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10Y Put


Repo Reference Rates

     US TSYS SUMMARY: Treasuries open NY mildly weaker after tight overnight
range. Tsy will sell a 1pm ET $24B 3-year note auction. US NFIB July small
business optimism index firmer at 105.2 July (vs. 103.6 June). No Fed speakers
- TOKYO: Tsys gained mildly early amid range, some Asian holidays. Sources
reported light foreign central bank buying in 2-year notes, sellers in TYU 10Y
Tsy futures at 126-05.5. Asia regional banks sold Tsys across curve (auction
hedges?) China trade surplus widened for a fifth straight month. Japan's Nikkei
stock index -0.3%. 
- LONDON: More muted range trading continued, but light end user buying occurred
in 5s, 10s and 30s Tsys. USD weaker vs. Yen lending some mild support for Tsys.
Doubleline's Jeffrey Gundlach said bonds are overvalued, advised to cut down
junk bond and emg mkt holdings, said Bloomberg. 
- O/N REPO: 2Y, 3Y, 5Y, 10Y Tsys tighten. 
- HIGH-GRADE US$ CORPORATES: More high-grade US$ corporate bond supply expected;
was $15B Monday. British American Tobacco investor calls continue Tuesday; Apple
eyed as a possible deal.
EGB SUMMARY: There has been little in the way of net movement in EGBs this
morning and indeed the 10Y Bund yield change is almost nil. There is a small
rise in yields at the front end of the curve as investors have noted the
increase in marginal maturity calculations of aggregate ECB PSPP buying.
However, such calculations will have been upwardly distorted by heavy
redemptions in the month. 
- The Iberian markets are making more headway than most, with Portuguese and
Spanish spreads to German each 2bp tighter on the session. 
- Italian BTPs are also tightening to Germany but their big move was yesterday
and several have noted that Japanese data show small sales of BTPs from that
- The Austrian 2023 and 2047 auctions received a mixed market reaction. The 2047
was well-received but the off-the-run 2023 came in for a decent re-distribution
trade in the moments after the allocations came through. 
- There was no economic data of note.
GILT SUMMARY: The Gilt contract has been stuck in a 15 cents range this morning
and the quiet, summer conditions have also meant that the front end of the curve
is doing very little. 
- The E1bln auction of the 2026 index linked gilt went very well indeed,
although some suggested that the relatively high bid-cover ratio of 2.9x was as
much about using the auction as a liquidity event as true demand. 
- The 10-Year Bund-Gilt spread has held fairly rigidly at 69bp this morning, and
is only a couple of basis points above the 65bp low for the year.
--MNI New York Bureau; tel: +1 212-669-6432; email: