US TSYS: 50BP RATE CUT BACK IN PLAY

US TSY SUMMARY: Unscheduled Fed Clarida exclusive on Fox Biz didn't really shake

markets as much as Fed Williams earlier. Clarida largely towing the company line

w/ economy in good place, global uncertainty persists, inflation soft, etc.

Little out of the ordinary was: "LIMIT TO HOW FAR U.S. RATES CAN DIVERGE FROM

GLOBAL" bbg. Otherwise, definitely staying in his lane: "FOMC JUST FOCUSED ON

DOING OUR JOB AND ON DUAL MANDATE" and "RESEARCH SHOWS YOU ACT PREEMPTIVELY WHEN

YOU CAN" bbg. Tsys gained after the bell, just now breaching early overnight

highs as mkt finally hear Pres Trump that the US shot down Iranian drone in

Straights of Hormuz.

US TSY FUTURES CLOSE: Just breached early overnight highs after the bell after

dovish Fed Williams speech "Living Life Near the ZLB"

(https://www.newyorkfed.org/newsevents/speeches/2019/wil190718) got the ball

rolling. Likely additional risk-off/safe haven support after Pres Trump reports

US shot down Iranian drone. Yld curves bull steepened, update:

* 3M10Y  +5.801, -2.017 (L: -9.802 / H: -1.281)

* 2Y10Y  +2.987, 25.978 (L: 22.087 / H: 26.734)

* 2Y30Y  +4.755, 78.919 (L: 73.604 / H: 79.798)

* 5Y30Y  +3.667, 77.894 (L: 74.098 / H: 78.812)

Current futures levels:

* Sep 2-Yr futures up 4.125/32  at 107-15.625 (L: 107-11 / H: 107-15.87)

* Sep 5-Yr futures up 8.25/32  at 117-31 (L: 117-20.75 / H: 117-31)

* Sep 10-Yr futures up 12/32  at 127-23.5 (L: 127-07.5 / H: 127-24)

* Sep 30-Yr futures up 14/32  at 155-6 (L: 154-08 / H: 155-07)

* Sep Ultra futures up 16/32  at 176-23 (L: 175-12 / H: 176-27)

US EURODLR FUTURES CLOSE: Well bid across the strip after the bell, short end

exceptionally so as Fed Williams speech on "Living Life Near the ZLB" re-ignited

the 50bp cut hopes for the July 30-31 FOMC, chances surged from appr 30% to over

56% (CME and Bbg models). Robust volume in Whites. Current White pack (Sep

19-Jun 20):

* Sep 19 +0.065 at 97.975 (volume >430k)

* Dec 19 +0.080 at 98.065 (volume >375k)

* Mar 20 +0.095 at 98.280 (volume >322k)

* Jun 20 +0.090 at 98.375 (volume >260k)

* Red Pack (Sep 20-Jun 21) +0.075 to +0.090

* Green Pack (Sep 21-Jun 22) +0.050 to +0.070

* Blue Pack (Sep 22-Jun 23) +0.040 to +0.050

* Gold Pack (Sep 23-Jun 24) +0.025 to +0.035

US DOLLAR LIBOR: Latest settles

* O/N -0.0021 at 2.3606% (+0.0015/wk)

* 1 Month -0.0263 to 2.2715% (-0.0605/wk)

* 3 Month -0.0249 to 2.2776% (-0.0446/wk)

* 6 Month -0.0245 to 2.1742% (-0.0550/wk)

* 1 Year -0.0249 at 2.1921% (-0.0390/wk)

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

* Daily Effective Fed Funds Rate: 2.41%, volume: $62B

* Daily Overnight Bank Funding Rate: 2.39%, volume: $158B

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

* Secured Overnight Financing Rate (SOFR): 2.47%, $1.104T

* Broad General Collateral Rate (BGCR): 2.45%, $495B

* Tri-Party General Collateral Rate (TGCR): 2.45%, $476B

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

19-Jul 1000 Jul Michigan sentiment index (p) (98.2, 98.7)

19-Jul 1000 Jun BLS state payrolls 

19-Jul 1100 Q3 St. Louis Fed Real GDP Nowcast (2.78%, --)

19-Jul 1105 StL Fed Pres Bullard, tech and future of monetary & financial system

(CEBRA), NY

19-Jul 1115 Q3 NY Fed GDP Nowcast (1.49%, --)

19-Jul 1630 Boston Fed Pres Rosengren, CB independence at Annual Meeting (CEBRA)

NY

20-Jul Fed enters media blackout

PIPELINE: Waiting for BoA, PNC and MS to price

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

07/18 $2.5B #PNC $600M 3NC2 fix/FRN +48, $900M 3NC2 FRN +45, $1B 7Y +75

07/18 $2.5B #Bank of America 11NC10 fix/FRN +125a

07/18 $2B #Morgan Stanley 6NC5 fix/FRN +92

07/18 $700M Comerica 5Y +78a, 10Y +108a

07/18 $Benchmark PNC 3NC2 fix/FRN +60a, 7Y +190a

--

Canadian Issuance; RBC launched

07/18 C$1.5B #RBC 10NC5 +132

07/18 C$800 *EIB 5Y +3

07/18 C$1.1B *Scotia Capital NHA MBS +46

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* +4,000 long Green Mar'22 100 calls, 3.0 vs. 98.295/0.06%

* 5,000 Red Dec'20 95/97 1x2 call spds, 0.5

* Update, over +17,000 Sep 81/82/83 call flys, 0.75 vs. 97.92/0.05%

* +10,000 Oct/Dec 77 put calendar vs. short Oct/short Dec 78 put calendar spd

spd, cab net

* +3,000 Green Mar 80/86 call over risk reversals, 2.0

* -3,000 Blue Oct 77/78/81/82 put condors, 4.5

* +6,000 Blue Aug 85/87 call spds, 1.5 vs. 98.27/0.10%

* +7,000 Dec 80/81 call spds 1.0 over the Dec 77 puts

* Ongoing Sep 81 call seller up to 35,000 at 3.5

* +2,500 (x10) Aug 85 calls vs. Auf 87/88 call spd, 1.0 net db on 10x1 package

* -5,000 Oct 82 calls, 3.25

* -5,000 Sep/Oct 77 call spd on a 5x4 ratio, cab net

* - 5,000 Jun 82/85/92/95 1x1x1x4 call condors, 3.0

* +8,000 Dec 81/82 call spds .75 over the Dec 77/78 put spd

* +7,000 Green Dec 75 puts, 0.5

* +8,000 Aug 78 straddles, 11.5

* -20,000 Sep 85 calls, 1.5 (ongoing sell interest)

Block, 0945:03ET

* 10,000 Sep 75 puts, cab vs. 97.905

+20,000 Dec 80/81 call spds 0.5 over Dec 77 puts

* 10,000 short Sep 82/83 call spds, 6.5 

* -15,000 Aug 76/77 call spds, 0.75

* -2,500 Sep 78/80 strangles, 9.5

* +5,000 short Dec 87/92 call spds, 6.0 vs. 98.43/0.05%

* -4,000 Mar 80/82 call spds, 12.0 vs. 98.195/0.20%

Recap overnight screen trade, block

* Blocked: total -15,000 EDH 77 puts, 2.5 vs. 10,000 Mar 81/82 call spds, 5.5

Tsy options:

* -10,000 TYQ 127 puts, 11/64

* 20,000 FVU 117/117.5 2x1 put spds, 2.5

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

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