US TSYS: CARRY-OVER RISK-OFF BID, 25BP SEP CUT FULLY PRICED IN

US TSY SUMMARY: Carry-over risk-off support in rates amid ongoing China trade

angst after late Thu Trump tweet on adding 10% tariff on remaining $300B China

goods. Little excitement from in-line July employment data +164k.

- Brief risk-on (equities spike, Tsys recede) catalyst: Pres Trump is "open to

delaying or halting the 10% tariff on 9/1" if China were to take action between

now and then - CNBC. Substantively NOT much different from when he tweeted would

be temporary late yesterday, "we'll see" if China comes to table sort of trope.

Note, 3M10Y inching steeper but remains well inverted.

- Flow included carry-over month end buying, deal-tied selling, large flattener

block (2s/10Y ultra), steepener unwinds. Heavy buying in front end as 25bp rate

cut at next Sep FOMC fully priced in (another 25bp cut at the October 30 FOMC is

running around 64%). Heavy Eurodollar option trade, mixed with some accts fading

the added rate cuts being priced in, while others buy cheap upside (EDH2 100.25c

trade). 

- The 2-Yr yield is down 1.8bps at 1.7158%, 5-Yr is down 1.7bps at 1.6664%,

10-Yr is down 4bps at 1.8537%, and 30-Yr is down 5.2bps at 2.3896%.

US TSY FUTURES CLOSE: Not much excitement from in-line employ data (+164k),

while rates traded higher on carry-over risk-off support on US/China trade angst

after additional tariff threat posed by Pres Trump late Thu. Choppy two-way flow

on decent volume (TYU>2.1M), yld curves flatter but off lows. Update: 

* 3M10Y  -1.460, -20.49 (L: -26.228 / H: -16.629) note, had tapped +2.0 briefly

yesterday

* 2Y10Y  -2.563, 13.188 (L: 11.902 / H: 16.98)

* 2Y30Y  -3.956, 66.642 (L: 65.06 / H: 71.438)

* 5Y30Y  -3.886, 71.86 (L: 71.721 / H: 76.33)

Current futures levels:

* Sep 2-Yr futures down 0.375/32  at 107-16.5 (L: 107-14 / H: 107-18.75)

* Sep 5-Yr futures steady at  at 118-12.5 (L: 118-05.25 / H: 118-18.5)

* Sep 10-Yr futures up 5/32  at 128-27 (L: 128-14.5 / H: 129-04.5)

* Sep 30-Yr futures up 31/32  at 158-21 (L: 157-11 / H: 158-31)

* Sep Ultra futures up 1-24/32  at 182-8 (L: 179-31 / H: 182-31)

US EURODLR FUTURES CLOSE: Strong carry-over bid, short end leads move while

intermediates lag long end of strip. For the week: Lead quarterly EDU9 has

surged 0.100 to 97.915, EDZ9 through EDM0 are 0.150-0.170 higher. Compared to

week-ago levels, Reds (U0-M1) through Golds (EDU3-EDM4) 0.175-0.240 higher.

Current White pack (Sep 19-Jun 20): 

* Sep 19 +0.045 at 97.920

* Dec 19 +0.020 at 98.045

* Mar 20 +0.015 at 98.275

* Jun 20 +0.015 at 98.390

* Red Pack (Sep 20-Jun 21) +0.005 to +0.010

* Green Pack (Sep 21-Jun 22) +0.005 to +0.010

* Blue Pack (Sep 22-Jun 23) +0.015 to +0.025

* Gold Pack (Sep 23-Jun 24) +0.030 to +0.045

US DOLLAR LIBOR: Latest settles

* O/N -0.0079 at 2.1043% (-0.2460/wk)

* 1 Month -0.0156 to 2.2285% (-0.0040/wk)

* 3 Month -0.0474 to 2.2393% (-0.0264/wk)

* 6 Month -0.0939 to 2.1330% (-0.0718/wk)

* 1 Year -0.1226 at 2.1159% (-0.0807/wk)

