US TSYS: JULY CUT FULLY PRICED IN, FIRST SINCE DEC 2008

US TSY SUMMARY: Delayed/dovish react to widely expected steady FOMC rate annc:

no longer patient/will act as appropriate, uncertainties increased. 

- Short end rebounds Sep 2Y took out Tue's high post annc; curves steeper but

off highs amid some selling into strength. Tsy 10YY slipped to 2.0181L (-.0414).

Decent futures volume w/appr half the session volume occurring after the Fed

annc.

- Very choppy post FOMC trade, taking several minutes before markets digested

the annc and rally gained traction. Short end surges higher w/lead quarterly

EDU9 up .125 after the bell -- fully pricing in a 25bp rate and then some for

July 30-31 FOMC.

- Swap 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.

- The 2-Yr yield is down 11.9bps at 1.7453%, 5-Yr is down 6.4bps at 1.768%,

10-Yr is down 2.9bps at 2.0302%, and 30-Yr is down 0.6bps at 2.543%.

US TSY FUTURES CLOSE: Stronger across the board but off session highs after the

bell, Powell conf over. Update:

* 3M10Y  +1.705, -14.445 (L: -16.934 / H: -11.151)

* 2Y10Y  +7.636, 26.755 (L: 18.232 / H: 26.755)

* 2Y30Y  +9.695, 77.735 (L: 65.927 / H: 77.824)

* 5Y30Y  +5.422, 76.895 (L: 69.389 / H: 77.466)

Current futures levels:

* Sep 2-Yr futures up 6.125/32  at 107-19.75 (L: 107-10.5 / H: 107-20.625)

* Sep 5-Yr futures up 8.75/32  at 118-1.75 (L: 117-17.5 / H: 118-04.75)

* Sep 10-Yr futures up 8/32  at 127-24 (L: 127-05 / H: 127-29.5)

* Sep 30-Yr futures up 8/32  at 155-8 (L: 154-09 / H: 155-17)

* Sep Ultra futures up 6/32  at 177-3 (L: 176-00 / H: 177-17)

US EURODLR FUTURES CLOSE: VERY well bid on heavy volume, Whites lead the charge

in dovish react to steady FOMC, July cut widely expected w/lead quarterly

+0.105. Current White pack (Sep 19-Jun 20):

* Sep 19 +0.105 at 98.005

* Dec 19 +0.130 at 98.130

* Mar 20 +0.150 at 98.345

* Jun 20 +0.140 at 98.425

* Red Pack (Sep 20-Jun 21) +0.095 to +0.130

* Green Pack (Sep 21-Jun 22) +0.055 to +0.080

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

* Gold Pack (Sep 23-Jun 24) +0.005 to +0.020

US SWAPS: 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. Latest spd levels:

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

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

1355        +0.62/3.94     +0.38/-0.62    +0.38/-5.44   +0.12/-31.50

1200        +0.44/3.75     +0.38/-0.62    +0.44/-5.38   +0.38/-31.25

1045        +0.31/3.62     +0.00/-1.00    +0.06/-5.75   +0.06/-31.56

0930        +0.00/3.31     +0.00/-1.00    +0.25/-5.56   +0.12/-31.50

Wed Open    -0.44/2.88     -0.25/-1.25    +0.06/-5.75   +0.06/-31.56

Tue 1500    -0.44/2.69     -0.75/-1.25    -0.44/-5.75   -0.44/-31.81

US DOLLAR LIBOR: Latest settles resume 

* O/N -0.0087 at 2.3408% (-0.0058/wk)

* 1 Month +0.0005 to 2.3833% (+0.0016/wk)

* 3 Month -0.0005 to 2.3861% (-0.0159/wk)

* 6 Month +0.0020 to 2.3000% (+0.0227/wk)

* 1 Year +0.0334 at 2.2977% (+0.0512/wk)

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

* Daily Effective Fed Funds Rate: 2.37%, volume: $59B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $159B

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

* Secured Overnight Financing Rate (SOFR): 2.39%, $1.059T

* Broad General Collateral Rate (BGCR): 2.36%, $480B

* Tri-Party General Collateral Rate (TGCR): 2.36%, $451B

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

20-Jun 0830 15-Jun jobless claims (222k, 220k)

