US TSYS GAIN: RISK-OFF MOOD:N.KOREA, GEOPOLITICS,MUSHY STKS

     US TSYS SUMMARY: Treasuries ended higher Mon on light risk-off bid

(N.Korea, US political jitters, weak oil, mixed US stocks). US,S.Korea began 10

days of military drills; N.Korea did saber-rattling. Also Pres. Trump at 9pm ET

Mon will announce latest US military strategy in Afghanistan.

- Tsys improved with EGBS but range into Fri Jackson Hole's Fed Chr Yellen, ECB

Draghi speeches. AP: Spain police operation done west of Barcelona; Spanish

newspaper said alleged fugitive in last week van attack had been captured. 

- US Eurodlr futures: end higher after light selling followed earlier decent

buying in back end of white, red and green contracts, esp Dec18, Mar18,

Jun18,Mar19s. Talk of big 30Y US swaps receiver nr 11am ET. 

- Tsys afternoon short-covering/dip-buys on risk-off mood, NYMEX crude oil

weakness amid technical profit-tkg. Tsys earlier light FX-tied bid as US$ ebbed

vs. Jpn yen. 

- T-bills bid on good 3M bill auctn, $5B cut to Tue 4-wk bill auctn size. Latest

Sep/Dec Tsy futrs roll volume: TYU/TYZ about 8,500 from 9.5 to 10.0, 9.75 around

10am ET. 

- TSYS 3PM ET: 2Y 1.301%; 3Y 1.448%; 5Y 1.751%; 7Y 1.995%; 10Y 2.182%; 30Y

2.764%.

US TSY FUTURES CLOSE: Trading modestly higher, but off session highs, with some

light profit taking seen in last 30 mins or so. Current futures levels: 

* Sep Ultra bonds up 10/32 at 168-23 (167-30L/168-31H) 

* Sep 30-yr Bond futures up 9/32 at 156-04 (155-17L/156-09H) 

* Sep 10-yr futures up 2.5/32 at 126-26.5 (126-19L/126-29H) 

* Sep 5-yr futures up 1.75/32 at 118-19 (118-15L/118-20.5H) 

* Sep 2-yr futures up 1/32 at 108-08.5 (108-07L/108-09H)

US SWAPS: Spreads running modestly tighter at close. Heard they was good

receiving in 30Y swaps coming up to 1100ET, while a overnight there was some

receiving in 10Y and 30Y. Towards 3pm close looks like there was 2y and 3y

payers in size Latest spread levels: 

* 2Y -0.96/25.69 

* 5Y -0.50/6.50 

* 10Y -0.55/-5.68 

* 30Y -0.56/-34.5

US EURODLR FUTURES CLOSE: Trading higher but off session highs with decent

buying seen in back end of White contracts and across Red and Green contracts,

before giving way to some light selling. Current White pack (Sep'17-Jun'18): 

* Sep'17 +0.005 at 98.6775 

* Dec'17 +0.005 at 98.57 

* Mar'18 +0.010 at 98.50 

* Jun'18 +0.015 at 98.45 

* Red pack (Sep'18-Jun'19) +0.020 to +0.025 

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

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

* Gold pack (Sep'21-Jun'22) +0.015

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

- Aug 22 Aug Philadelphia Fed Nonmfg Index 23.4/-- 08:30am ET 

- Aug 22 19-Aug Redbook retail sales m/m -0.4/-- % 08:55am ET 

- Aug 22 Jun FHFA Home Price Index 0.4/-- % 09:00am ET 

- Aug 22 Q2 FHFA Quarterly Home Prices 1.4/-- % 9:00am ET 

- Aug 22 Aug Richmond Fed Mfg Index 14/-- 10:00am ET 

- Aug 22 Aug Treasury Allotments (p) --/-- b USD 15:00pm ET

Eurodollar/Treasury option summary

Eurodollar Option flow included:

* Very little option flow seen Monday:

Blocks: No seen/reported

Pit/screen: * Jan 18 mid-curve (0EF8) 98.625 calls, total of 4 sold at 2.5 *

+13k 2EDZ7 97.375 puts at 1

US Tsy option flow included: * -2,496 TYV7 125.50 puts at '14

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

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