US TSYS: TSY CURVES STEEPEN, RATE CUT CHANCES GEL DESPITE SALE

US TSY SUMMARY: Relative quiet end to hectic FOMC week, rates largely unwinding

rate rally since annc while short end continues to price in small chance of 50bp

cut at next policy meeting at end of July. 

- Moderate volume (TYU appr 1.45M) 10YY back up to 2.063% after slipping to

1.9719% (Nov'16 levels) Thu. Fed speakers back: Kashkari wanted 50bp cut and

aggressive Policy, Fed Brainard: downside risks call for lower rates.

- Not exactly risk-off, safe havens still trade strong, Gold made new 5 year

high of 1412.08, crude still well bid amid ongoing US/Iran tensions (despite

Trump calling off strike in retaliation for Iran downing unmanned drone late

Thu).

- Mixed flow w/better sellers across the curve, particularly long end, swap spds

directionally tighter, spd curve flattener unwinds 2s and 5s vs. 10s and 30s.

- Eurodollar option volume remains heavy but off Thu's very heavy pace.

- The 2-Yr yield is down 0.2bps at 1.776%, 5-Yr is up 2.1bps at 1.8021%, 10-Yr

is up 3.4bps at 2.0626%, and 30-Yr is up 5bps at 2.5899%.

US TSY FUTURES CLOSE: Under pressure -- more than making up for post FOMC rally,

10YY ylds back up to 2.063% after slipping to 1.9719% (Nov'16 levels) Thu.

Curves bear steepening. Update:

* 3M10Y  +6.2, -4.562 (L: -14.71 / H: -4.389)

* 2Y10Y  +3.946, 28.418 (L: 23.052 / H: 28.623)

* 2Y30Y  +5.4, 81.044 (L: 72.796 / H: 81.31)

* 5Y30Y  +2.772, 78.515 (L: 73.189 / H: 78.7)

Current futures levels:

* Sep 2-Yr futures down 3.375/32  at 107-18.625 (L: 107-16.5 / H: 107-20.5)

* Sep 5-Yr futures down 10/32  at 117-30 (L: 117-27.25 / H: 118-05.5)

* Sep 10-Yr futures down 17/32  at 127-17 (L: 127-14 / H: 128-00.5)

* Sep 30-Yr futures down 1-3/32  at 154-20 (L: 154-18 / H: 155-31)

* Sep Ultra futures down 2-0/32  at 175-20 (L: 175-18 / H: 178-08)

US EURODLR FUTURES CLOSE: Weaker across the strip after the bell, well off low

end of range in shorts to intermediates, generally quiet end to a hectic FOMC

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

* Sep 19 -0.030 at 98.015

* Dec 19 -0.040 at 98.115

* Mar 20 -0.045 at 98.305

* Jun 20 -0.050 at 98.385

* Red Pack (Sep 20-Jun 21) -0.06 to -0.045

* Green Pack (Sep 21-Jun 22) -0.065 to -0.055

* Blue Pack (Sep 22-Jun 23) -0.07 to -0.07

* Gold Pack (Sep 23-Jun 24) -0.075 to -0.075

US DOLLAR LIBOR: Latest settles resume 

* O/N +0.0060 at 2.3475% (+0.0009/wk)

* 1 Month +0.0007 to 2.4043% (+0.0226/wk)

* 3 Month +0.0061 to 2.3492% (-0.0528/wk)

* 6 Month +0.0034 to 2.2201% (-0.0572/wk)

* 1 Year +0.0406 at 2.2021% (-0.0444/wk)

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

* Daily Effective Fed Funds Rate: 2.37%, volume: $61B

* Daily Overnight Bank Funding Rate: 2.36%, volume: $165B

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

* Secured Overnight Financing Rate (SOFR): 2.36%, $1.067T

* Broad General Collateral Rate (BGCR): 2.33%, $482B

* Tri-Party General Collateral Rate (TGCR): 2.33%, $461B

OUTLOOK: *** Data/speaker calendar (prior, estimate): Slow start to week:

24-Jun 1030 Jun Dallas Fed manufacturing index (-5.3, 1.0)

Picks up next Tuesday:

25-Jun 0845 NY Fed Pres Williams, OPEN Finance Forum NY

25-Jun 0830 Jun Philadelphia Fed Nonmfg Index

25-Jun 0855 22-Jun Redbook retail sales m/m (-2.4%, --)

25-Jun 0900 Apr FHFA Home Price Index (0.1%, --)

25-Jun 0900 May bldg permits revision

25-Jun 0900 Apr Case-Shiller Home Price Index (0.1, --)

25-Jun 1000 May new home sales (673k, 685k)

25-Jun 1000 Jun Richmond Fed Mfg Index (5, 7)

25-Jun 1000 Jun Conference Board confidence (134.1, 131.5)

25-Jun 1030 Jun Dallas Fed services index

25-Jun 1200 Atl Fed Pres Bostic, panel: State of Nation's Housing '19 Release

25-Jun 1830 StL Fed Pres Bullard, opens Homer Jones Memorial Lecture, Q&A

PIPELINE: Only $9.2B priced on week, well below estimated $15B

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

No new supply on tap for Friday

- 

$4B priced Thursday

06/20 $2.5B *Banco Santander 5Y +95, 10Y +130

06/20 $1.2B *HCP 7Y +140, 10Y +155

06/20 $300M *Athene 5Y +107

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* -10,000 Dec 73/75 put spds, 0.5 vs. 98.125/0.05%

Block, 1237:19ET

* 11,875 Green Dec 83/85 call spds, 5.0 net

Block, 1037:18ET

* -40,000 Sep 82 calls, 2.0

* -20,000 Mar 80/82/85 call flys, 3.5, adding to Thu sales

Block, 1003:58ET

* 10,000 Mar 76/78/80 put trees, 1.0 net

Details Recent Block, 0917:10ET

* 25,000 Sep 76 calls 39.5

* 25,000 Sep 77 calls, 28.5

* total 75,000 Sep 78 calls, 19.0

* total 19,750 EDU9 98.015

Similar strikes blocked Thursday, brokers said was following:

* -50,000 Sep 76/78 1x2 call spds, 1.0

* -50,000 Sep 77/78/82/85 call condors, 7.0 vs. 98.025. Open interest saw

similar declines as a result

* 10,000 Aug 81/82/83 call flys, 2.75 vs. 98.02/0.09%

* 2,500 Jul 82/83 call strip, 0.5

* 9,142 Sep 82 calls, 2.0 on screen

Block, 0913:56ET,

* 10,000 Mar 76/78/80 put trees, 1.0 net vs. 98.27/0.10%

Block, 0855:33ET

* -27,000 Oct 85 calls, 3.25

Block, 0851-0853ET -- adds to 40,000 blocked late Thursday

* +35,000 short Mar 92/97 2x3 call spds, 8.0 net

Block, 0753:56ET -- adds to 11,894 earlier, 3.0 net vs. 98.305

* another 12,514 Mar 81/82 call spds vs. 98.30/0.23%, 3.0 over the Mar 77 puts

Tsy options, Pit/screen:

* 2,000 TYQ 127 puts, 28/64 vs. 1,500 TYU 126 puts 20/64 vs. 127-16

* Update, -5,000 TYU 126.5/127 put spds, 12/64

* -3,700 TYU 126.5/127 strangles, 12/64

* -4,000 FVQ 116.5/117 put spds, 4/64 vs. 117-27.7/0.10%

* 2,000 FVU 117.5/118.5 strangles, 44.5

US TSY OPTIONS: Reminder, July serial ops expire today. Some amount of pin-risk

across the curve in late trade. Options 0.5 tic ITM (0.25 tic for 5-, 2-yr

opt's) auto-exercised. According to CME Group data:

*             Calls      Puts      Total   Nearest-the-Money Strike Totals

* Jul 30yr   133,525   318,863    452,388  154.00 w/ 18,668 (11,775c, 6,893P)

*                                          154.50 w/ 10,361 (4,977c, 5,384P)

*                                          155.00 w/ 13,002 (7,942c, 5,060P)

* Jul 10yr   737,069 1,116,398  1,853,467  127.25 w/ 34,430 (15,633c, 18,797p)

*                                          127.50 w/ 50,097 (33,691c, 16,407p)

*                                          127.75 w/ 28,503 (12,094c, 16,409P)

* Jul 5yr    389,681   697,028  1,086,709  117.75 w/ 51,330 (37,591c, 13,739p)

*                                          118.00 w/ 44,104 (37,938c, 6,166p)

*                                          118.25 w/ 16,403 (14,976c, 1,427p)

* Jul 2yr     41,088   102,676    143,764  107.38 w/ 6,379 (2,545c, 3,834p)

*                                          107.50 w/ 7,711 (4,863c, 2,848p)

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

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