US TSYS: FOMC 25Bp "INSURANCE" CUT, BOAT LOAD OF PAIN FOR MKT

US TSY SUMMARY: Hawkish cut: FOMC annc first rate cut since Dec 2008, broadly

expected but short end came under immediate pressure as some amount of 50bp cut

was still priced into front end prior to meeting. Equities hammered to 2958.0L

but recovered to 2982.3 late.

- Yld curves bull flattened sharply ahead of the Fed presser, 3M10Y actually

dis-inverted >2.0bp before collapsing amid volatile press conf by the Fed chair.

Rates came under heavy selling across the curves as Fed Chair Powell said "it's

not the beginning of a long series of rate cuts" but a "mid-cycle adjustment"

- Fed chair underscored FOMC's willingness to support current economic

expansion, although both Rosengren and George dissented from the decision. Tsys

rebounded in the minutes before the NY close with long end actually extending

session highs. Prop and fast$ bought dip in 10s and 30s

- Earlier, rates jumped off lows on heels of lower than exp Jul Milwaukee ISM

mfg index 46.4 vs. 49.7 est (51.0 last month). Fast$, prop selling into latest

move knocks Tsys off initial bounce.

- The 2-Yr yield is up 1.8bps at 1.8641%, 5-Yr is down 2.3bps at 1.819%, 10-Yr

is down 5.1bps at 2.0075%, and 30-Yr is down 5.7bps at 2.5228%.

US TSY FUTURES CLOSE: Just off recent highs in long end after the bell, volatile

Fed chair presser. Yld curves bull flatten but are also off lows. Update: 

* 3M10Y  -3.651, -5.314 (L: -7.209 / H: 2.173)

* 2Y10Y  -7.483, 13.521 (L: 10.192 / H: 22.56)

* 2Y30Y  -8.589, 64.595 (L: 58.797 / H: 75.228)

* 5Y30Y  -4.444, 69.168 (L: 64.633 / H: 74.876)

Current futures levels:

* Sep 2-Yr futures down 2.75/32  at 107-6.625 (L: 107-01.25 / H: 107-12)

* Sep 5-Yr futures down 1.25/32  at 117-18.5 (L: 117-08 / H: 117-25.5)

* Sep 10-Yr futures up 3.5/32  at 127-14.5 (L: 127-00.5 / H: 127-22.5)

* Sep 30-Yr futures up 32/32  at 155-20 (L: 154-20 / H: 155-29)

* Sep Ultra futures up 55/32  at 177-15 (L: 175-25 / H: 178-01)

US EURODLR FUTURES CLOSE: Trading mixed after the bell, short end remains under

heavy sell pressure/volume. Current White pack (Sep 19-Jun 20): 

* Sep 19 -0.030 at 97.80 vs. 97.76L, volume >580k

* Dec 19 -0.055 at 97.86 vs. 97.79L, volume >635k

* Mar 20 -0.060 at 98.10 vs. 98.00L, volume >460k

* Jun 20 -0.060 at 98.20 vs. 97.095L, volume >420k

* Red Pack (Sep 20-Jun 21) -0.055 to -0.025

* Green Pack (Sep 21-Jun 22) -0.015 to +0.015

* Blue Pack (Sep 22-Jun 23) +0.025 to +0.045

* Gold Pack (Sep 23-Jun 24) +0.050 to +0.065

US DOLLAR LIBOR: Latest settles

* O/N +0.0046 at 2.3516% (+0.0013/wk)

* 1 Month -0.0055 to 2.2242% (-0.0083/wk)

* 3 Month +0.0125 to 2.2656% (-0.0001/wk)

* 6 Month +0.0152 to 2.2068% (+0.0020/wk)

* 1 Year +0.0001 at 2.1886% (-0.0080/wk)

US SWAPS: Spds wider after the bell, short end pared move amid heavy selling in

2s during Fed chair conf. Decent flow in lead up to FOMC annc w/two-way in 2s

turning better paying in 2s, 3s, 5s and 9s, payer flys more recently include

2s3s4s ans 2s5s7s. Current spd levels:

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

WED 1545    +0.97/4.12     +1.12/-2.38    +1.75/-6.94   +1.45/-35.85

1415        +1.85/5.00     +1.35/-2.15    +1.50/-7.20   +1.00/-36.30

1345        +1.48/4.63     +0.85/-2.65    +0.57/-8.12   -0.32/-37.62

1015        +1.38/4.52     +0.62/-2.88    +0.44/-8.25   -0.20/-37.50

Wed Open    +1.30/4.44     +0.50/-3.00    +0.46/-8.23   +0.05/-37.25

Wed 0745    +0.74/3.88     +0.47/-3.03    +0.40/-8.29   +0.33/-36.97

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

* Daily Effective Fed Funds Rate: 2.40%, volume: $78B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $182B

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

* Secured Overnight Financing Rate (SOFR): 2.39%, $1.158T

* Broad General Collateral Rate (BGCR): 2.38%, $511B

* Tri-Party General Collateral Rate (TGCR): 2.38%, $486B

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

01-Aug  -   Jul NA-made light vehicle sales SAAR

01-Aug 0730 Jul challenger layoff plans (13.0%, --)

01-Aug 0830 27-Jul jobless claims (206k, 214k)

01-Aug 0945 Jul Markit Mfg Index (final) (50.0, 50.0)

01-Aug 1000 Jun construction spending (-0.8%, 0.3%)