20-Jun 0830 Q1 current account balance (-$134.4B, -$124.2B)

20-Jun 0830 Jun Philadelphia Fed Mfg Index (16.6, 11.0)

20-Jun 1000 May leading indicators (0.2%, 0.1%)

20-Jun 1030 14-Jun natural gas stocks w/w

20-Jun 1630 19-Jun Fed weekly securities holdings

PIPELINE: High-grade issuance in abeyance ahead FOMC

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

No new supply on docket, $5.2B priced on wk ($15B wk/total est)

-

06/18 $1B *KEXIM $500M 3Y FRN +52.5, $500M 5Y +62.5

-

$4.2B priced Monday

06/17 $850M *Chile 30Y +95

06/17 $800M *Hyundai Capital AM, $400M 3Y +120, $400M 5Y +155

06/17 $600M *Jackson National Life $300M 5Y +85, $300M 10Y +100

06/17 $600M *ERP Operating 10Y +97

06/17 $500M *Korea Electric Power (KEPCO) 5Y +75

06/17 $500M *KKR Grp Finance WNG 10Y +170

06/17 $350M *Wisconsin Power and Light 10Y +95

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* Update, near -50,000 short Sep 77/80 put spds, 2.0

* -15,000 Dec 71/72/73/75 put condor down to 0.5 -- adds to ongoing unwinds

interest/huge position

BLOCK, 1418:21ET

* 15,000 Dec 73 puts, 1.0 vs. 98.29/0.05%

* -27,000 Mar 80/82/85 call flys, 3.5

BLOCK, 1414:48ET

* 10,000 Green Aug 78 puts, 1.0

BLOCK, 1230:13ET

* 15,000 Dec 71/72/73/75 put condors, 0.75 vs. 98.00/0.05%

BLOCKs, 1144:00-:09ET

* total 34,775 Sep 73 puts, cab

* +4,000 short Sep 78 puts, 3.0 vs. 98.31/0.16%

* +5,000 Dec 76/77 2x1 put spds 0.75

* -2,000 short Dec 83 straddles, 48.5

Additional vol sales from earlier

* -8,000 Dec 80 straddles, 37.5

* -2,500 Sep 76/80 strangles, 8.5

* -2,500 Dec 76/80 strangles, 22.0

* +9,000 Oct 80/82 1x2 call spds, 2.0

* 5,000 Dec 76/77 2x1 put spds, 0.75

* 2,000 Jul 77/81 put over risk reversals, 1.25

* some +46,000 Red Dec'20 92/95/97/100 call condor on screen (adds to +10k

Blocked at 3.0 a few hours ago)

* -10,000 Dec 75/85 strangles, 6.5

* +20,000 (half just Blocked) short Sep 77/80 put spds, 4.5, ongoing buyer paid

4.0 for 30k yesterday

* +5,000 Sep 77/78 put spds 1.75 over the Sep 81 calls

BLOCK, 0753:02ET

* another 8,500 makes 43,500 total Sep 80 calls at 7.0 vs. 97.89/0.36% (open

interest 405,431 in call coming into session)

BLOCK, 0702:07ET,

* another 5,000 makes 35,000 total Sep 80 calls at 7.0 vs. 97.885/0.36% (open

interest 405,431 in call coming into session)

Tsy options, Pit/screen:

* +94,000 TYU 119.5 puts, 2/64 on the screen, OI just over 168k coming into the

session. Unwind of short leg/large 60,000 TYU 119.5/121 1x2 put spd bought

yesterday, open interest climbing like amount in each strike as a result

* 2,500 FVN 117.75 call spds, 9/64 vs. 117-19

* +10,000 TYN 125.75 puts, 1/64 on screen earlier, total volume just over 15k

* -5,000 TYQ 125.5 puts, 10/64 vs. 127-09/0.10%

* -3,500 FVN 117.75 calls, 9/64 vs. 117-08.5

* -1,700 TYU 126.5/128 strangles, 1-17/64

* 4,900 TYU 130 calls 16/64 vs. 127-07

* 1,560 FVU 117.5 straddles at 1-13.5/64 vs. 800 TYU 127 straddles 1-59/64

* Screen sale 7,500 TYU 126.5 puts, 39/64 total volume >10k

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

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