US TSYS: TSYS FOLLOW EGBS LOWER ON LESS DOVISH DRAGHI

US TSY SUMMARY: Broadly weaker by the bell but off lows following heavy two-way

chop earlier. Head-fake: rates collapsed after initially trading stronger

following ECB steady policy annc (low rate guidance through 2020). Support short

lived, Tsys collapsed, following EGBs lead as ECB Draghi's post annc conf taken

less dovish than anticipated. Equities rallied to new all-time highs (ESU9

3027.5) before chopping back to around 3000.0 in late trade.

- Rate sale stalled after ECB officials said they see rate cut in Sep. Sources

reported fast- and real$ buying intermediates to long end as move accelerates

last few minutes, yld curves scaling back. Swap spds collapsed in second half

amid pick-up rate receiving in 2s-7s. 10s/Ultra-bond steepener Block followed by

TYU sale.

- US TSYS/7Y: Another tail, US TSY $32B 7Y note auction (912828Y95) awarded

1.967% rate vs. 1.953% WI (previous $32B 7Y awarded 1.889%); 2.27 bid/cover vs.

2.44 prior (2.61 avg).  

- The 2-Yr yield is up 3.6bps at 1.8539%, 5-Yr is up 4bps at 1.8502%, 10-Yr is

up 3bps at 2.0723%, and 30-Yr is up 3bps at 2.6024%.

US TSY FUTURES CLOSE: Broadly weaker by the bell but off lows following heavy

two-way chop earlier. Head-fake after trading stronger following ECB steady

policy annc. But support short lived, Tsys collapsed, following EGBs lead as ECB

Draghi's post annc conf taken less dovish than anticipated. Yld curves pared

early bull flattening, update: 

* 3M10Y  +1.853, -3.628 (L: -8.26 / H: -0.671)

* 2Y10Y  -0.476, 21.81 (L: 20.527 / H: 23.457)

* 2Y30Y  -0.399, 74.87 (L: 73.858 / H: 77.302)

* 5Y30Y  -0.843, 75.275 (L: 74.726 / H: 77.272)

Current futures levels:

* Sep 2-Yr futures down 2.25/32 at 107-9.25 (L: 107-08.125 / H: 107-13.125)

* Sep 5-Yr futures down 5.25/32 at 117-19 (L: 117-16 / H: 117-30)

* Sep 10-Yr futures down 7.5/32 at 127-9 (L: 127-02.5 / H: 127-27)

* Sep 30-Yr futures down 17/32 at 154-9 (L: 153-23 / H: 155-18)

* Sep Ultra futures down 29/32 at 175-5 (L: 174-09 / H: 177-04)

US EURODLR FUTURES CLOSE: Weaker across the strip by the bell, Whites-Reds

leading move after rates followed EGBs earlier as ECBs Draghi came off less

dovish than anticipated. Current White pack (Sep 19-Jun 20):

* Sep 19 -0.030 at 97.835

* Dec 19 -0.030 at 97.930

* Mar 20 -0.020 at 98.165

* Jun 20 -0.030 at 98.265

* Red Pack (Sep 20-Jun 21) -0.03 to -0.025

* Green Pack (Sep 21-Jun 22) -0.03 to -0.02

* Blue Pack (Sep 22-Jun 23) -0.02 to -0.015

* Gold Pack (Sep 23-Jun 24) -0.015 to -0.01

US DOLLAR LIBOR: Latest settles

* O/N -0.0032 at 2.3490% (-0.0130/wk)

* 1 Month -0.0206 to 2.2411% (-0.0200/wk)

* 3 Month -0.0109 to 2.2557% (+0.0036/wk)

* 6 Month -0.0056 to 2.1775% (+0.0333/wk)

* 1 Year -0.0007 at 2.1788% (+0.0211/wk)

US SWAPS: Spds collapsed in the second half but are mildly off lows in late

trade. Second half flow included much better receivers in 2s, 3s, 5s and 7s

w/small flurry paying in 5s. Deal-tied hedge unwinds adding to late compression.

