US TSYS: US$ OFF EARLY LOWS, TSY CURVE STEEPENING PAUSES

MNI US Closing FI Analysis: Generally quiet session, Tsy yields directional

w/swings in US$ on day, and wider sovereign spds added to rate bid earlier

(BTP/Bund 10Y +5.8). Tsy futures near late session highs, decent volume

(TYU>1.2M), curves unwind small portion of steepening since Friday.

- US$ index little weaker/off lows DXY -0.014 to 94.618; US$/Yen -.14 to 111.21

(111.51H/110.96L); equities firmer/well off highs (emini +6.5, 2818.5,

2831.25H); gold marginally lower (XAU -.32, 1224.18); West Texas crude firmer

(WTI +0.55, 68.43).

- Quiet two-way flow on net, FX/program trade reacting to US$ moves, pause in

curve flattener unwinds, waiting to see how Wed shapes up, light deal-tied flow

in 3s, 5s and 10s. Sidelined accts awaiting Fri' GDP.

- Treasuries prices hold mildly lower in short end after $35B 2Y stopped out,

awarded a 2.657% rate vs. 2.655 WI (2.538% previous) w/bid/cover 2.92 vs. 2.73

previous (2.84 avg).

- Tsy cash/ylds: 2Y 99-23.75 (2.633%), 5Y 99-03.25 (2.819%), 10Y 99-11.5

(2.949%), 30Y 100-28.5 (3.078%).

US TSY SUMMARY: Generally quiet session, Tsy yields directional w/swings in US$

on day, and wider sovereign spds added to rate bid earlier (BTP/Bund 10Y +5.8).

Tsy futures near late session highs, decent volume (TYU>1.2M), curves unwind

small portion of steepening since Friday.

- US$ index little weaker/off lows DXY -0.014 to 94.618; US$/Yen -.14 to 111.21

(111.51H/110.96L); equities firmer/well off highs (emini +6.5, 2818.5,

2831.25H); gold marginally lower (XAU -.32, 1224.18); West Texas crude firmer

(WTI +0.55, 68.43).

- Quiet two-way flow on net, FX/program trade reacting to US$ moves, pause in

curve flattener unwinds, waiting to see how Wed shapes up, light deal-tied flow

in 3s, 5s and 10s. Sidelined accts awaiting Fri' GDP.

- Treasuries prices hold mildly lower in short end after $35B 2Y stopped out,

awarded a 2.657% rate vs. 2.655 WI (2.538% previous) w/bid/cover 2.92 vs. 2.73

previous (2.84 avg).

- Tsy cash/ylds: 2Y 99-23.75 (2.633%), 5Y 99-03.25 (2.819%), 10Y 99-11.5

(2.949%), 30Y 100-28.5 (3.078%).

US TSY FUTURES CLOSE: Trading higher by the bell, long end outperforming, decent

volume (TYU 1.16M), curves flattening, updates:

* 2s10s -1.407, 30.715 (30.715L/33.290H);

* 2s30s -2.135, 43.677 (43.406L/47.016H);

* 5s30s -1.463, 25.701 (25.311L/27.748H);

Current futures levels:

* Sep Ultra bonds up 22/32 at 157-00 (156-07L/157-04H)

* Sep 30-yr Bond futures up 12/32 at 143-06 (142-21L/143-08H)

* Sep 10-yr futures up 2.5/32 at 119-18 (119-12.5L/119-20.5H)

* Sep 5-yr futures up 1.5/32 at 113-07.25 (113-4.5L/113-9.25H)

* Sep 2-yr futures EVEN 00/32 at 105-23.25 (105-22.75L/105-24.5H)

US EURODOLLAR FUTURES CLOSE: Trading mildly higher across the strip, tight range

with low volume, Current White pack (Sep'18-Jun'19):