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

* Daily Effective Fed Funds Rate: 2.40%, volume: $70B

* Daily Overnight Bank Funding Rate: 2.37%, volume: $180B

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

* Secured Overnight Financing Rate (SOFR): 2.19%, $1.183T

* Broad General Collateral Rate (BGCR): 2.19%, $518B

* Tri-Party General Collateral Rate (TGCR): 2.19%, $493B

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

05-Aug 0945 Jul Markit Services Index (final) (52.2, --)

05-Aug 1000 Jul ISM Non-manufacturing Index (55.1, 55.5)

05-Aug 1000 Jul ETI (109.51, --)

PIPELINE: No New issuance Friday, Occidental jumbo 8-tranche next week

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

08/?? $Benchmark Occidental $11-$13B est, 8-tranche likely to place next week,

OXY looking to help fund purchase of Anadarko Petroleum 

- 

$5.75B Priced Thursday, $25B on week 

08/01 $2B *Sinopec $800M 5Y +88, $700M 10Y +110, $500M 30Y 3.680%

08/01 $1.2B *Southern California Edison WNG $400M 10Y +95, $800M 30Y +130

08/01 $900M *Crown Castle WNG $550M 10Y +122, $350M 30Y +157

08/01 $550M *Ryder WNG 5Y +83

08/01 $1.096B *American Airlines issuing EEC pass-throughs on class AA, A and B

tranches

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* +60,000 Sep 82 calls, 0.75

* +40,000 Dec 77 puts, 3.0 on screen

* +30,000 Dec 80/83 1x2 call spds, 6.0

* +10,000 Dec 81/83 call spds 1.25 over Dec 76/78 put spds

* +26,000 Oct 77/78 2x1 put spds, 1.0 on screen

* +26,000 Aug 78/81 1x2 call spds, 5.5 on screen

* -16,000 short Dec 80 puts vs. Green Dec/Blue Dec 80 put strip, 0.0

* -10,000 Dec 81/85 call spds, 8.0

* +20,000 short Sep 81/82/83 put flys, 0.5

* 10,000 Dec 81/83 1x2 call spds 1.0 vs.98.06/0.05%

* +10,000 Dec 66 puts, cab earlier

* +13,000 short Aug/short Sep 82 call spd on screen, 2.5db/Sep over

* +8,500 Dec 77/78 put spds, 3.75

* 5,000 short Dec 88/Blue Dec 86 put spds, 2.5/Blue Dec over

* 2,750 Mar 77/81/85 call flys, 12.0

Block, 1111:39ET, currently mid-market

* 20,000 Sep 81 calls, 2.0 vs. 97.915/0.16%

Block, 0938:30ET, 3.5 total/package

* +50,000 Sep 81 calls, 1.75 w/

* +50,000 Oct 82/85 1x2 call spds, 1.75 vs. 97.90/0.16%

* another 5,000 trades in pit

Block, 0828:26ET, exit after earlier block buys

(3.75-4.5) and screen trade

* -20,000 Dec 80/81 call spds 1.75 over the Dec 77 puts vs. 98.05/0.30%

* another -25,000 sold in pit/on screen

* +15,000 Red Dec'20 85/87 call spds, 9.0

Block, 0745:44ET

* 30,000 Aug 78 calls, 7.5 vs. 97.92/0.66%

Block, 0726-0725ET

* total 10,000 short Aug 82 puts, 1.0

Block, 0652-0653ET, ongoing

* total 10,000 Dec 78/80 call spds 4.5 over the Dec 77 puts, adds to earlier

(15,860 at 3.0 and 20,000 at 3.75) while another 5,000 call spds traded 1.0 over

the Dec 78 puts as well

Block, 0610-0613ET, add to screen, 55k total

* another +20,000 (30k total Blocked) Aug 78/81 1x2 call spds, 5.5 vs. 97.90

this time on 0.40%

Block, 0610-0613ET, additional on screen, 30k total

* total +10,000 Aug 78/81 1x2 call spds, 5.5 vs. 97.905/0.40%

Tsy options:

* +10,000 FVZ 120 calls 15.5 to 16/64 over the 117.25/117.75 put spds

* 4,000 TYU 128.5/129 call spds, 15/64

* just over 10,000 FVV 117.75 calls,

Block, 0734ET

* 10,000 TYU 128.5 calls, 47/64

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

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