US TSYS GAIN: RISK-OFF MOOD ON SPAIN TERROR ATTACK;US STKS EBB

     US TSYS SUMMARY: Treasuries ended Thurs firmer after a weaker start, curves

flatter, long end leading risk-off rally buying following latest terrorist

attack in Barcelona, Spain. 

- Tsys began NY weaker after overnight Emg Mkt Asia/Asian real$ sales,

profit-taking in belly. Tsys digested lower initial wkly jobless claims, softer

18.9 Phil Fed biz activity, less than expected 0.2% July Industrial Production. 

- Tsys then rose off early lows on safe-haven bid, FX-tied buying on carryover

rumor that NEC head/econ advisor Gary Cohn wld resign, which White House denied.

Stocks declined on that; Tsys softened off highs on denial amid real money

selling into rally in intermediates. 

- But Tsys rose again amid van attack on Spanish crowd by a driver doing 50-mph

in a crowded Barcelona area; police said 13 died and 50 injured, one suspect was

arrested, too. Fast money covered shorts, real$ bought Tsys, FX-tied buying. 

- Tsy futures block sale at 11:55am ET: 5,000 TYU 126-19, cross on bid at post

time. Cash Tsys curves flipped around, ending flatter. 

- TSYS 3PM ET: 2Y 1.306%, 3Y 1.465%, 5Y 1.762%, 7Y 2.014%, 10Y 2.199%, 30Y

2.782%.

- US CORPORATES: CDX investment grade widen more: out 3.27 bps to 62.90 bps by

3:54pm ET (vs. 61.46 at 2:43pm ET); senior financial cash bonds again outperform

other sectors in secondary corporate bond market. 

US TSY FUTURES CLOSE: Higher/session highs, blowing past midday highs after a

lower open; curves flatter, long end leading nascent risk-off move following

latest terrorist attack in Barcelona, Spain. Tsys off early lows on carry-over

rumor NEC head/economic advisor Gary Cohn to resign, later denied. 

* Sep Ultra bonds up 27/32 at 168-10 (166-27L/168-11H) 

* Sep 30-yr Bond futures up 22/32 at 155-24 (154-18L/155-25H) 

* Sep 10-yr futures up 7/64 at 126-23.5 (126-11L/126-24H) 

* Sep 5-yr futures up 3/32 at 118-17.5 (118-10.5L/118-17.75H) 

* Sep 2-yr futures up 1/32 at 108-08 (108-06L/108-08H)

US EURODLR FUTURES CLOSE: Mildly higher/session highs by the bell, long end

outperforming, avg summer volume. Current White pack (Jun'17-Mar'18): 

* Sep'17 +0.005 at 98.670 

* Dec'17 +0.010 at 98.560 

* Mar'18 +0.010 at 98.485 

* Jun'18 +0.010 at 98.430 

* Red pack (Sep'18-Jun'19) +0.005-0.015 

* Green pack (Sep'19-Jun'20) +0.015-0.025 

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

* Gold pack (Sep'21-Jun'22) +0.030-0.040

US SWAPS: Spds mostly wider/spd curve flatter w/short end seeing broadest moves

on day, 2yr spd marched wider on nascent risk-off move (rates higher, equities

lower, vol nominally higher) following latest terrorist attack in Barcelona,

Spain. Overall flow rather light, some fast$ receiver unwinds in short end,

limited deal-tied hedging/incoming supply adding to wider levels. OTC vol

see-sawed around steady, mixed after the bell, longer vega underperforming on

bull-flattener in rates. Latest spread levels: 

* 2Y +1.75/27.69 

* 5Y +0.50/7.88 

* 10Y +0.12/-4.69 

* 30Y -0.38/-33.81

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

- Aug 18 Aug Michigan sentiment index (p) (93.4, 94.0) 1000ET

- Aug 18 Jul BLS state payrolls (314.7k, --) 1000ET

- Aug 18 Q2 Advance NSA Service Revenue 1000ET

- Aug 18 Dall. Fed Kaplan guided Q&A Dallas Comm Coll conf, 1015ET

- Aug 18 Q3 St. Louis Fed Real GDP Nowcast 1100ET

- Aug 18 Q3 NY Fed GDP Nowcast (+2.0%, --) 1115ET

Eurodollar/Treasury option summary

Eurodollar options,

Pit/screen:

+5.7k EDU 87c, cab

+5k EDH 81/82p spds, 1.5 vs. 98.45/0.10%

-15k EDM'18 72/73p strip, 8.5

-6k EDU19 73/88 R/R p ovr

EDU19 76/86 R/R p over, 1.5-2.0

-30k EOM 78/81 3x2p spds, 8.0 vs. 98.20/0.08% w/

-E2M 76/80 3x2p spds, 16.5 vs. 98.015/0.20%

+17.4k EOU 81p, cab

+5k EOZ 80/81/82p flys, 2.0

+5k EOU 82/85 R/R, 0.0c ovr

+5k EOU 86c, 0.5 vs. 98.38

-5k EOV 80p, 0.5

2.5k EOV 82/83/85c trees

2k EOZ 82 straddles, 21.0 vs.

1k EOH 82 straddles, 29.5

+8k E2U 77/78/82/83p condors, 10.5

-4k E2U 81 straddles, 12.0

3k E2V 81 straddles, 18.5 vs. 98.12

+10k E3U 77/78p spds

+5k E3Z 81c, 8.0 vs. 97.925/0.30%

2k E3M 72/82 R/R, 2.0c ovr

Tsy options

+6k TYX 127/129/131c fly vs.

-TYU 126+/128/129+c flys, 3 net

2k TYV 127+/128+ 1x2c spds, 2

2k TYV 126+c, 27

1k TYU 125+/126+/127+ iron flys, 30

4k wk1 TY 125.2/126p spds, 11

1.5k FVZ 115+/116+/117+p trees, 11.5

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

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