* Sep'18 +0.010 at 97.575

* Dec'18 +0.010 at 97.345

* Jun'19 +0.005 at 97.190

* Jun'19 +0.005 at 97.080

* Red pack (Sep'19-Jun'20) +0.010-0.005

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

* Blue pack (Sep'21-Jun'21) +0.015-0.010

* Gold pack (Sep'22-Jun'22) +0.020-0.015

US DOLLAR LIBOR: Latest settles,

* O/N -0.0042 to 1.9141% (+0.0006/wk)

* 1 Month +0.0065 to 2.0701% (+0.0011/wk)

* 3 Month -0.0005 to 2.3348% (-0.0067/wk)

* 6 Month +0.0017 to 2.5225% (-0.0017/wk)

* 1 Year +0.0088 to 2.8080% (+0.0064/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.87% vs. 1.88% prior, $764B

* Broad General Collateral Rate (BGCR): steady at 1.86%, $392B

* Tri-Party General Collateral Rate (TGCR): steady at 1.86%, $381B

US SWAPS: Spds running mostly wider by the bell, 5s-30s rebounding later in the

second half as rates unwound portion of two-way steepening. Modest two-way flow

on day. Earlier cross-current flow in 2s and 5s, deal- and pre-auction hedging

on $35B 2Y note auction. Latest spd levels:

* 2Y  -0.19/21.44

* 5Y  +0.12/13.50

* 10Y +0.31/5.44

* 30Y +0.75/-7.00

PIPELINE: IFC, Narragansett issues price, $1.3B SunTrust launched

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

07/24 $2B *International Finance Corp (IFC) 5Y MS+2

07/24 $350M *Narragansett Electric 10Y +97

07/24 $1.3B #SunTrust Bank $500M 4NC3 fix/FRN +77, $300M 4NC3 FRN +59, $500M

6NC5 fix/FRN +87

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

- Jul 25 20-Jul MBA Mortgage Applications (-2.5%, --) 0700ET 

- Jul 25 Jun new home sales (689k, 669k) 1000ET 

- Jul 25 Jun bldg permits revision 1000ET 

- Jul 25 20-Jul crude oil stocks ex. SPR w/w (5.84m bbl, --) 1030ET 

- Jul 25 US TSY $18B 2Y FRN note auction, Jul 31 settle 1130ET 

- Jul 25 US TSY $36B 5Y note auction, Jul 31 settle 1300ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* +33,000 Green Dec 70 Straddle at 36 vs 9694.5/0.09%

* -6,000 Mar 66/68 4x1 put sprd at 0

* 10,000 Green Sep 70 calls at 8.5 vs 9696/0.44%

* -5,000 Green Dec 71/72 put sprd at 9

* 4,000 Green Sep 70 Straddle at 21 vs 9694.5/0.15%

UPDATE: Total +20,000 Red Jun 60 puts at 3 vs 9692.5/0.10%

* 4,000 Sep 73/75 put sprd at 0.75

* 10,000 Short Sep 70 puts vs Green Sep 68 puts for 1.5 vs 9698.5/0.10%

* +10,000 Blue Sep 66/68 put sprd at 5

* 4,000 Sep 75/76 put sprd at 6 vs 9757.5/0.50%

Tsy options/Pit/screen:

* +4,000 TYU 117.5/121.5 call over risk reversals, 0.0 vs. 119-17.5

* +4,200 114/114.25 call spds, 1.5/64

* -2,650 FVU 113.5/114.25 1x2 call spds, 0.0 net

* +1,300 FVQ 113.25 straddles, 14/64

* 1,000 wk1 TY 118.7/119.2 put spds 2/64 over TYU 121 calls

* -2,300 USQ 143 puts, 36/64 vs. 142-26 earlier

* -4,500 FVQ 113.25 puts, 8/64 vs. 113-07.25/0.56%

* 1,000 TUQ 105.8 puts, 9/64 vs. 105-23.7 (August options expire Friday)

* 9,000 TUU 106/106.12 call spds on screen

* >15,000 TYU 119 puts from 21- to 19/64 on screen by the open

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

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