US TSYS: YLD CURVE, TRADE UNCERTAINTY NOTED IN MINUTES

US TSY SUMMARY: Tsys hold mixed levels by the close, curves on session flats

(2s10s -2.526, 27.736) w/long end outperforming, generally quiet trade ahead Jun

FOMC minutes release, others sidelined ahead Fri's NFP and $34B China tariff

deadline.

- US$ index little softer (DXY -0.067 to 94.464; US$/Yen see-saws in higher

range +.18 110.67 (110.72H/110.29L); equities strong/near highs (emini +21.0,

2734.25, 1235.75H); gold firmer (XAU +1.22 1255.88); West Texas crude weaker

levels following EIA data and again after Aramco headlines (WTI -1.13, 73.01).

- Rates had opened weaker, curves steeper on modest carry-over risk-on from

London trade, limited react to data though US$/Yen pared gains post ADP private

employ data -- in-line w/rates reversing early weakness. additional impetus

appears to be widening sovereign spds, notably Italy pushing wider vs. Bunds

(+8.3, 243.5). Swap spds mostly wider by midmorning, spd curve steeper, mixed

flow, decent (>$750M) payer in 1s. No new high-grade corp supply.

- Tsy cash/ylds: 2Y 99-28.25 (2.557%), 5Y 99-15 (2.738%), 10Y 100-09.5 (2.838%),

30Y 103-13 (2.952%).

US TSY FUTURES CLOSE: Tsys mixed by the bell, curves near session flats. Current

cash 10Y 100-09.5 (2.838%) vs. 100-03.5 (2.860%) on the open. Curves back to

flattening:

* 2s10s -2.526, 27.736 (27.329L/31.148H);

* 2s30s -3.952, 39.083 (38.599L/43.722H);

* 5s30s -2.394, 21.196 (20.780L/23.548H);

Current futures levels:

* Sep Ultra bonds up 12/32 at 160-11 (159-11L/160-22H)

* Sep 30-yr Bond futures up 6/32 at 145-17 (144-27L/145-25H)

* Sep 10-yr futures down 1.5/32 at 120-08.5 (120-03L/120-13.5H)

* Sep 5-yr futures down 2/32 at 113-17.75 (113-16L/113-21.5H)

* Sep 2-yr futures down 2/32 at 105-27 (105-26.75L/105-29.25H)

US EURODOLLAR FUTURES CLOSE: Weaker across much of the strip, Golds hold steady.

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

* Sep'18 -0.010 at 97.540

* Dec'18 -0.015 at 97.345

* Jun'19 -0.020 at 97.220

* Jun'19 -0.025 at 97.120

* Red pack (Sep'19-Jun'20) -0.025-0.020

* Green pack (Sep'20-Jun'21) -0.015-0.005

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

* Gold pack (Sep'22-Jun'22) steady

US DOLLAR LIBOR: Latest settles,

* O/N +0.0000 to 1.9281% (-0.0072/wk)

* 1 Month +0.0098 to 2.0971% (+0.0069/wk)

* 3 Month +0.0013 to 2.3386% (+0.0028/wk)

* 6 Month +0.0144 to 2.5202% (+0.0190/wk)

* 1 Year +0.0109 to 2.7840% (+0.0200/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.05% vs. 2.04% prior, $768B

* Broad General Collateral Rate (BGCR): 1.98% vs. 2.00% prior, $356B

* Tri-Party General Collateral Rate (TGCR): 1.97% vs. 2.00% prior, $329B

US SWAPS: Spds mixed by the bell, spd curve steeper with wings on respective

highs/lows. Decent flow included (>$750M) receiver in 1s, 2-way in 2s, payer in

4s at 2.88299% and 5s at 2.88242%, receiver in 7s at 2.89%. No new high-grade

corp supply. Latest spd levels:

* 2Y  -0.62/25.62

* 5Y  +0.12/15.62

* 10Y +0.19/7.94

* 30Y +0.50/-4.75

PIPELINE: Issuance remains slow, $500M/wk

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

No new high-grade supply on calendar

-

$500M priced Tuesday

07/03 $500M *Kommunalbanken WNG 11/2019 -3

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

- Jul 06 Jun nonfarm payrolls (223k, 195k) 0830ET

- Jul 06 Jun private payrolls (218k, 189k) 0830ET

- Jul 06 Jun unemployment rate (3.8%, 3.8%) 0830ET

- Jul 06 Jun average hourly earnings (0.3%, 0.3%) 0830ET

- Jul 06 Jun average workweek, all workers (34.5hrs, 34.5) 0830ET

- Jul 06 May trade balance (-$46.2B, -$43.5B) 0830ET

- Jul 06 29-Jun natural gas stocks w/w (66Bcf, --) 1030ET

- Jul 06 Q3 St. Louis Fed Real GDP Nowcast (3.54%, --) 1100ET

- Jul 06 Q3 NY Fed GDP Nowcast (2.8%, --) 1115ET

- Jul 06 Jun Treasury STRIPS Holdings 1500ET

     Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +1,000 Green Dec 67/70 put strip, 29.0

* +4,000 short Jul 70/71 call over risk reversals, 0.5

* -2,500 long Green Sep 60/80 call over risk reversals, 7.5

* +5,000 Blue Aug 68/Blue Sep 67 put spds, 0.0

* +10,000 Mar 70/71 put spds, 0.5 over the 72/73 call spds

* -1,500 Green Jul 70 straddles, 8.5

* -3,000 long Green Sep 58/61 5x2 put spds, 1.5/5-leg over

* +4,000 Jun/Red Sep 75 call spds, 2.5/Jun over

* +2,500 short Dec 66/67/68 put trees, 0.5

* +6,000 short Jul 70/71 strangles, 3.0

* +5,000 short Sep 68/70 2x1 put spds, 1.0

* Corrects/updates earlier trade: total +10,000 Red Sep/Red Dec 77/82 call spd

strip, 8.0

* 5,000 Red Sep/Red Dec 77/82 call spd spd, 0.0

* -5,000 Sep 76/77/78 cal fly w/Dec 75/76/77 call fly strip2.0 total

* 2,000 Dec 72/76 call spds, 11.5

Tsy options

* 4,700 wk1 TY 120.25 puts, 7/64 vs. 120-11/0.40%

* 2,000 FVU 112.7/114.5 call over risk reversals, 1.5/64 vs. 113-19.5/0.36%

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

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