US TSYS GAIN: SOFT CORE PCE YR/YR;MO-END,FX-TIED BID(WEAK US$)

     US TSYS SUMMARY: Treasuries prices end Thursday higher after month-end

index extension buying, morning and midday FX-tied black box buying (on weak

US$/yen)) and weak yr/yr 1.4% PCE core price index rise (least since 2015) and

higher initial weekly jobless claims. Mkt digested steady 58.9 MNI Chicago

Business Barometer, firm 53.3 Bloomberg Consumer Comfort Index. 

- In between morning and midday FX-tied bid, late morning real$ and spec selling

in 10Y, 30Y while bank portfolio sold 30Y Tsys. 2nd round of FX-tied buying in

Tsys as US Tsy Secy Mnuchin said that a "weaker US$ is somewhat better for US

trade." 

- Tsys had morning and afternoon month-end buying aiding back end; BBG Barclays

Tsys advance index estimate had a 0.11 yrs extension. 

- Tsy futures: Early large blocks at 8:21am ET: 10,000 FVZ (5Y futures) at

118-12 and for 5,000 TYZ (10Y Futures) at 126-23.5 (likely sales.) 

- Also Tsy futures had a 2:25pm ET 7,000 FVZ 5Y futures block buy at 118-15.25,

buy through -15 off at print time. Tsys futures saw late month-end buying before

3pm ET futures close. 

- TSYS 3pm ET: 2Y 1.330%, 3Y 1.432%, 5Y 1.707%, 7Y 1.949%, 10Y 2.122%, 30Y

2.725%

US TSY FUTURES CLOSE: Higher by the bell, near late session highs amid decent

flurry late month-end buying (appr 240k TYZ from 126-30 to -31.5; 120k FVZ from

118-16 to -16.75; 40k TUZ from 108-04.75 to -05.25; 28k USZ from 156-02 to -04;

17k WNZ. Current futures levels:

* Dec Ultra bonds up 24/32 at 169-02 (168-04L/169-04H)

* Dec 30-yr Bond futures up 16/32 at 156-05 (155-15L/156-07H)

* Dec 10-yr futures up 6.5/64 at 127-00.5 (126-23L/127-01H)

* Dec 5-yr futures up 2.75/32 at 118-16.5 (118-11.5L/118-16.75H)

* Dec 2-yr futures up .25/32 at 108-05 (108-04L/108-05.75H)

US EURODLR FUTURES CLOSE: Higher, at/near late session highs by the bell,

Blues-Golds outperforming (Sep'20-Jun'22). Current White pack (Sep'17-Jun'18):

* Sep'17 +0.000 at 98.675

* Dec'17 +0.000 at 98.585

* Mar'18 +0.000 at 98.535

* Jun'18 +0.005 at 98.495

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

* Green pack (Sep'19-Jun'20) +0.020-0.025

* Blue pack (Sep'20-Jun'21) +0.025-0.035

* Gold pack (Sep'21-Jun'22) +0.035-0.030

US SWAPS: *** Spds mostly wider by the bell, short end reversing course around

midday, chopped tighter again late on spec acct receiving in 2s. Earlier,

sources reported steady rate paying in 5s, 10s and 30s from month-end hedgers

and mortgage accts combined with the bid in duration. Specs, fast$ looking to

fade the move are sporadic receivers, helping keep spds relatively contained;

others eager to enter spd narrowers ahead expected supply next week. OTC vol

steady to mixed ahead Fri's Aug NFP. Latest spread levels: 

* 2Y -0.19/20.88 

* 5Y +0.44/5.75 

* 10Y +0.31/-5.06 

* 30Y +0.50/-34.62

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

- Sep 01 Aug NA-made light vehicle sales SAAR (12.9M, 12.8M)

- Sep 01 Aug nonfarm payrolls (209K, 184K) 0830ET

- Sep 01 Aug private payrolls (205K, 182K) 0830ET

- Sep 01 Aug unemployment rate (4.3%, 4.3%) 0830ET

- Sep 01 Aug average hourly earnings (0.3%, 0.2%) 0830ET

- Sep 01 Aug average workweek, all workers (34.5hrs, 34.5hrs) 0830ET

- Sep 01 Aug Markit Mfg Index (final) (52.5, --) 0945ET

- Sep 01 Aug ISM Manufacturing Index (56.3, 56.6) 1000ET

- Sep 01 Jul construction spending (-1.3%, +0.5%) 1000ET

- Sep 01 Sep Michigan sentiment index (f) (97.6, 97.5) 1000ET

- Sep 01 Q3 St. Louis Fed Real GDP Nowcast (+3.35%, --) 1100ET

- Sep 01 Q3 NY Fed GDP Nowcast (+1.99%, --) 1115ET

Eurodollar/Treasury option summary

Eurodollar options,

Pit/screen:

+18k EDZ 82/83p spds, cab

-10k EDZ 85/86 R/R, 1.25c ovr

+5k EDH 81/83 2x1p spds vs. EDH 87c, 0.0

-4k EDM 85/E2M 81 straddle spds, 24.5

+4k EDZ 83/85p spds, 2.25

+5k EDZ'18 77/82p spds, 10.5

-5k EOZ 85c vs. EOZ 80/82p spds, 0.5cr

4k EOZ 81p

+2.8k EOZ 81/82p spds vs.

-EOZ 85/86c spds, 2.5

+2.5k EOF 85c, 5.5 vs. 98.335/0.30%

-2.5k EOH 86/87c strip, 7.0

-2k EOZ 83 straddles, 19.5

2k EOV 81/82/83p flys

2k EOX 83 straddles, 16.0 vs. 98.37

-1.5k EOZ 86c vs. EOZ 80/81/82p flys, 0.5cr

-50k E2Z 78/80p spds, 3.0 vs. 98.15/0.10%

+5k E2U 83c, 1.5 vs. 98.26

-3k E2U 82 straddles, 10.0

2k E2H 83/91 1x2c spds, 8.5 vs. 98.17/0.25%

-5k E3Z 75/85 R/R, 1.0c ovr

+2.5k E3Z 85c, 3.0 vs. 98.03

2k E3U 75/78 2x1p spds, 0.5 vs. 98.075

Tsy options

Pit/screen:

+10k TYV 124+/127+ strangles, 16

+5k TYX 128+/130c spds, 11 ongoing buy

+2.5k TYX 124+/125+/126+p flys, 11

+2.5k TYX 125p, 12

2.5k TYV 126/126.7 2x1p spds, 7

2k TYV 126/126+c spds, 9

1.2k TYZ 123+p, 9

+6.1k FVV 117.7/119.2 R/R, 0.0p over

3.4k FVZ 117+/118+p spds, 23.5

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

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