US TSYS: DOVISH MINUTES, FOCUS TURNS TO JACKSON HOLE SUMMIT

US TSY SUMMARY: Rate bid after dovish side of balanced minutes faded quickly,

focus turns to Fed Chair Powell at Jackson Hole eco-symposium Friday morning

(1000ET) while some headlines from sidelines may create some vol at symposium

mixer Thu night. Rates had pared gains earlier, knock-on response to Bbg

headlines re: Germany plans to up bond/bill issuance in '19 by E10-185b.

-  US$ index pared post minute losses, DXY -.109 to 95.147; US$/Yen .25 to

110.56, US$/Euro +.0017, 1.1588; equities firm (emini +2.25, 2864.0); gold

weaker late (XAU -1.01, 1195.05); West Texas crude strong (WTI +2.05, 67.89). 

- Decent volume for midday (TYU>1.3M) partially due to gradual increase in

futures rolling from Sep to Dec. Two-way positioning, light deal-tied flow in

short end (BoA $1.75B 2NC1), decent option hedging ahead Fri's Sep expiry.

- Day started w/moderate risk-off tone as market continues to digest late Tue US

political headlines, implications for Pres Trump (Pres Trump ex-lawyer Cohen

guilty plea, Manafort conviction), market pensive but taking it in stride

(becoming inured to noise out of Washington?). 

- Tsy cash/ylds: 2Y 100-01.5 (2.595%), 5Y 100-06.25 (2.706%), 10Y 100-14

(2.823%), 30Y 100-08 (2.987%).

US TSY FUTURES CLOSE: Trading modestly higher after the bell, volume (TYU

1.30M), Curves mixed with 5s30s slightly steeper; update:

* 2s10s -0.718, 22.299 (21.633L/23.201H);

* 2s30s -0.549, 38.775 (37.935L/39.389H);

* 5s30s +0.128, 28.004 (27.032L/28.434H);

Current futures levels:

* Sep Ultra bonds up 12/32 at 159-21 (159-10L/160-03H)

* Sep 30-yr Bond futures up 09/32 at 145-13 (145-06L/145-24H)

* Sep 10-yr futures up 4.5/32 at 120-19 (120-16.5L/120-24H)

* Sep 5-yr futures up 2.5/32 at 113-25 (113-23.25L/113-27.75H)

* Sep 2-yr futures up 0.75/32 at 105-27.5 (105-26.75L/105-28.25H)

US TSY FUTURES: *** Late roll from Sep to Dec futures volume update, gaining

momentum w/2s and 5s leading all day. 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 172k from 3.5-4.0; 3.75 last

* FVU/FVZ appr 200k from 7.5-8.0; 7.50 last

* TYU/TYZ appr 85.8k from 3.75-4.25; 4.0 last

* USU/USZ appr 41.7, 23.75 last

* WNU/WNZ appr 31.1k, 10.0 last

US TSY OPTIONS: *** Sep options expire Friday, latest open interest as of Tue's

settle below. Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) are

auto-exercised. Large 10Y call open interest may be problematic for longs,

watching for roll-outs.

*            Calls      Puts      Total  Nearest-the-Money Strike Totals

*Sep 30yr   371,183   321,504    692,687  144.50 w/ 15,443 (10,387c, 5,056p)

*                                         145.00 w/ 34,044 (23,397c, 10,647p)

*                                         145.50 w/ 15,293 (13,114c, 2,179P)

*Sep 10yr 1,129,023 1,116,299  2,245,322  120.00 w/ 189,247 (120,160c, 69,087p)

*                                         120.50 w/ 119,395 (96,189c, 23,206p)

*                                         121.00 w/ 137,614 (131,183c, 6,431p)

*Sep 5yr    370,610   786,070  1,156,680  113.50 w/ 76,447 (51,319c, 25,128p)

*                                         113.75 w/ 40,303 (26,067c, 14,236p)

*                                         114.00 w/ 54,600 (51,482c, 3,118p)

*Sep 2yr    178,153   101,707    279,860  105.88 w/ 29,415 (20,904c, 8,511p)

*                                         106.00 w/ 51,944 (49,005c, 2,939p)

US EURODOLLAR FUTURES CLOSE: Trading mildly higher across the strip in the

middle of a tight range, parallel shift across Reds through golds, Current White

pack (Sep'18-Jun'19):

* Sep'18 +0.0050 at 97.6525

* Dec'18 +0.005 at 97.410

* Jun'19 +0.015 at 97.275

* Jun'19 +0.020 at 97.170

* Red pack (Sep'19-Jun'20) +0.030-0.025

* Green pack (Sep'20-Jun'21) +0.030

* Blue pack (Sep'21-Jun'21) +0.030-0.025

* Gold pack (Sep'22-Jun'22) +0.025-0.020

US DOLLAR LIBOR: Latest settles,

* O/N -0.0019 to 1.9177% (+0.0008/wk) 

* 1 Month +0.0002 to 2.0660% (-0.0034/wk) 

* 3 Month +0.0015 to 2.3117% (-0.0002/wk) 

* 6 Month -0.0003 to 2.5125% (+0.0017/wk) 

* 1 Year  +0.0003 to 2.8080% (-0.0050/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.90% vs. 1.90% prior, $772B

