US TSYS GAIN: SOME POLITICAL UNCERTAINTY, WEAK HSG, FOMC MINS

     US TSYS SUMMARY: Treasuries prices end Wed higher on uncertainty as Pres.

Trump ends his Manufacturing Cncl and the Strategy & Policy Forum; Tsys & gold

gained, stocks ebbed. Earlier, Tsys rose on buying unwinds of corp. rate-lock

hedges from Tue heavy high-grade bd issuance. 

- Tsys cash long end, futures buying earlier, 12:50pm ET Tsy futr flattener

(6,545 FVU 5Y futures sold/vs 12,013 TYU 10Y futrs crossed on offer). Afternoon

2:04pm ET sale of 5,000 TYU at 126-12.5. Traders cited black box and real money

buys on FOMC mtg mins; traders still eyed Sep balance sheet reduction anncmt,

Dec hike. 

- Tsys began NY weaker. EGBs had bid as Reuters said ECB Draghi would not unveil

new pol change at Jackson Hole. Tsys aided by -4.8% weak July hsg starts. 

- Tsys bull flatteners before 10:49am ET, lg end led rebound. Classic bond USU

futures buying: 10,000 from 154-19 to 154-21 before 11:10am ET. 

- Also prop, fast$ buying in 10Y, 30Y; swap-tied 10Y receiving. 2/30Y, 5/30Y

flatteners, dip buys, 2/7Y, 2/10Y flatteners. Euribor ERZ7(Dec17) had large

buyer before 11:36 am ET:22,000 at 100.325. 

- RP: 2Y, 5Y Tsys tighter. 

- High-grade corp. issuance lighter. 

- TSYS 3PM ET: 2Y 1.330%, 3Y 1.484%, 5Y 1.782%, 7Y 2.040%, 10Y 2.227%, 30Y

2.810%.

US TSY FUTURES CLOSE: Higher across the curve, long end outperforming, off post

minutes highs. Modest overall volume (TYU w/1.15M), Sep/Dec rolling slowly

picking up pace. 

* Sep Ultra bonds up 26/32 at 167-12 (165-23L/167-20H) 

* Sep 30-yr Bond futures up 19/32 at 155-00 (153-26L/155-06H) 

* Sep 10-yr futures up 10.5/64 at 126-15.5 (126-00L/126-18.5H) 

* Sep 5-yr futures up 5.5/32 at 118-14 (118-05.75L/118-15.75H) 

* Sep 2-yr futures up 1.5/32 at 108-07 (108-05L/108-07.25H)

US EURODLR FUTURES CLOSE: Higher across the strip, just off second half highs

with the short end underperforming. Current White pack (Jun'17-Mar'18): 

* Sep'17 +0.005 at 98.667 

* Dec'17 +0.010 at 98.550 

* Mar'18 +0.010 at 98.475 

* Jun'18 +0.015 at 98.420 

* Red pack (Sep'18-Jun'19) +0.015-0.025 

* Green pack (Sep'19-Jun'20) +0.030-0.035 

* Blue pack (Sep'20-Jun'21) +0.035-0.040 

* Gold pack (Sep'21-Jun'22) +0.040-0.045

US SWAPS: Spds back to steady/wider, short end back to unchanged after falling

to session lows in afternoon. Modest flow on net, desks reporting light

deal-tied paying in 2s and 5s and receiving in 10s. Short end move likely due to

expected pick up in swappable supply after a slow start to the session. One desk

reported receivers across the curve in second half, not corroborated by others,

however. OTC vols lower for the most part following minutes release and rally in

rates, longer vega outperforming. Latest spread levels: 

* 2Y +0.00/25.94 

* 5Y +0.62/7.50 

* 10Y +0.0/-5.12 

* 30Y +0.25/-33.31

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

- Aug 17 12-Aug jobless claims (244k, 240k) 0830ET

- Aug 17 Aug Philadelphia Fed Mfg Index (19.5, 19.2) 0830ET

- Aug 17 Jul industrial production (0.4%, 0.3%) 0915ET

- Aug 17 Jul capacity utilization (76.6%, 76.7%) 0915ET

- Aug 17 13-Aug Bloomberg comfort index 0945ET

- Aug 17 Q2 e-commerce retail sales (4.1%, --) 1000ET

- Aug 17 Jul leading indicators (+0.6%, +0.3%) 1000ET

- Aug 17 11-Aug natural gas stocks w/w 1030ET

- Aug 17 Dall Fed Kaplan guided Q&A Lubbock, TX 1300ET

- Aug 17 Minn. Fed Kashkari guided Q&A Edina, Minn 1345ET

- Aug 17 16-Aug Fed wkly securities holdings 1630ET

Eurodollar/Treasury option summary

Eurodollar options,

Block:

0834ET, morein pit/screen

+10k EDZ 82p, cab

0904ET

+10k E2Z 85c, 2.5

Pit/screen:

+17k EDZ 86/87/88c flys, 1.75

+10k EDV 87c vs. EDZ 86/87c spds, 1.5

+10k EDZ 82p, cab, also Blckd

-10k EDZ 86/87c spds, 2.0

+10k EDZ 86/E2Z 85c spds, 0.0/steepener

-2.5k EDZ 86/87/88c flys, 1.5 vs.

-7.35 EDV 87c, cab

+2k EDZ'18 78p, 6.0 vs. 98.265/0.18%

10k EOU 82/85 R/R, 0.0c ovr

5k EOV 80/81p spds

+5k EOV 86/87c spds, 2.0

-5k EOU 83 straddles, 10.0

+4k EOV 86/87c strips, 1.0

-3k EOU 83 straddles, 10.0

-2.5k EOU 81/82/83 2x3x1p flys, 2.5

+30k E2Z 77/EhZ 72p spds, 0.5

10.25k E2Z 85c, 2.5, ongoing

-3k E2U 81 straddles, 12.5

2k E2Z 76/78 3x2p spds w/E2Z 85c, 9.0

+8k E3H 72/80 R/R,10.5c ovr

5k E3Z 72p, 1.5

+3k E3X 76p, 4.5

-2k E3U/E3X 78 straddle spds, 11.0

-1k E3V 78 straddles, 21.5

Tsy options

Pit/screen:

-3k TYU 126p, 16

+2.6k TYZ 128c, 22

2k FVV 117/117+p spds vs. TUV 108p

+2k USU 151/151+/152+p trees 5-4

+1k TUV/TUX/TUZ 107.6/107.7/107.8/108p condor strip, 6.5

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

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