US TSYS: QUIET START TO FED POLICY WK, 25BP PRICED IN

US TSY SUMMARY: Quiet start to FOMC week, Fed policy announcement Wednesday.

Tsys firmer after the bell but near middle session range as deal-tied hedge

unwinds ran their course, yld curves mildly mixed -- well off flatter levels as

long end pared gains late. Exceptionally light volume w/total TYU only 750k,

appr 530k since the NY open.

- Tsy yld curves turned mixed/moving off earlier flatter levels as futures

steadily pared early gains, fast$, props bought dip in USU. 

- Slo-mo grind off late morning lows around midday, long end looked poised to

overtake early highs robust corporate supply rate locked on Friday gets unwound.

$5.5B Boeing 6-part launched late; total $15.75B corporate supply to price on

day.

- he 2-Yr yield is unchanged at 1.8519%, 5-Yr is down 0.7bps at 1.8403%, 10-Yr

is down 0.9bps at 2.0615%, and 30-Yr is down 0.2bps at 2.5907%.

US TSY FUTURES CLOSE: Firmer after the bell but near middle session range as

deal-tied hedge unwinds ran their course, yld curves mildly mixed -- well off

flatter levels as long end pared gains late. Exceptionally light volume w/total

TYU only 750k, appr 530k since the NY open. Update: 

* 3M10Y  +0.417, -4.573 (L: -8.02 / H: -4.573)

* 2Y10Y  -0.479, 20.96 (L: 20.089 / H: 22.083)

* 2Y30Y  +0.052, 73.676 (L: 72.407 / H: 74.514)

* 5Y30Y  +0.676, 74.87 (L: 72.782 / H: 75.728)

Current futures levels:

* Sep 2-Yr futures up 1/32  at 107-9.125 (L: 107-09 / H: 107-10.375)

* Sep 5-Yr futures up 3.25/32  at 117-20.5 (L: 117-19 / H: 117-22.75)

* Sep 10-Yr futures up 5.5/32  at 127-12.5 (L: 127-09 / H: 127-16)

* Sep 30-Yr futures up 8/32  at 154-19 (L: 154-14 / H: 154-31)

* Sep Ultra futures up 8/32  at 175-20 (L: 175-14 / H: 176-14)

US EURODLR FUTURES CLOSE: Mildly higher across the strip, near top end narrow

range after the bell. Current White pack (Sep 19-Jun 20):

* Sep 19 +0.025 at 97.840

* Dec 19 +0.020 at 97.925

* Mar 20 +0.025 at 98.160

* Jun 20 +0.025 at 98.255

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

* Green Pack (Sep 21-Jun 22) +0.025 to +0.025

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

* Gold Pack (Sep 23-Jun 24) +0.020 to +0.025

US DOLLAR LIBOR: Latest settles

* O/N -0.0017 at 2.3486% (-0.0117 last wk)

* 1 Month -0.0027 to 2.2343% (-0.0241 last wk)

* 3 Month -0.0107 to 2.2550% (+0.0136 last wk)

* 6 Month -0.0086 to 2.1962% (+0.0333 last wk)

* 1 Year +0.0014 at 2.1980% (+0.0389 last wk)

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): 2.41%, $1.142T

* Broad General Collateral Rate (BGCR): 2.40%, $496B

* Tri-Party General Collateral Rate (TGCR): 2.40%, $470B

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

30-Jul ---- FOMC policy meeting kicks off 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: =$5.5B Boeing launched; $15.75B to price on day

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

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: 

* +10,000 Dec 81/85 call spds, 4.75

* -4,000 short Aug 83/Blue Aug 82 call spds, 1.5

* -2,500 Red Mar'21 83 straddles, 64.0

* +4,000 short Aug 81/82 put spds, 3.0

* -3,000 Dec 77/80/83 call flys, 4.5

* 5,000 Jun 92/100 call spds, 2.0

Block, 1105:27ET,

* +10,000 short Aug 82 puts, 5.0 vs. 98.315/0.35%

* +14,500 short Aug 86 calls, 1.0 vs. 98.32/0.10%

* -5,000 Dec 73/75/76 put flys, 0.75

* 5,000 Red Dec'20 97/100 call spds, 0.5

* 3,500 Sep 73/75/76 put flys, 0.75

* -20,000 short Dec 87/97 call spds, 5.0

* +20,000 Jun 87/92 call spds, 6.0

* 7,500 Red Sep'20 92/100 call spds, 4.0

* 1,500 Blue Oct 78/83 strangles, 8.5

* +2,500 Mar 78/81 3x1 put spds, 0.5

* +5,000 short Oct 81/82 2x1 put spds on screen earlier, 1.0

* Update, +7,500 Aug 77 puts, 1.5 vs. 97.845/0.22%

* 5,000 Sep 80/81 call strip .5 over 10,000 short Sep 87 calls

* -5,000 Blue Dec 81 straddles, 32.5

* +25,000 short Aug 86 calls, 1.0 on screen

* 2,000 Jun 85/91 call spds, 10.5

* over -30,000 Mar 90 calls, 1.5

* -10,000 Aug/Sep 80 call spds, 1.0

* 9,200 Aug 72 puts, cab

* 3,000 Aug 77/78/80 put flys

* 9,000 short Oct 81 puts

Overnight Block recap

* total -30,000 Dec 80/82 call sods, 5.5 vs. 97.91/0.22%

Tsy options:

Large 5Y put trade pit/screen

* total +120,000 FVU 114.75 puts, 1/64 (open interest only 28,297 coming into

session)

* +17,000 TUU 106.12 puts, .5/64

* +28,700 TYU 132 calls, 1/64

* +17,850 FVU 114.75 puts, 1/64

* +7,000 FVU 114.75/115 put strip, 2/64

* 12,200 USU 144.5 puts, 2/64 on screen

* -2,500 TYU 125 puts 1/64 over TYV 122.5/125 2x1 put spds

* +5,000 FVU 117.75 calls, 19.5/6 vs. 117-21.5/0.46%

* +2,500 FVQ 113.5 puts, 0.5

* 10,000 TYU 128/129 call spds, 13/64 on screen

Highlight overnight trade

* 20,000 TYU 130 calls, 3/64

* 21,000 TYU 129.5 calls, 4/64

* 5,700 USU 156.5 calls

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

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