US TSYS END OFF DAILY LOW:LATE MO-END BID;SOFT MNI CHICAGO BIZ

     US TSYS SUMMARY: Treasuries ended off day's lows Mon after late month-end

buying in Tsy futures: buying in TYU 10Y futures from 125-28.5 to 29.5 and also

FVU 5Y futures and UXU Ultra bond futures blocks. Tsys saw earlier muted 2way

flow, mild curve steepening, 

- Treasuries began NY lower after overnight 2way flow including Asian safe-haven

bid amid another N.Korea ICBM missile firing, then decline with German Bunds on

higher German retail sales, and a surprise Eurozone core inflation rise. Tsy had

a 10Y Ultra futures block done via screens at 5:35am ET: 2,441 UXYU7 at 135.01. 

- Tsys had mild early corporate rate-locks hedges on heavy US$ high-grade bonds

issuance. Bonds reacted little to lower 58.9 July MNI Chicago Business Barometer

tho light buying by fast$ in 10s, real$ in 30s pulled futures off low. Tsys dip

buying on EGBs month-end buying: Bloomberg Barclays Pan-Euro Agg Tsys index had

large 0.12 yrs advance estimated extension, 0.06yr US Tsys index. 

- Mild Tsy steepeners. Tsy 5Y tight in O/N RP. 

- US swaps end mixed, 2way deal-tied flow. 

- TSYS 3pm ET: 2Y 1.347%, 3Y 1.500%, 5Y 1.832%, 7Y 2.106%, 10Y 2.291%, 30Y

2.898%

US TSY FUTURES CLOSE: Mostly lower, off lows with Sep Ultra-bond unchanged after

the bell, decent late month-end volume, buying TYU at 125-28.5 to -29.5 followed

by FVU and UXU blocks. Current futures levels: 

* Sep Ultra bonds steady at 164-19 (163-28L/164-31H) 

* Sep 30-yr Bond futures down 4/32 at 153-02 (152-21L/153-16H) 

* Sep 10-yr futures down 1/32 at 125-29.5 (125-26.5L/126-01.5H) 

* Sep 5-yr futures down .25/32 at 118-04.75 (118-03.25L/118-06.5H) 

* Sep 2-yr futures down .25/32 at 108-05.5 (108-05L/108-06.25H)

US EURODLR FUTURES CLOSE: Mildly lower to steady in the short and long end.

Large late futures spd buy of 17,000 Dec'17/Mar'18, 0.085. Current White pack

(Jun'17-Mar'18): 

* Sep'17 +0.000 at 98.670 

* Dec'17 -0.005 at 98.550 

* Mar'18 -0.005 at 98.470 

* Jun'18 -0.010 at 98.405 

* Red pack (Sep'18-Jun'19) -0.010 

* Green pack (Sep'19-Jun'20) -0.010-0.005 

* Blue pack (Sep'20-Jun'21) steady to -0.005 

* Gold pack (Sep'21-Jun'22) steady to -0.005

US SWAPS: Spreads hold mixed levels by the close, spd curve well off flatter

levels after the open w/front end off early wides, tighter long end held narrow

range. Limited flow includes two-way deal-tied flow, light prop acct rate paying

in front end. Latest spread levels: 

* 2Y +0.62/24.69 

* 5Y +0.25/7.12

* 10Y -0.31/-4.69 

* 30Y -0.81/-34.69

Eurodollar/Treasury option summary

Eurodollar options,

Block:

0837ET, more in pit

-10k EOU 81/82 2x1p spds, 1.0

Pit/screen:

2.5k EDZ/EDH 86c spds, 0.0

-2k EDZ 86/EDZ 85 straddle spds, 7.0

2k EDU 85/86 3x1p spds, 0.5

-1.5k EDZ 85 straddles, 13.5

-6k EOU 81/82 2x1p spds, 1.0, also blocked

+6k EOH87/88 1x2c spds, 0.5

+5.5k EOH/E2H 87c spds, 0.0

+4k E2Z 77/E4Z 72p spds, 0.5

-4k E2H 70p, 1.5 vs. 97.93/0.05%

-2k E2H 80 straddles, 41.0

+2k E2U 81/E4U 77 straddle spds, 3.5

1.3k E2Q 81/E3U 78/E3Q 78 straddle flys, 19.5

Tsy options

Pit/screen:

15k TYU 127+c, 4

+5k TYU 123+p, 11

-2k TYU 125+p, 20

1k TYU 126/TYZ 125+ straddle spds, 120

1k FVU 118.2/118.7/119.2c trees, 8.5

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

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