US TSYS: 10YY SUB-2% DAY AFTER FOMC, GOLD SURGE 5Y HIGH

US TSY SUMMARY: Generally quiet (perhaps oddly so given bid for safe havens

w/Gold surging to 5Y highs) carry-over bid in rates after FOMC held rates

steady, USD continued to weaken on Fed outlook. Equities rallied ESM9 +24.5 at

2958.0 in late trade, Gold climbed over 1390.0 first time in over 5 years, crude

surged as US/Iran tensions heats up. Fed exits media blackout.

- Well off early overnight highs, futures still trading higher across the board

-- near middle of session range, decent volume (TYU>1.9M) after while 10YY

slipped to low of 1.9719% (Nov'16 levels). 

- Risk-off bid for rates tempered, however, given how low ylds are already.

Decent selling into strength by real- and fast$, props in intermediates to long

end during second half.

- MASSIVE Eurodollar option volume favoring upside insurance buying as

underlying rates gradually priced in 50bp cut at next FOMC meet on Jul 30/31.

Implied vol continued to crater in the short end, however.

- The 2-Yr yield is up 0.4bps at 1.7387%, 5-Yr is down 1bps at 1.7481%, 10-Yr is

down 2.1bps at 2.0026%, and 30-Yr is down 1bps at 2.5251%.

US TSY FUTURES CLOSE: Well off early overnight highs, futures still trading

higher across the board -- near middle of session range, decent volume

(TYU>1.9M) after while 10YY slipped to low of 1.9719% (Nov'16 levels). Update:

* 3M10Y  +1.538, -13.083 (L: -21.564 / H: -12.824)

* 2Y10Y  -1.509, 26.697 (L: 25.247 / H: 29.941)

* 2Y30Y  +0, 79.386 (L: 76.14 / H: 82.452)

* 5Y30Y  +0.913, 78.45 (L: 75.352 / H: 80.131)

Current futures levels:

* Sep 2-Yr futures up 1.625/32  at 107-21.875 (L: 107-20.875 / H: 107-24.25)

* Sep 5-Yr futures up 4.25/32  at 118-8 (L: 118-03.75 / H: 118-12.25)

* Sep 10-Yr futures up 7/32  at 128-2.5 (L: 127-26 / H: 128-08.5)

* Sep 30-Yr futures up 11/32  at 155-25 (L: 155-07 / H: 156-17)

* Sep Ultra futures up 11/32  at 177-23 (L: 177-01 / H: 179-08)

US EURODLR FUTURES CLOSE: Carry-over bid across the strip as rate cuts gel

across the short end. Current White pack (Sep 19-Jun 20):

* Sep 19 +0.050 at 98.045

* Dec 19 +0.030 at 98.150

* Mar 20 +0.015 at 98.345

* Jun 20 +0.020 at 98.435

* Red Pack (Sep 20-Jun 21) +0.020 to +0.025

* Green Pack (Sep 21-Jun 22) +0.030 to +0.030

* Blue Pack (Sep 22-Jun 23) +0.035 to +0.040

* Gold Pack (Sep 23-Jun 24) +0.035 to +0.040

US SWAPS: Spds running mixed after the bell, spd curve mildly flatter, limited

two-way deal-tied flow on day. Latest spd levels:

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Thu 1500    +0.25/2.75     +0.88/-1.56    -0.06/-6.25   -0.19/-32.69

Thu Open    -0.94/2.56     +0.19/-2.25    -0.69/-6.88   -0.56/-33.38

Wed 1500    +0.12/3.44     -0.44/-1.44    -0.62/-6.44   -0.88/-32.50

Wednesday recap: Spds mostly tighter after the bell -- after running wider

across the curve pre-FOMC. Modest unwinds in last hour after much better rate

paying in 1s, 2s and 3s earlier, receivers in 4s, 5s and 10s; mixed fly: 2s7s10s

payer and 2s3s5s receiver, switches in intermediates.

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0007 at 2.3415% (-0.0051/wk)

* 1 Month +0.0203 to 2.4036% (+0.0219/wk)

* 3 Month -0.0430 to 2.3431% (-0.0589/wk)

* 6 Month -0.0833 to 2.2167% (-0.0606/wk)

* 1 Year -0.1362 at 2.1615% (-0.0850/wk)

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

* Daily Effective Fed Funds Rate: 2.37%, volume: $60B

* Daily Overnight Bank Funding Rate: 2.36%, volume: $163B

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

* Secured Overnight Financing Rate (SOFR): 2.36%, $1.059T

* Broad General Collateral Rate (BGCR): 2.34%, $479B

* Tri-Party General Collateral Rate (TGCR): 2.34%, $453B

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

21-Jun 0330 Bos Fed Pres Rosengren, Macroprudential Conf, Deutsche Bundesbank.

