US TSYS EBB IN QUIET 2-WAY TRADE, AS US, EUROPEAN STOCKS GAIN

     US TSYS SUMMARY: US Treasuries prices end lower in rangebound Tuesday after

late ebb and two-way muted flows and stronger U.S. stocks indexes and firmer

European stocks. Tsys had mild dip buying after light selling on firmer 31.8

August Phil Fed nonmanufacturing activity index. Aug Richmond Fed mfrg index

steady: 14. 

- Sept/Dec Tsy futures roll: Sale of 11,700 TYU/TYZ at 9.75 and 6,900 TUU/TUZ at

3+; total 5Y spread volume was over 164,000 so far from 9.0-9.75. 

- US SWAPS: Spds tighter, spd curve steeper after prior flattening; afternoon

front end 2way flow, better 5Y receivers, light deal-tied flows. - Tsy $30B 4-wk

bill sale tailed: above-avg 74.5% dealers, 20.2% indirect, small 5.3% directs.

World Bk did $3B 3Y:MS-4; Swedish Export Credit $1B global 5Y:MS+20. 

- EURODLR FUTRS: End weaker; sale of 10,000 Dec'17, 98.57; followed buy of 9,200

Red Mar'19 at 98.27. MBS: firmer. 

- TIPS outperformed nominal Tsys. 

- O/N REPO: Tsy 2Y, 5Y, 10Y tight. 

- EGBs: Italian BTPs slid, big 5Y BTPs seller, maybe hedge fund. 

- TSYS 3PM ET: 2Y 1.326%, 3Y 1.473%, 5Y 1.785%, 7Y 2.030%, 10Y 2.215% and 30Y

2.788%.

US TSY FUTURES CLOSE: Weaker by the bell, at/near late session lows with the

long end underperforming. Rather muted volume propped up by decent Sep/Dec roll

volume, particularly in 5yr futures. Current futures levels: 

* Sep Ultra bonds down 26/32 at 167-31 (167-29L/168-26H) 

* Sep 30-yr Bond futures down 19/32 at 155-18 (155-17L/156-07H) 

* Sep 10-yr futures down 9.5/64 at 126-17.5 (126-17.5L/126-28H) 

* Sep 5-yr futures down 5.75/32 at 118-13.75 (118-13.75L/118-19.5H) 

* Sep 2-yr futures down 1.5/32 at 108-07 (108-07L/108-08.5H)

US EURODLR FUTURES CLOSE: Finish weaker on modest volume, near middle of narrow

range, short end outperforming. Current White pack (Jun'17-Mar'18):

* Sep'17 -0.007 at 98.670 

* Dec'17 -0.005 at 98.570 

* Mar'18 -0.015 at 98.490 

* Jun'18 -0.015 at 98.435 

* Red pack (Sep'18-Jun'19) -0.020-0.030 

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

* Blue pack (Sep'20-Jun'21) -0.030-0.025 

* Gold pack (Sep'21-Jun'22) -0.030-0.025

US SWAPS: Spds tighter by the bell, spd curve back to steeper after brief trip

flatter earlier. Modest second half front end flow two-way w/better receivers in

5s, as well as light deal-tied flow in the mix. Earlier, sources reported rate

paying in 2s, 2s5s spd flattener and 2s3s5s swap fly helping keep levels in

range. OTC vol steady to lower, gamma underperforming on lack of real vol on the

day. Latest spread levels: 

* 2Y -0.31/25.12 

* 5Y -1.00/5.62 

* 10Y -0.12/-5.75 

* 30Y -0.06/-34.50

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

- Aug 23 18-Aug MBA Mortgage Applications (0.1%, --) 0700ET 

- Aug 23 Aug Markit Services Index (flash) (54.6, --) 0945ET 

- Aug 23 Aug Markit Mfg Index (flash) (53.3, --) 0945ET 

- Aug 23 Jul new home sales (610k, 613k) 1000ET 

- Aug 23 18-Aug crude oil stocks ex. SPR w/w(-8.9m bbl, --) 1030ET 

- Aug 23 US Tsy $13.0B 2-Year FRN auction reopening 1130ET 

- Aug 23 Dal Fed Kaplan, Perm Basin/Petroleum Assn, TX Q/A 1305ET

Eurodollar/Treasury option summary

Eurodollar options,

Pit/screen:

20.5k EDZ 82p, cab

+20k EDH/EDM 86/87c spd spds, 0.0/Mar ovr

+10k EDH 81/82p spds, 1.5

8k EDH 81/83 2x1p spds

5k EDU 87c, cab

+4k EDZ 86/E2Z 85c spds, 0.5/EDZ'16 ovr

1.25k EDZ 83p, 0.5

5k EOU 82p, 1.0

2k EOU 81/82 3x2p spds, 1.0

2k EOU 81/82 2x1p spds, 0.5

2k EOV 83/85 2x1p spds

2k EOZ 81/82/83p flys, 2.0

3k E2Z 85/EDZ 86c spds, 0.5

2k E2Z 81/E3Z 83 straddle spds, 2.5

2.5k E4U 80c, 2.0

Tsy options

Pit/screen:

-20k TYZ 129c, 16-17

4.2k TYX 126+/129c spds, 39

3.5k TYU 126+p, 11-9

1.15k TYZ 126 straddles, 205

1k TYX 125+/127+ strangles, 60

+1.1k FVU 118+/FVU 118.75/FVV 119c fly, 7.5

2k TUV/TUZ 108.12p spds, 5

1k TUV 106.6/107.7/107.8/108p condors

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

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