US TSYS: GEO-POLOTICAL CONCERNS LIFT TSYS OFF LOWS

US TSY SUMMARY: Weaker across the curve but well off session lows tapped after

weak $19B 30Y note auction (912810SJ8) another tail: awarded 2.335% rate (2.644%

previous) vs. 2.322% WI. 

- Rates bounced soon after on back of geo-pol risk related headlines: "SALVINI:

GOVERNMENT NO LONGER HAS MAJORITY, ELECTIONS NEXT STEP" bbg; "China Warns U.S.

After Diplomat Meets With Prominent" HK Protesters, bbg.

- Equities strong after FI close -- recovering from early week rout to higher

for the week (ESU9 2940.0).

- Fast- and real$ selling in shorts to intermediates early, real$ and bank

portfolio sales intermediates out the curve earlier. Prop and fast$ buying

across the curve later in session. Decent swap flow, spds running mixed, wings

tighter vs. mildly wider belly, some deal-related, better rate paying in 4s and

7s, mild 2-way in 6s around 1.5125%, better receiving in 5s, 9s and 10s,

receiver flys: 2s5s7s, 2s4s10s and 5s6s10s on decent size.- - The 2-Yr yield is

up 0.8bps at 1.6148%, 5-Yr is down 1.3bps at 1.5372%, 10-Yr is down 2bps at

1.7138%, and 30-Yr is down 2.7bps at 2.2256%.

US TSY FUTURES CLOSE: Weaker across the curve but well off session lows tapped

after weak $19B 30Y note auction (912810SJ8) another tail: awarded 2.335% rate

(2.644% previous) vs. 2.322% WI. Rates bounced soon after on back of geo-pol

risk related headlines (Italian vote call; to lesser degree, China on HK

protests). Update:

* 3M10Y  -1.864, -30.204 (L: -33.847 / H: -23.485)

* 2Y10Y  -2.770, 9.756 (L: 9.354 / H: 14.48)

* 2Y30Y  -3.313, 61.017 (L: 60.948 / H: 67.375)

* 5Y30Y  -1.128, 68.904 (L: 68.711 / H: 72.767)

Current futures levels:

* Sep 2-Yr futures down 2.75/32 at 107-23.375 (L: 107-21.125 / H: 107-25.125)

* Sep 5-Yr futures down 5/32 at 119-1 (L: 118-23.5 / H: 119-02.75)

* Sep 10-Yr futures down 6.5/32 at 129-30.5 (L: 129-12 / H: 130-00.5)

* Sep 30-Yr futures down 18/32 at 161-21 (L: 159-23 / H: 161-26)

* Sep Ultra futures down 1-0/32 at 187-28 (L: 184-18 / H: 188-02)

US EURODLR FUTURES CLOSE: Weaker across the strip, but well off lows after the

bell. Current White pack (Sep 19-Jun 20): 

* Sep 19 -0.045 at 97.990

* Dec 19 -0.060 at 98.180

* Mar 20 -0.060 at 98.440

* Jun 20 -0.060 at 98.555

* Red Pack (Sep 20-Jun 21) -0.055 to -0.045

* Green Pack (Sep 21-Jun 22) -0.055 to -0.05

* Blue Pack (Sep 22-Jun 23) -0.05 to -0.045

* Gold Pack (Sep 23-Jun 24) -0.045 to -0.04

US DOLLAR LIBOR: Latest settles

* O/N -0.0041 at 2.0952% (-0.0090/wk)

* 1 Month -0.0103 to 2.2008% (-0.0276/wk)

* 3 Month -0.0035 to 2.1810% (-0.0583/wk)

* 6 Month +0.0026 to 2.0502% (-0.0827/wk)

* 1 Year +0.0160 at 1.9930% (-0.1198/wk)

US SWAPS: Off opening wides, spds running mixed, wings tighter vs. mildly wider

belly. Decent flow over last couple hours, some deal-related, better rate paying

in 4s and 7s, mild 2-way in 6s around 1.5125%, better receiving in 5s, 9s and

10s, receiver flys: 2s5s7s, 2s4s10s and 5s6s10s on decent size, after 2s5s7s

payer fly. Deal-tied unwinds noted in first half as well as receivers 1s

(1.8325%), 4s (1.480%) 9s (1.595% and 10s 1.634%; 2-way in 2s around

1.6015-1.6094%. Latest spd levels (Net change/Mid lvl):

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Thu 1500    -0.38/-2.25    +0.47/-7.62   +0.00/-12.75   -0.81/-42.50

1345        -0.38/-2.25    +0.55/-7.55   +0.38/-12.38   -0.19/-41.88

0945        +0.50/-1.38    +0.85/-7.25   +0.31/-12.44   -0.12/-41.81

Thu Open    +0.88/-1.00    +1.10/-7.00   +0.75/-12.00   +0.25/-41.44

Thu 0745    +0.88/-1.00    +1.10/-7.00   +0.75/-12.00   +0.88/-40.81

Wed 1500    -2.69/-2.62    -2.50/-7.81   -2.62/-12.62   -2.50/-41.25

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 2.13%, volume: $65B

* Daily Overnight Bank Funding Rate: 2.11%, volume: $175B

US TSYS: REPO REFERENCE RATES: (rate, volume), 

* Secured Overnight Financing Rate (SOFR): 2.10%, $1.196T

* Broad General Collateral Rate (BGCR): 2.09%, $515B

* Tri-Party General Collateral Rate (TGCR): 2.09%, $491B

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

09-Aug 0830 Jul Final Demand PPI (0.1%, 0.2%)

09-Aug 0830 Jul PPI ex. food and energy (0.3%, 0.2%)

09-Aug 0830 Jul PPI ex. food, energy, trade (0.0%, 0.2%)

09-Aug 1115 Q3 NY Fed GDP Nowcast

PIPELINE: $5.475B Priced Thursday

Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #:

08/08 $1.4B *Hartford Financial 10Y +112, 30Y +142

08/08 $1.2B *Welltower 5Y +95, 10Y +145

08/08 $1B *Humana WNG 10Y +140, 30Y +170

08/08 $500M *Magellam Midstream WNG 30Y +172

08/08 $400M *Public Service Electric/Gas 30Y +98

08/08 $675M *DTE WNG 5Y +100

08/08 $300M *PACCAR Financial WNG 5Y +67

08/08 $Benchmark CVS 5Y +150a, 7Y +170a, 10Y +190a

08/?? Chatter VW issuance US$/EU

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* -10,000 Mar 90 calls, 5.0

* -10,000 Jun 86 calls, 22.5 vs. 98.56/0.46%

* +10,000 Sep 81/82/83 call flys, 1.0

* +7,500 Dec 82 calls, 12.5 vs. 98.175/0.50%

* +2,000 short Dec 86 straddles, 39.0 vs. 98.58/0.05%

Latest trade, includes 20k Block

* -60,000 Sep 81/83 put spds, 2.5 vs. 98.00/0.21%

* -60,000 Dec 78 puts, 3.5 vs. 98.18/0.16%

* just over 21,000 short Aug 82 puts, cab on screen

* over +12,000 Aug 82 calls, cab, adds to yesterday's huge cover

Block, 1035-1039ET,

* total 20,000 Sep 81/83 put spds, 2.5

* +10,000 short Aug 82 puts, cab

* +7,500 Dec 76 puts, 1.0 vs. 98.18/0.05%

* -2,500 Blue Mar 86 straddles, 46.0

* -1,500 Green Aug 87 straddles, 14.0

Tsy options:

* +4,000 TYV 107.5/107.75 2x1 put spds, 2/64

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]