* +6,000 Short Oct 67/70 put sprd at 9.5

* +2,000 Green Jul 70 Straddle at 4

* +4,000 Aug 75/76/77 call flys, 3.5

Additional screen trade by the open includes

* 15,500 Mar 80 calls, 1.0

* 10,000 short Jul 71 calls, cab

* 5,900 Aug 75 puts, 1.25

Pick-up in put buying on screen, lions share of volume after very quiet

overnight trade:

* -34,000 Dec 72 puts, 4.25, takes it bid

Tsy options, Pit/Screen:

* 2,000 FVU 112.2/114.2 call over risk reversals, 4.5/64 vs. 113-16.25

* 3,000 TYV 122 calls, 12/64

* 1,000 TYQ 120.25 straddles, 41/64

* 2,200 FVU 113/114 strangles, 21/64

* -1,400 USU 142/149 strangles, 37/64

* -2,000 USU 144 puts, 48/64

* +4,050 FVQ 113.25 puts, 7/64 vs. 113-14/0.34%

* -1,000 TYQ 120 straddles, 1-34/64, TYZ 120 straddle sold small at 2-13/64

* 1,500 wk3 119.7/120.5 put over risk reversals, 2/64

* -10,000 (pit/screen) FVQ 113.25 puts, 7/64

* +19,200 TYU 119 puts, 14/64 on screen just ahead data

* 8,250 TUU 105.62/106.12 put over risk reversals, 1.5- to 2/64

* -1,700 TYQ 120 straddles, 42/64

* -6,000 TYQ 119 puts, 3/64

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

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