US TSYS: STRONG DATA TEMPERS DOVISH HOPES AND DREAMS

US TSY SUMMARY: Rates weaker after the bell, holding a narrow range after

bouncing off brief session lows around midday after some dueling headlines

between Fed Kaplan ("limited cut") and Pres Trump (could impose more tariffs on

China if wanted to). That said, futures near middle of overall session range

after gapping lower on better than expected retail sales and IP data.

- Little react to largely iterative comments from the Fed chair expressing

concerns over global uncertainties, as well as from Chi Fed pres Evans:

"FORECAST 50 BP OF ACCOMMODATION TO LIFT INFLATION" and "SEES COUPLE OF 2019 FED

RATE CUTS JUST BASED ON INFLATION". Other than initial data, Tsys saw largest

react to Kaplan comments as futures extended lows, 3M10Y gapped to -1.156.

- Flow included decent deal-tied hedging after $8.4B supra-sovs priced, fast-

and real$ selling post data, prop and fast$ buying dips.

- Upside insurance call buying less one-way, seeing concerted pick-up in

downside put and put spd buying since stronger than anticipated data. The 2-Yr

yield is up 3.1bps at 1.86%, 5-Yr is up 3.7bps at 1.881%, 10-Yr is up 3bps at

2.1183%, and 30-Yr is up 1.7bps at 2.6275%.

US TSY FUTURES CLOSE: Weaker after the bell, holding a narrow range after

bouncing off brief session lows around midday after some dueling headlines

between Fed Kaplan ("limited cut") and Pres Trump (could impose more tariffs on

China if wanted to). That said, futures near middle of overall session range

after gapping lower on better than expected retail sales and IP data. Yld curves

mostly flatter, update:

* 3M10Y  +2.216, -2.648 (L: -7.087 / H: -1.156)

* 2Y10Y  -0.174, 25.591 (L: 24.102 / H: 26.664)

* 2Y30Y  -1.475, 76.484 (L: 74.899 / H: 78.295)

* 5Y30Y  -1.998, 74.464 (L: 73.476 / H: 76.721)

Current futures levels:

* Sep 2-Yr futures down 2/32 at 107-9.875 (L: 107-08.875 / H: 107-12.375)

* Sep 5-Yr futures down 5.5/32 at 117-14.75 (L: 117-11.75 / H: 117-21.5)

* Sep 10-Yr futures down 8.5/32 at 126-29 (L: 126-23 / H: 127-08)

* Sep 30-Yr futures down 15/32 at 153-19 (L: 153-05 / H: 154-08)

* Sep Ultra futures down 19/32 at 174-14 (L: 173-24 / H: 175-12)

US EURODLR FUTURES CLOSE: Modestly lower after the bell, lower half session

range on decent volume in the front end as markets digest latest better than

expected data that has some dealers upgrading their Q2 GDP est. Current White

pack (Sep 19-Jun 20):

* Sep 19 -0.015 at 97.920

* Dec 19 -0.020 at 97.990

* Mar 20 -0.030 at 98.165

* Jun 20 -0.035 at 98.255

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

* Green Pack (Sep 21-Jun 22) -0.04 to -0.035

* Blue Pack (Sep 22-Jun 23) -0.04 to -0.035

* Gold Pack (Sep 23-Jun 24) -0.035 to -0.03

US DOLLAR LIBOR: Latest settles

* O/N -0.0005 at 2.3566% (-0.0025/wk)

* 1 Month -0.0138 to 2.3003% (-0.0317/wk)

* 3 Month -0.0036 to 2.2996% (-0.0226/wk)

* 6 Month -0.0101 to 2.2070% (-0.0222/wk)

* 1 Year +0.0003 at 2.2108% (-0.0203/wk)

US SWAPS: Spds running mildly tighter after a mostly wider open, limited

deal-tied flow on decent supra-sovereign issuance on the day, $8.4B in total on

day. Current levels: 

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

Tue 1500    -0.12/2.75     -0.19/-2.06    -0.25/-6.75   -0.12/-34.62

1300        +0.06/2.94     +0.06/-1.81    +0.06/-6.44   +0.00/-34.50

1100        +0.25/3.12     +0.06/-1.81    +0.12/-6.38   +0.44/-34.06

0930        +0.31/3.19     +0.12/-1.72    +0.31/-6.19   +0.75/-33.75

Tue Open    +0.00/2.88     +0.12/-1.72    +0.19/-6.31   +0.56/-33.94

Tue 0730    +0.00/2.88     +0.12/-1.72    +0.19/-6.31   +0.56/-33.94

Mon 1500    -0.31/3.19     -0.75/-1.62    -0.81/-6.62   +0.00/-34.75

Monday recap: Little vol for spds - running mostly/mildly tighter by the bell,

long end back to steady. Mild overall flow covers better receiving in 5s-10s on

net. Individual flow includes receivers in 1s (2.054), and 3s (1.8215%), payer

in 5s (1.837%, two-way in 10s around 2.03125-2.02924%, decent 4s5s7s receiver

fly. Deal-tied selling in the mix.

