US TSYS CURVES ROILED BY 2WAY ULTRA BOND VIEW; QUIET AFTERNOON

     US TSYS SUMMARY: Treasuries ended Wed mildly lower, flatter, 30Y higher

after morning curve choppiness then short-cover, technl lg end buys, 2way flows.

MNI Main Wire exclusive cited St.Louis Fed Bullard saying wld not back another

rate hike given inflatn; urged Sep bal sheet reinvestment pol change. 

- Early brisk buying in Tsy futures esp. 10Ys (77K done after initl refndng

anncmt) then 22K sold down to 125-31+ in profit-tkng. Then 10,000 USU Classic

Bond futures bought from 153-23 to -27, while 30K FVU 5Y futures traded in

uptick from 118-04.5 to -07.5. Then more bought: 9,500 TYU 8:50am ET at 125-31.5

while 7,483 bought in WNU Ultra Bonds, plus 50K TYU 10Y bought on spike. Then

11:14 am ET block sale of 5,000 TYU at 126-07, cross on bid at print time. 

- Cash 2/30Y, 5/30Y Tsy flatteners as Tsy Aug refunding news did not cite Ultra

Long bond issuance; later flattener unwind as Tsy said at briefing still studies

Ultra Bonds, no decision date. Earlier misc 5Y sellers, two-way 10y; 30Y buys by

real$, bank portfls. Bunds end nr high amid solid German 10Y sale, MNI Fed

Bullard story.

- US TSYS 3PM ET: 2Y 1.363%, 3Y 1.508%, 5Y 1.819%, 7Y 2.082%, 10Y 2.262%, 30Y

2.846%.

US TSY FUTURES CLOSE: Mixed, long end outperforming but off first half highs,

better volume in first half as Tsys rebounded from early weakness. Current

futures levels: 

* Sep Ultra bonds up 5/32 at 166-07 (165-06L/166-21H) 

* Sep 30-yr Bond futures up 5/32 at 154-06 (153-17L/154-18H) 

* Sep 10-yr futures down 4/32 at 126-03.5 (125-31L/126-08.5H) 

* Sep 5-yr futures down 3.5/32 at 118-06 (118-04.25L/118-09.5H) 

* Sep 2-yr futures down 1.25/32 at 108-04.75 (108-04.5L/108-06H)

US EURODLR FUTURES CLOSE: Mildly lower by the bell, upper end of narrow session

range on light volume. Current White pack (Jun'17-Mar'18): 

* Sep'17 -0.005 at 98.665 

* Dec'17 -0.005 at 98.545 

* Mar'18 -0.005 at 98.465 

* Jun'18 -0.010 at 98.405 

* Red pack (Sep'18-Jun'19) -0.015-0.020 

* Green pack (Sep'19-Jun'20) -0.020-0.015 

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

* Gold pack (Sep'21-Jun'22) -0.010

US SWAPS: Spds mixed by the bell, spd curve broadly steeper after reversing

early flattening following refunding annc. Most action occurred in first half as

bonds reversed early weakness/surged higher amid decent long end buying and

steepener unwinds. Sources report hedge funds better receivers in 5s and rate

paying in the long end w/real$ and bank portfolios. OTC vol chopped around

steady to lower after see-sawing higher earlier in session, limited summer

trade. Latest spread levels: 

* 2Y -0.36/23.62 

* 5Y -0.44/6.88 

* 10Y +0.31/-4.12 

* 30Y +1.50/-32.75

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

- Aug 03 Jul Challenger layoff plans (-19.3%, --) 0730ET

- Aug 03 29-Jul initial weekly jobless claims (244K, 240K) 0830ET

- Aug 03 Jul Markit Services Index (final) (54.2, --) 0945ET

- Aug 03 30-Jul Bloomberg comfort index (48.6, --) 0945ET

- Aug 03 Jul ISM Non-manufacturing Index (57.4, 56.9) 1000ET

- Aug 03 Jun factory new orders (-0.8%, 3.0%) 1000ET

- Aug 03 Jun factory orders ex transport (-0.3%, --) 1000ET

- Aug 03 28-Jul natural gas stocks w/w 1030ET

- Aug 03 02-Aug Fed weekly securities holdings 1630ET

Eurodollar/Treasury option summary

Eurodollar options,

Pit/screen:

+20k EDZ 83/85p spds, 3.25

4k EDZ 83/86 strangles, 4.25 vs. 98.55

+2.5k EDZ 85/86p spds, 6.5

2.5k EDH 85 straddles, 18.5 vs.

5k EOF 85c, 4.5

+3k EOF 85/86/87c flys, 1.0

-2.5k EOM 75/77/80p trees vs.

+EOM 87c, 0.5 net

+32k E2H 80/82/85c flys, 4.5

+5k E2Z 76/77/80p flys, 5.5

4.5k E2Q 80/81 2x1p spds

+4k E2U 78/81p spds vs.

-4k E4U 75/77p spds, 1.0cr/flattener

+3k E2Z 73/75/77p flys, 3.0

2k E2Z 81/82/83c trees, 0.0

-1k E2Q 81 straddles, 8.0

+2.5k E3V 80/82 1x2c spds, 3.0

Tsy options

Pit/screen:

2k TYU 124.2/128 strangles, 5

-1k TYZ 126 straddles, 218

1k wk1 TY 125.5/126/126.25p flys, 1

1k FVU 118.2/118+/118.7c trees, 2

+7k USU 157/158c spds, 7

--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com

[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]