21-Jun 0945 Jun Markit Mfg Index (flash) (50.6, 50.5)

21-Jun 0945 Jun Markit Services Index (flash) (50.9, 51.0)

21-Jun 1000 May existing home sales (5.19M, 5.27M)

21-Jun 1000 May BLS state payrolls

21-Jun 1100 Q2 St. Louis Fed Real GDP Nowcast (2.90%, --)

21-Jun 1115 Q2 NY Fed GDP Nowcast (1.36%, --)

21-Jun 1200 US Fed Gov Lael Brainard, Clev Fed Pres Loretta Mester, discussion

on community development and economy, Cleveland Federal Reserve 2019 Policy

Summit in Cincinnati, Ohio.

21-Jun 1230 SF Fed Pres Mary Daly, presentation in San Francisco, California

PIPELINE: Still waiting on HCP and Santander to price

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

06/20 $2.5B #Banco Santander 5Y +95, 10Y +130

06/20 $1.2B #HCP 7Y +140, 10Y +155

06/20 $300M Athene 5Y +120a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +13,500 Jul/Aug 80/81 call strip spd, 6.5/Aug over

* 8,000 Mar 80/82/85 call flys, 3.5

Blocks, 1230:00-:10ET

* total +30,000 Dec 81/88 call over risk reversals, 2.0 vs. 98.50/0.52%

below includes 10k just blocked at 1253:32

* total 25,000 Mar 77/78 put strip, 10.0 vs.

* 25,000 Mar 81/83 call spd, 14.0 vs. 98.38/0.50%

* 6,000 short Sep 87/91 1x2 call spds vs. 12,000 short Sep 80 puts, 0.0 net

* 8,000 Aug 81/82/83 call flys on screen

* 10,000 July 78/80 call spds vs. Jul 80 puts

* 10,000 Aug 80 calls, 13.5 vs. 98.055/0.60%

* 22,000 Dec 80/85 call spds, 21.5

* 10,000 Red Dec'20 85 calls, 37.5

* 10,000 Aug 83 calls, 13.0 vs. 98.055/0.60%

* 10,000 Aug 81/82/83 call flys, 3.0 vs. 98.055/0.07%

* +10,000 Jun 86 calls, 23.5

Blocks, 1021:29ET, put ladder sale

* -10,000 Mar 76 puts, 2.5

* -10,000 Mar 77 puts, 4.0

* -20,000 Mar 78 puts, 6.0

* +20,000 Mar 80 puts, 9.0

* just over -17,100 USQ 142 puts on screen, 2/64, still bid

* -5,000 Dec 73/75 put strip, 1.5

* over 10,000 Dec 77/86 call over risk reversals, 0.5 vs. 97.18

* Update, total -21,000 Mar 80/82/85 call flys, 3.5

* over +50,000 Mar/short Mar 92 call spds bought from 4.0-4.5

* -15,000 Mar 80/82/85 call flys, 3.5

* +10,000 Dec 87 calls, 2.75

Blocks, 0910:10-0911:49ET

* total +24,500 Dec 86/87 call strip vs. selling Dec 88 calls, 5.5 net

edu0/edz0 93/96/97/100 call condor stupid ppr pays 6.5 on 5k bid over

Blocks, 0825:35-0829:30ET

* 27,500 Oct 82/85 call spds, 7.5

* 27,500 Dec 86/88 call spds, 3.0 vs. 97.175/0.31%

* +50,000 short Dec 92/97 call spds, 3.5

Block, 0819:23ET

* 15,000 Green Dec 83/86 call spds 6.0 over the Green Dec 80 put vs.

98.425/0.38%

Block, 0808:14ET

* 10,000 Sep 82/85 call spds, 2.5 vs. 98.025/0.15%

Block, 0801:50ET

* 25,000 Mar 92/97 call spds, 5.0

Blocks:

* 5,000 short Sep 81/83 2x1 put spds, 3.5 net vs. 98.46/0.04% (0744:45ET), more

trades on screen

Checking below as either a spd/spd or spd strip (0742:19ET)

* 5,000 short Mar 92/97 call spds, 5.5

* 5,000 short Jun 92/97 call spds, 5.0

Block, 0737:05ET

* 5,000 Jul 78/80 call spds 4.75 over the Jul 80 puts

MASSIVE BLOCK volumes going up last few minutes:

* 50,000 Sep 76/77/78 call trees, 8.5 net vs. 98.025/0.50% (0708:23ET)

* 50,000 Sep 78/82/85 2x1x1 call trees, 36.5 net (0708:23ET)

* total 40,000 short Sep 83/86 1x2 calls, 0.5 net/86 call over

(0703:58-0711:20ET)

BLOCK, 0700:39ET -- adds to 112k earlier from 3.25-3.50

* another 25,000 Dec 80/81 call spds vs. Dec 77 puts, 4.0 net

overnight Block

* total 112,000 Dec 80/81 call spds 3.25-3.5 over the Dec 77 puts (adds to 25k

blocked late Wed at 3.25), last chunk of 57,000 spds vs. 15,960 EDZ9 at 98.155

Tsy options, Pit/screen:

* appr -35,000 TYU 126.5/127 put spds, 9/64, mostly outright

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

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