After better receiving in the belly overnight, flow included better payers in 5s

(1.77423%) and 10s (1.94875%) as well as 3s4s5s receiver fly. Latest spd level:

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

1445        -1.25/1.81     -1.42/-3.75    -1.22/-8.60   -1.35/-37.75

1315        -1.44/1.62     -1.57/-3.90    -1.27/-8.65   -1.45/-37.85

1130        -0.56/2.50     -0.77/-3.10    -0.92/-8.30   -1.20/-37.60

0945        -0.06/3.00     -0.36/-2.69    -0.43/-7.81   -1.00/-37.40

Thu Open    -0.38/2.69     -0.15/-2.47    +0.07/-7.30   +0.00/-36.40

Thu 0730    +0.06/3.12     -0.15/-2.47    -0.05/-7.42   -0.17/-36.57

Wed 1500    -0.40/3.25     -0.57/-2.04    -0.24/-7.34   +0.12/-36.31

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

* Daily Effective Fed Funds Rate: 2.40%, volume: $65B

* Daily Overnight Bank Funding Rate: 2.38%, volume: $165B

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

* Secured Overnight Financing Rate (SOFR): 2.41%, $1.139T

* Broad General Collateral Rate (BGCR): 2.40%, $509B

* Tri-Party General Collateral Rate (TGCR): 2.40%, $486B

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

26-Jul 0830 Q2 GDP (adv) (3.1%, 1.8%)

26-Jul 0830 Q2 GDP Price Index (0.9%, 2.0%)

26-Jul 1100 Q3 St. Louis Fed Real GDP Nowcast (+3.09%, --)

26-Jul 1115 Q3 NY Fed GDP Nowcast (+1.75%, --)

PIPELINE: PepsiCo just launched, few minutes after Amex

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

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

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

07/25 $Benchmark Sultanate Oman 5.5Y RegS 5.37%a, 10Y 6.375%a

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* 14,000 Mar 82 calls 14.5 vs.

* 9,000 85 calls, 7.5

* -6,000 short Aug 88/90 call strips, 2.5

* -4,000 Blue Dec 86 calls, vs. short Dec 88 calls, 0.5 net cr steepener

* 1,000 Mar 78/80/81 put trees, 1.0

* Update, total -12,000 Dec 78/81 call spds, 9.0

Additional trade from earlier

* +5,000 Aug 76/77 put spds, 1.5

* -3,000 Sep 78/short Sep 81 put spds, 5.0 cr steepener 

* -1,500 Red Dec 83 straddles, 60.5

* -1,000 Sep 83 straddles, 23.0

* +4,000 Dec 76/77/78 put trees, 3.25

* -2,000 short Mar 83 straddles, 45.5

* -5,000 Sep 76 puts, 0.75

* -5,000 Aug 77/78/80 put flys, 5.0

* -5,000 Aug 77/80 put over risk reverals, 0.0 earlier (.25 bid/at .75 now)

* +4,000 short Dec 75/80 3x1 put spds, 4.0 vs. 98.335/0.16%

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

Tsy options:

* 2,000 TYU 123/124 2x1 put spds, 1/64

* Update, just over 5,000 TYU 117/121/124 put flys on screen at 1/64

* +95,000 TYU 123 puts, 2/64, opener/screen trade

* +8,000 wk3 TY 126/126.5 put spds, 7/64 vs. 127-07.5/0.11% 

* -5,500 wk3 TY 125.5/126 put spds, 4/64 vs. 127-06.5/0.07%

* +10,000 FVU 117.25/118 put over combo, 0.5/64 vs. 117-19.5/0.66% vs.

* -2,500 USU 153/153 put over combo, 11/64 vs. 154-06/0.60%

pick-up in vol and put selling just as underlying moves off session lows

* -15,000 TYU 126 puts, 11/64

* -3,.000 TYU 127 straddles, 1-12/64

* +14,000 FVQ 117.75 calls, 3/64 on screen

* +1,300 TYU 126 puts, 8/64

* +5,000 TYQ 127.5/128 call over risk reversals, 0.0

* +4,500 TYU 129 calls 2/64 over TYQ 127.75 calls

* decent selling TYQ 127 puts pre-open

Early screen trade

* +40,000 FVU 117 puts, 6.5/64

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

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