US TSYS GAIN AS FED CHR YELLEN DOES NOT ROIL FINANCIAL MARKETS

     US TSYS SUMMARY: Treasuries ended Fri higher, flatter after relief bid as

Fed Chair Yellen did not touch on econ/mon pol issues in Jackson Hole speech.

She defended post-crisis financial controls. 

- Tsys began NY weak then had FX-tied buying as US$ weakened vs Jpn yen.

Volatility evaporated as rates adjusted higher but in range. Little/no react to

second-tier data. 

- Tsy futures: big block buy of 11.9k FVU 5Y 118-13.75, and two-way flow into

Fed Yellen; 2/10Y, 2/30Y, 5/30Y flatteners done; FX-tied buys in Tsys too in a

few rounds. Heavy Sep/Dec Tsy roll volume, Sep Tsy optn expiratn w/low pin risk 

- Tsys bid as Dallas Fed Kaplan said FFR terminal rate closer to 2.5% than 3%;

also correction of high asset valuations not systemic risk, may even be

"healthy"; said watching risks from debt build up. 

- Apparent fat-finger in Gold futures sent contracts tumbling $10 off highs

early trade(tapped 1280.0 vs. 1292.0 high), rebound to 1292-1294.0 area after. 

- ECB Draghi: global recovery firming up, but openness to trade under threat.

Tsys had some mild profit-taking after remarks.

- TSYS 3PM ET: 2Y 1.334%, 3Y 1.465%, 5Y 1.757%, 7Y 1.989%, 10Y 2.169%, 30Y

2.791%.

US TSY FUTURES CLOSE: Near session highs by the bell, mkts listening to ECB pres

Draghi. Tsys eversed mildly weaker levels from the open after Fed chair Yellen

delivered Jackson Hole speech w/no comments on policy direction or eco outlook.

Volatility evaporated as rates adjusted higher but holding to narrow range.

Little/no react to second-tier data. Current futures levels: 

* Sep Ultra bonds up 15/32 at 169-00 (168-09L/169-10H) 

* Sep 30-yr Bond futures up 13/32 at 156-16 (155-29L/156-24H) 

* Sep 10-yr futures up 6/64 at 126-28 (126-20L/126-30.5H) 

* Sep 5-yr futures up 2.25/32 at 118-18 (118-13.5L/118-19.25H) 

* Sep 2-yr futures steady at 108-07 (108-06L/108-07.5H)

US EURODLR FUTURES CLOSE: Holding modestly higher levels by the bell,

Blues-Golds outperforming; modest overall volume. Current White pack

(Jun'17-Mar'18): 

* Sep'17 +0.000 at 98.670 

* Dec'17 +0.005 at 98.570 

* Mar'18 +0.005 at 98.505 

* Jun'18 +0.010 at 98.460 

* Red pack (Sep'18-Jun'19) +0.010-0.020 

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

* Blue pack (Sep'20-Jun'21) +0.020 

* Gold pack (Sep'21-Jun'22) +0.020-0.025

US SWAPS: Spds mixed by the close, wings tighter vs. wider intermediates, spd

curve steeper all session. Short end lead move all day, moving off first half

narrows in second half. Modest but consistent rate receiving in 2s-5s earlier,

with some fast$ paying in 2s-3s late. OTC and exchange traded option vol off

sharply as Fed chair Yellen delivered Jackson Hole speech w/no comments on

policy direction or eco outlook. Latest spread levels: 

* 2Y -0.94/23.06 

* 5Y +0.12/5.38 

* 10Y +0.19/-5.81 

* 30Y -0.06/-35.06

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

- Aug 26 KC Fed Econ Symp "Fostering Dynamic Globl Econ";Jackson Hole,WY

- Aug 28 Jul advance goods trade gap (-$63.9b USD, --) 0830ET

- Aug 28 Jul advance wholesale inventories (+0.7%, --) 0830ET

- Aug 28 Jul advance retail inventories (+0.6%, --) 0830ET

- Aug 28 Aug Dallas Fed manufacturing index (16.8, --) 1030ET

- Aug 28 US Tsy $33.0B 26-Week Bill auction 1130ET

- Aug 28 US Tsy $26.0B 2-Year Note auction 1130ET

- Aug 28 US Tsy $34.0B 5-Year Note auction 1300ET

- Aug 28 US Tsy $39.0B 13-Week Bill auction 1300ET

Eurodollar/Treasury option summary

Eurodollar options,

Block:

0717-0718ET

-24k EOZ 81p, 3.5

-12k E3Z 77p, 7.5

0858ET, more in pit

+10k EOU 81p, cab

Pit/Screen:

+20k EDM 81/82p spds, 2.5

+10k EDZ 82p, cab

+10k EDX 87c, 0.5 vs. 98.56/0.05%

7.75k EDU 86/87 R/R, 0.0c ovr

-6k EDZ 86c, 3.25 vs. 98.565/0.20%

+3k EDF 82/83 2x1p spds, 1.5

1k EDZ 86/87 1x2c spds, 1.75

4k EDM'19 82/E2M 80 straddle spds, 31.0

+10k EOU 81p, cab, also Blck'd

+6k EOV 80/81/82p flys, 2.0

+5k EOZ 80/81p spds, 2.0

-15k E2V 81/82/83c trees, 3.0

+6k E2H 80 straddles, 43.0

+5k E2Z 83/E4Z 80c spds, 3.0

+5k E2U 81p, 3.0

1k E2V 80/81/82 iron flys, 9.5

-20k E3V 77/82 R/R, 0.0-p w/

-20k E3F 77/82 R/R, 0.5-c

+7k E3Z/E4Z 77p strip, 20.0

Tsy options

Pit/screen:

+8-9k TYZ 129c, 18-20

+5k TYZ 123p, 3

2k TYV 125/126p spds, 7

1k TYU 126/126+p spds, 5

22 wk1 TY 125.2/126p spds, 5

+1.5k TUZ 107.6/107.7/107.8/108p condors, 2

+1.5k TUZ 107.5/107.8p spds vs.

-TUZ 108.2/108.3c spds, 2db

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

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