US TSYS: BACK TO THE FLATTENER, HEADLINE RISK CONTINUES

US TSY SUMMARY: Tsys trade mixed after the bell, still an inside range day

w/long end rebounding after $31B 7Y note auction traded through: awarded 2.844%

rate vs. 2.850% WI (previous $30B 7Y awarded 2.930%); 2.65 bid/cover vs. 2.49

prior (2.62 avg). No react to data: Q2 GDP (2nd) +4.2%, NAR pending home sales

index -.7% to 106.2.

- US$ index well off early highs DXY -.125, 94.595 (94.932H), $/Eur firm +0.0005

1.1700, $/Yen strong +.49 111.69; equities strong (emini +14.0, 2913.25); Gold

firm (XAU +4.85, 1205.80); West Texas crude strong (WTI +1.0, 69.53).

- Decent volume day due to ongoing futures roll action ahead Dec taking lead

contract Fri (TYU>1.89M; TYU/TYZ>925k, 80.8% complete). Otherwise, trade muted -

typical for late summer. Flow two-way, fast$ steepener unwinds in front end,

deal-tied flow. Headline sensitivity continues, risk-on after headline that EU

prepared to "offer Britain unprecedented partnership"; GBP pared gains after

German foreign ministry said "no special rules post-Brexit". CAD rallied on PM

Trudeau saying possible trade deal by Fri. Tsy cash/ylds: 2Y 99-28.7 (2.673%),

5Y 99-27.7 (2.777%), 10Y 99-30 (2.880%), 30Y 99-20 (3.018%).

US TSY FUTURES CLOSE: Trading mixed with the long end outperforming the short

end, Sep/Dec rollover continues, volume (TYU 1.97M), Curves flatter; update:

* 2s10s -0.990, 20.105 (19.783L/21.781H);

* 2s30s -2.326, 33.758 (33.679L/36.694H);

* 5s30s -1.765, 23.724 (23.565L/26.695H);

Current futures levels:

* Sep Ultra bonds up 11/32 at 158-24 (158-06L/158-28H)

* Sep 30-yr Bond futures up 06/32 at 144-20 (144-08L/144-24H)

* Sep 10-yr futures up 0.5/32 at 120-3.5 (119-31L/120-08H)

* Sep 5-yr futures down 1.75/32 at 113-13.5 (113-11.75L/113-17.25H)

* Sep 2-yr futures down 01.25/32 at 105-23 (105-22.5L/105-24.5H)

US TSY FUTURES: Late session update, Sep to Dec futures roll volume heavy but

winding down ahead first notice date: August 31. September future's staggered

expiration on September 19 for 10s, 30s and Ultras, and September 28 for 2s and

5s. Latest volume:

* TUU/TUZ appr 450.4k, 4.5 last; 86.9% complete, +14.1% from Tue

* FVU/FVZ appr 760.7k, 7.5 last; 85.1% complete, +13.7%

* TYU/TYZ appr 924.2k, 3.75 last; 80.8% complete, +17.9%

* USU/USZ appr 124.9k, 24.0 last; 81.4% complete, +13.7%

* WNU/WNZ appr 134.1k, 9.5 last; 86.5% complete, +9.3%

MONTH-END EXTENSIONS: *** Updated Bloomberg-Barclays US month-end index

extensions compared to the average increase for the past year and the same time

in 2017. TIPS ext -0.03Y, real -0.03Y; Govt inflation-linked, -0.04Y

*.....................Projected...1Y Avg Incr..Last Aug

*US Tsys.................0.11........0.06........0.11

*Agencies................0.18........0.07........0.05

*Credit..................0.06........0.04........0.09

*Govt/Credit.............0.10........0.05........0.10

*MBS.....................0.06........0.05........0.06

*Aggregate...............0.09........0.05........0.09

*Long Govt/Credit........0.11........0.00........0.12

*Interm Credit...........0.06........0.04........0.07

*Interm Govt.............0.09........0.02........0.09

*Interm Govt/Cred........0.08........0.02........0.08

*High Yield..............0.04........0.01........0.08

US EURODOLLAR FUTURES CLOSE: Trading mixed as EDU8 outperforms the rest of the

strip, near the bottom of a tight range, golds steady. Current White pack

(Sep'18-Jun'19):

* Sep'18 +0.0050 at 97.6475

* Dec'18 -0.005 at 97.365

* Jun'19 -0.010 at 97.205

* Jun'19 -0.020 at 97.090

* Red pack (Sep'19-Jun'20) -0.020

* Green pack (Sep'20-Jun'21) -0.015

* Blue pack (Sep'21-Jun'21) -0.010

* Gold pack (Sep'22-Jun'22) Even

US DOLLAR LIBOR: Latest settles,

* O/N +0.0006 to 1.9154% (-0.0034/wk)

* 1 Month +0.0010 to 2.0758% (+0.0031/wk)

* 3 Month -0.0021 to 2.3126% (-0.0046/wk)

* 6 Month -0.0007 to 2.5275% (+0.0045/wk)

* 1 Year  +0.0049 to 2.8330% (+0.0130/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.95% vs. 1.95% prior, $805B

* Broad General Collateral Rate (BGCR): 1.94% vs. 1.94% prior, $434B

* Tri-Party General Collateral Rate (TGCR): 1.94% vs. 1.94% prior, $410B

US SWAPS: Spds running mixed after the bell, short end reversing early narrowing

by midday. Decent flow early in the second half included rate paying in 2s at

2.85215%, 2s and 6s vs. 10s spd curve flatteners, 2-way in 2s5s10s fly, 2s3s5s

receiver fly. Volume evaporated late. Latest spd levels:

* 2Y  -0.06/17.62

* 5Y  -0.19/13.50

* 10Y +0.12/7.50

* 30Y +0.38/-4.81

PIPELINE: $1.75B Development Bank of Japan 2-part launched/priced

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

08/29 $1.75B *Development Bank of Japan $1B 5Y +31, $750M 10Y +41

08/29 $1.5B *Oesterreichische Kontrollbank (OKB) 3Y +3

08/29 $1B Swedish Export Credit 2Y +3a

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

- Aug 30 25-Aug jobless claims (210k, 213k) 0830ET 

- Aug 30 Jul personal income (0.4%, 0.3%) 0830ET 

- Aug 30 Jul current dollar PCE (0.4%, 0.4%) 0830ET 

- Aug 30 Jul total PCE price index (0.1%, 0.2%) 0830ET 

- Aug 30 Jul core PCE price index (0.1%, --) 0830ET 

- Aug 30 26-Aug Bloomberg comfort index (58.6, --) 0945ET 

- Aug 30 24-Aug natural gas stocks w/w 1030ET 

- Aug 30 29-Aug Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* +4,000 Green Oct 65/66/68 put flys, 3.0

* -5,000 short Sep 70 puts, 2.5

* -11,000 short Sep 70/71 put strip, 13.0-13.5

* -5,000 Dec 72/73 put spds, 5.25

* -3,000 Oct 73/75 put spds, 10.0

* -6,000 Green Dec 71/73 1x2 call sprd at 1.5 vs 9699/0.04%

UPDATE: Total -30,000 Red Dec 67/77 put over risk reversal at 7.5 vs 9699/0.42%

* -6,000 Short Dec 67/70 2x1 put sprd at 6 vs 9699/0.08%

* 5,000 Mar 68 puts at 1.5 vs 9719/0.11%

* 5,000 Short Dec 67/68 put sprd at 4

Block, 10:19:40ET, 1 net package

* +12,000 Mar 70/71 put sprd at 3.5

* -12,000 Mar 73/72 call sprd at 2.5

* -15,000 Jan 70 puts at 1.75

* -5,000 Jan 70 puts at 1.75

* -8,000 Dec 71/72 put sprd at 2.5 vs 9737/0.25%

Block, 08:03:01ET,

* +20,000 Front Sep 97.645, post time offer

Tsy options, Pit/screen:

* +1,600 TYZ 117/118.5 put spds, 13/64 vs. 120-01.5

* +2,500 (pit/screen) TYX 117.5/118.5 put spds, 8

* seller USV 143.5 straddles, 1-51/64

* 2,000 TYZ 126.5/127 call strip, 4/64

* 1,000 TYZ 121 calls, 32/64

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

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