01-Aug 1000 Jul ISM Manufacturing Index (51.7, 52.0)

01-Aug 1000 Jul ISM Prices Paid (47.9, 49.0)

01-Aug 1030 26-Jul natural gas stocks w/w

01-Aug 1630 31-Jul Fed weekly securities holdings

PIPELINE: Fast issue pace slows ahead FOMC, $19.25B total priced/wk 

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

07/31 High grade corp issuance evaporates ahead FOMC annc

-

$3.5B priced Tuesday, $19.25B total/wk

07/30 $2.7B *Honeywell $600M 3Y +37, $600M 3Y FRN +37, $750M 5Y +50, $750M 10Y

+68

07/30 $800M *Huntington Bancshares 5Y +83

-

$15.75B priced Monday

07/29 $5.5B *Boeing WNG 6-tranche: $750M 2Y +45, $1B 7Y +80, 

----- $750M 10Y +90, $750M 15Y +120, $1.25b 30Y +120, $1b 40Y+140

07/29 $3.5B *Las Vegas Sands $1.75B 5Y +137.5, $1B 7Y +162.5, $750M 10Y +187.5

07/29 $2B *Ford Motor Cr $1.25B 3Y +155, $750M 7Y +260

07/29 $1.5B *National Australia Bank (NAB) 15NC10 +188

07/29 $1B *Union Pacific $500M 20Y +98, $500M 40Y +140

07/29 $900M *Republic Services 5Y +70

07/29 $450M *Owens Corning WNG 10Y +192

07/29 $500M *Shinhan Fncl Gr (SFG) 10.5NC5.5 +150

07/29 $400M *Essex Portfolio +10Y +110 upsized

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

Block, 1522:33:00ET,

* total 26,000 Oct 83/Dec 85 2x1 call spds, 0.0 net

Block, 1510:03ET,

* 10,000 Aug 76/77 put spds, 1.5 (seller in pit late at 2.0)

* 10,000 Jun 97/100 call spds, cab

* +20,000 Oct 81 calls, 2.5

* -10,000 Dec 77/80 strangles, 13.5

* Update, over +20,000 short Sep 87 calls, 1.0 vs. 98.35/0.05

* +25,000 Green Dec 93/96 call spds, cab

* -20,000 Aug 77 puts, 1.5

* +15,000 Jun 91/93 call spds, 1.5

* +8,000 short Sep 87 calls, 1.0

* Update, +60,000 Dec 81 calls, 5.0

* -5,000 Dec 77 puts, 5.0

* 8,000 Sep 76/77 put spds, 2.25

* +5,000 short Aug 78/80/81 put flys, 0.5

* +5,000 Dec 81 calls, 5.0

* 10,000 Mar 75/76 put spds, 0.5

* +17,000 short Aug 80/82 put spds, 3.5 on screen

* +4,000 Dec 76/77 put spds, 0.5 over Dec 83 calls

* 4,000 Sep 75/76 2x1 put spds, 0.5 vs. 98.81/0.05%

* -5,000 Aug 77/78 put spds, 35 vs. 97.835/0.18%, ongoing sale 

10:17 07/31 EDT US EURODLR OPTIONS: Recent trade,

* +10,000 short Aug 80/82 put spds, 3.5

* 5,000 Aug/Sep 76/77 2x1 put spd strip 2.25

* -5,000 Oct 78/80 strangles vs. 82 calls, 12.5 net

* +6,500 Dec 77/80 strangles, 14.75

Block, 0849:28

* -10,000 Aug 77/78 2x1 put spds, 3.5, adds to 10k in pit

Details recent Block 0837:29ET, 6.5 net strangle spd

* -10,000 short Sep 82/85 strangle, 11.0

* +10,000 Nov 78/80 strangles, 17.5

* -10,000 Oct 77/81 call over risk reversals, 0.5 vs. 97.915/0.46%

* -9,000 Sep 77/78 call spds, 6.5 vs. 97.835/0.29%

* +5,000 Blue Dec 80/82 put spds, 10.0 vs. 98.205/0.10% vs.

* -5,000 short Dec 80/82 put spds, 8.0

* 2,500 short Sep 82/83/85 call trees, 1.5

* 2,500 short Oct 80/81/82 put trees, 2.0

* 1,000 short Dec 83 straddles, 35.5

* 1,000 Red Sep'20 82 straddles, 50.0

Earlier screen trade includes

* -5,000 Dec 77/80 strangles, 14.5

* +10,000 Sep 76 puts, 0.75

* +17,000 short Aug 80/82 put spds, 3.5

* 4,000 short Oct/Green Oct 82 put spds, 0.0

Tsy options:

Block, 1510:03ET,

* 10,000 FVU 116.5/117.25 put spds, 9.5/64

Recapping mid-late morning Blocks

* -14,000 FVX 117/119 strangles, 30/64 at 1256:10ET

* +7,500 wk5 FV 117.75 straddles, 20/64 at 1150:54ET -- but hear likely

back-timed from earlier

* -20,000 TYU 129 calls, 6/64

* +10,000 wk2 FV 117.25/118 call over risk reversals, 2/64 vs. 117-21.5 to

-21.25

* +1,600 FVU 116.5/117.25 put spds, 8/64

* 2,000 TYU 128/128.75 1x2 call spds, 3/64

* 2,000 TYU 126/126.75 2x1 put spds, 2/64

* 2,985 TUU 106.87 puts, 2/64 on screen

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

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