* Broad General Collateral Rate (BGCR): 1.88% vs. 1.89% prior, $415B

* Tri-Party General Collateral Rate (TGCR): 1.88% vs. 1.89% prior, $403B

US SWAPS: Spds hold mixed on narrow range into the closeq, 5Y reversed early

widening to tighter. Flow remains light w/2-way in 3s-5s, 5s10s spd curve

flatteners and 3s4s5s receiver fly. Earlier flow included misc steepeners early,

2s3s flattener, 7s8s9s receiver fly. Latest spd levels:

* 2Y  -0.13/19.35

* 5Y  -0.25/13.75

* 10Y +0.19/7.19

* 30Y +0.38/-6.12

PIPELINE: $1B Nordea launch, waiting on BoA $1.75B 2NC1 to price

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

08/22 $1.75B #Bank of America 2NC1 L+25

08/22 $1B #Nordea $250M 5Y FRN L+94, $750M 5Y fix +108

08/22 $500M *ZB N/A 3Y +93

08/22 $400M *Timken 10Y +170

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

- Aug 23 KC Fed kicks off Annual Economic Symposium, "Changing Market Structure

and Implications for Monetary Policy," Jackson Hole, Wyoming, event program

available 2000ET

- Aug 23 18-Aug jobless claims (212k, 215k) 0830ET

- Aug 23 Jun FHFA Home Price Index (0.2%, --) 0900ET

- Aug 23 Q2 FHFA Quarterly Home Prices (1.7%, --) 0900ET

- Aug 23 Aug Markit Services Index (flash) (56.0, --) 0945ET

- Aug 23 Aug Markit Mfg Index (flash) (55.3, --) 0945ET

- Aug 23 19-Aug Bloomberg comfort index (58.9, --) 0945ET

- Aug 23 Jul new home sales (631k, 647k) 1000ET 

- Aug 23 Jul bldg permits revision 1000ET

- Aug 23 17-Aug natural gas stocks w/w (33Bcf, --) 1030ET

- Aug 23 Aug Kansas City Fed Mfg Index (23, --) 1100ET

- Aug 23 US Tsy $14B 5-Year TIPS auction (9128284H0) 1300ET

- Aug 23 22-Aug Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* +20,000 Long Green Dec 50 puts at 1

* +10,000 Green Dec 62 puts at 0.5

* 10,000 Short Mar 63/66 put sprd at 3

* +5,000 short Oct 68/70 2x1 put spds, 2.0

* +2,500 short Sep 71 straddles, 11.5

* +5,000 Blue Dec/Blue Mar 65 put spds, March over 3.0 net

* +6,000 Short Sep/Short Dec 67/68/70 put fly sprd at 1

UPDATE: Total 12,500 Green Sep 68/Green Dec 67 2x3 put sprd at 11 vs 9708/0.39%

* 4,500 Short Dec 67/68 3x2 put sprd at 3

* 5,000 Green Dec 61 puts at 0.5 vs 9707.5/0.10%

* +5,000 Short Nov 68/70/71 put fly vs Short Jan 77 calls at 0

* +5,000 Dec 72/73 2x1 put sprd at 2.5

* 5,000 Nov 72 puts at 1.25 vs 9740.5/0.13

* 7,000 Short Dec 67/70 2x1 put sprd at 4.5 vs 9710/0.10%

Overnight trade includes

* appr 25,000 Dec 72/73 put spds

* 8,500 Red Dec'19 72/76 1x2 call spds

Tsy options, Pit/screen:

* +30,000 FVZ 107.25 puts at CAB-7 all day

* +20,000 FVZ 107 puts vs -10,000 USZ 117 puts for net CAB-7

* +10,000 TYZ 109.5/110 puts strip at CAB-14

* -2,000 FVX 113 puts at 13

UPDATE: Total +11,000 TYV 122/124/125 call fly at 5

* +5,000 TYV 119 Puts at 5

* 1,500 TYU 120.5/121 call spds, 3/64

* 2,350 FVV 113.5 calls, 23.5

* -5,000 TYU 120.75 calls at 10

* +3,600 TYV 120.5/121.5/122.5 call fly at 14

* -2,600 120.5/121.5 1x3 call sprd at 13

* 2,500 TYU 120.5/121.5 1x3 call spds, 13/64

* total -15,000 FVV 112.5/113.25 put spds, 8.5/64 vs. 113-26/0.28%

* -12,600 FVV 112.5/113.25 put spds, 8.5/64 vs. 113-26/0.28%

* 4,000 wk5 TY 121calls vs. 2,000 TYU 120.5 call spds, 0.0 net

* +5,000 TYV 122 calls at 8 vs 22.5/0.15%

* -8,000 TYV 121.5 calls, 11- to 12/64

* 2,500 TYV 122 calls, 8/64

Overnight trade includes

* -3,000 TYV 120.5 straddles, 62/64

* appr +15,000 TYV 122/124/125 broken call flys, 5/64

* 4,000 TYV 122/122.5 call spds, 2/64

* 5,000 TYV 121/121.5 call spds, 7/64

* 1,700 TYV 122/124 1x2 call spds

* 1,400 TYZ 118.5/122.5 strangles

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

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