US TSYS: MIXED/OFF LOWS AFTER POST-GDP SELLING

US TSY SUMMARY: It looked like it was going to be a quiet end to the week -- and

it was despite some post-GDP chop. Rates mixed by the bell, short end under

pressure but off early lows. Trade volumes light (TYU<900k). Note equities

trading near new all-time highs, ESU9 3028.50.

- Amid generally quiet midsummer trade coupled with the Fed entering their

blackout period last Saturday, chances of a 25bp cut next week remains largely

priced in while 50bp cut in the target rate has stubbornly declined to

approximately 20%.

- Session flow includes two-way on net across the curve after better real- and

fast$ selling in shorts to intermediates post-data, two-way option-tied flow

w/August Tsy serial options expiring today. Little deal-tied flow.

- The 2-Yr yield is unchanged at 1.8639%, 5-Yr is down 0.3bps at 1.8552%, 10-Yr

is down 0.7bps at 2.0738%, and 30-Yr is down 1.5bps at 2.5936%.

US TSY FUTURES CLOSE: Mixed by the bell, TUU-TYU underperforming but well off

post-GDP lows, albeit on light volume (TYU<875k). Generally quiet after early

data related vol, yld curves flatter going into the weekend, update: 

* 3M10Y -1.361, -3.778 (L: -5.082 / H: -1.087)

* 2Y10Y -0.371, 20.936 (L: 19.535 / H: 21.762)

* 2Y30Y -1.028, 73.007 (L: 70.948 / H: 74.665)

* 5Y30Y -1.028, 73.789 (L: 72.158 / H: 75.216)

Current futures levels:

* Sep 2-Yr futures down 0.875/32 at 107-8.375 (L: 107-07 / H: 107-09.625)

* Sep 5-Yr futures down 1/32 at 117-17.75 (L: 117-13.5 / H: 117-20.5)

* Sep 10-Yr futures down 1/32 at 127-8 (L: 127-01 / H: 127-12)

* Sep 30-Yr futures up 3/32 at 154-13 (L: 154-00 / H: 154-25)

* Sep Ultra futures up 6/32 at 175-13 (L: 174-28 / H: 176-03)

US EURODLR FUTURES CLOSE: Short end at/near session lows by the bell,

Blues-Golds outperforming. Amid generally quiet midsummer trade coupled with the

Fed entering their blackout period last Saturday, chances of the outsized drop

in the target rate has stubbornly declined to approximately 25%. For the week:

Lead quarterly EDU9 has dropped 0.095 to 97.81, EDZ9 through EDM0 are 0.090

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

* Sep 19 -0.030 at 97.810

* Dec 19 -0.030 at 97.905

* Mar 20 -0.030 at 98.135

* Jun 20 -0.040 at 98.230

* Red Pack (Sep 20-Jun 21) -0.035 to -0.015

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

* Blue Pack (Sep 22-Jun 23) steady

* Gold Pack (Sep 23-Jun 24) -0.005

US DOLLAR LIBOR: Latest settles

* O/N +0.0013 at 2.3503% (-0.0117/wk)

* 1 Month -0.0041 to 2.2370% (-0.0241/wk)

* 3 Month +0.0100 to 2.2657% (+0.0136/wk)

* 6 Month +0.0273 to 2.2048% (+0.0333/wk)

* 1 Year +0.0178 at 2.1966% (+0.0389/wk)

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

* Daily Effective Fed Funds Rate: 2.40%, volume: $69B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $175B

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

* Secured Overnight Financing Rate (SOFR): 2.42%, $1.153T

* Broad General Collateral Rate (BGCR): 2.41%, $504B

* Tri-Party General Collateral Rate (TGCR): 2.41%, $480B

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

29-Jul 1030 Jul Dallas Fed manufacturing index (-12.1, -5.0)

-

30-Jul ---- FOMC policy meeting, in Washington.

30-Jul 0830 Jun personal income (0.5%, 0.4%)

30-Jul 0830 Jun current dollar PCE (0.4%, 0.3%)

30-Jul 0830 Jun total PCE price index (0.2%, 0.1%)

30-Jul 0830 Jun core PCE price index (0.2%, 0.2%)

30-Jul 0855 27-Jul Redbook retail sales m/m (1.1%, --)

30-Jul 0900 May Case-Shiller Home Price Index (0.0, --)

30-Jul 1000 Jun NAR pending home sales index (105.4, --)

30-Jul 1000 Jul Conference Board confidence (121.5, 125.0)

30-Jul 1030 Jul Dallas Fed services index (3.2, --)

PIPELINE: $30.29B Priced on week

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

07/26 No new supply for Friday yet

-

$4.25B Priced Thursday

07/25 $2B *PepsiCo $1B 10Y +58, $1B 30Y +80

07/25 $1.5B *American Express 5Y +72

07/25 $750M *Sultanate Oman 5.5Y RegS 5.37%a, 10Y 6.375%a

Canada:

07/25 C$1.75B *Bank of Montreal 5Y +92 launched and priced late Thu

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

Block, 1217:11ET -- was and still is 2.50 offered

* +20,000 Aug 78 calls, 2.75 vs. 97.82/0.30%

* 6,000 Blue Dec 77/87 combo, 0.0 vs. 98.22

* 6,000 Sep/Oct 75/76 put spd spd, cab

* 4,700 Sep 76/77 2x1 put spds at 2.0 vs. the Sep 80/81 call spds at 1.25

* -4,250 short Oct 88/90 call strip, 2.0

* Update, -25,000 Aug 77 put/Oct 82 call spd, cab

* 13,000 Aug 77 put/Oct 82 call spd, cab

* 5,000 Dec 78/81 call spds, 8.0

* -3,000 Sep 78 puts 6.0 over the short Sep 81 put

* +10,000 Dec 83 calls, 2.25

* +5,000 Aug 78 puts, 9.0

* +5,000 short Aug 81/82 put spds, 3.5

* 10,000 Green Dec 93/96 call spds, cab

* 12,500 short Aug 80/81 2x1 put spds, 0.5

* -5,000 Sep 77/78 call spds, 6.0 vs 97.80/0.05% adding to screen sales

* +10,000 Dec 73 puts 0.5 pre-data

Additional screen trade coming into the session

* 5,000 Dec 78/81 call spds, 1.5

* 4,000 Aug 76/77/78 put flys, 4.0

Tsy options:

* Update, -10,000 TYU 126.5/128 strangles from 34- to 33/64

* 13,000 TYU 125.5/126.5 2x1 put spds on screen at 6/64

5Y ratio Iron fly:

* 2,400 FVV 118 straddles 1-1.5/64 vs.

* 4,800 FVV 116.5 puts 6.5/64 and 6,000 FVV 120 calls 3/64

Earlier short end downside insurance buyer

* +12,000 TUU 106.62 puts, 1/64

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

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