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

* Daily Effective Fed Funds Rate: 2.40%, volume: $63B

* Daily Overnight Bank Funding Rate: 2.39%, volume: $146B

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

* Secured Overnight Financing Rate (SOFR): 2.46%, $1.199T

* Broad General Collateral Rate (BGCR): 2.43%, $508B

* Tri-Party General Collateral Rate (TGCR): 2.43%, $470B

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

17-Jul 0700 12-Jul MBA Mortgage Applications (-2.4%, --)

17-Jul 0830 Jun housing starts (1.269m, 1.260m)

17-Jul 0830 Jun building permits (1.299m, 1.300m)

17-Jul 1030 12-Jul crude oil stocks ex. SPR w/w

17-Jul 1330 KC Fed Pres George, econ outlook at ag symposium, Q&A

17-Jul 1400 Fed Beige Book

PIPELINE: $2.25B Westpac launched, IADB priced

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

07/16 $2.25B #Westpac Banking $1.25B 15NC10 +200, $1B 20Y +180

07/16 $2B *Landeskreditbank Baden-Wuerttemberg (LBank) 5Y RegS +15

07/16 $1.5B *Land NRW 3Y +10

07/16 $2B *IADB 2Y $1B +3, $1B 7Y +14

07/16 $650M *Adani Ports 30Y +150a

07/?? Chatter: $2.75B Trivium and $4.9B Sinclair Broadcast this week

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: upside insurance call buying less one-way,

seeing concerted pick-up in downside put and put spd buying since stronger than

anticipated data:

* +15,000 Aug 77 puts, 1.0 vs. 97.90/0.10%

* +15,000 Dec 77 puts, 4.25

* +10,000 Sep 76/77/78 put flys, 2.5

* +5,000 short Aug 83/85/86 call flys, 2.5

* +5,000 Aug 81 calls, 0.75

* -10,000 short Aug 81 puts, 3.0

* +15,000 Sep 75/76/77 put trees 1.0

* -10,000 Dec 77/80 strangles, 17.5

* +5,000 Sep 77/78 put spds vs. Aug 78 puts, 0.0

* over 20,000 Sep 75/77 put spds, 1.5

* -18,000 Dec 80/83/87 call flys, 7.0

* +18,000 Oct 78/80 puts spds 6.0

* +4,000 short Sep 83/85/86 call flys, 1.5

* +10,000 Aug 77 puts, 1.0

* +10,000 short Aug 81 puts, 3.0 vs. 98.29/0.21%

* 2,000 Green Mar 78/80 4x5 call spds vs. Green Mar 77 puts x2, 9.0 net

* 7,000 Aug 77/78/80 put flys

* 5,000 short Sep 77/80 put spds vs. Green Mar 75 puts, 0.0 net

* +5,000 Sep 75/77 put spds, adds to earlier block, covering large short

* Update, -12,000 Dec 80/83/87 call flys 3.25 over the Aug 80/81 2x3 call spd

* -8,000 Dec 80/83/87 call flys 3.25 over the Aug 80/81 2x3 call spd

* 5,000 Dec 77/80 strangles, 17.5

* over -9,000 Aug 78 straddles, 11.0

* over 5,000 Dec 82 calls, 5.5

* -5,000 Aug 78 straddles, 11.0

* 5,000 short Sep 86 calls, 3.5

* 2,500 Dec 82 calls, 5.5

Block, 0832ET, Carry-over from Monday

* +10,000 Sep 75/77 put spds, 1.5, covering large short from 1.75

Tsy options, Pit/screen:

Large upside call spd buyer on screen last few minutes -- just as underlying

futures extend lows

* +55,000 TYU 127/129 call spds, 29/64

* 10,000 FVQ 117 puts, 3/64 on screen

* 3,000 wk1 FV 118.25 call/wk2 FV 116.7 put 1.5 vs. 117-14.75/0.36%

* 1,000 TYQ 126/126.5/127 put flys, 8/64 vs. 126-21

* 5,900 TYQ 126/126.5 call spds, 4/64

* 1,875 TYQ 126/126.75/128 2x3x1 broken put flys

* 10,000 FVQ 117.75 calls, 9/64

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

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