US TSYS HIGHER, STOCKS LOWER ON N.KOREA NERVES;SOLID 30Y AUCTN

     US TSYS SUMMARY: Treasuries ended Thu higher after mkt built in price

concession to get solid $15B 30y auction: drew 2nd- highest indirect award in

30Y auction history back to 2006. 

- Tsys began NY nearly unchanged, chopped around a bit with nerves on

N.Korea/Guam situation (Jpn, S.Korea said wld react if Guam hit, N.Korea eyed

attack nr Guam by mid-Aug) 

- Tsys bid after higher initial wkly jobless claims, soft -0.1% July PPI/Core,

NY Fed Dudley eyed modest wage growth. Tsys rose on 35K bought TYU 10Y futures

from 126-12.5 to -14; light fast$, prop sales in short end, better lg end buying

FX-tied buys in Tsys as US$ weak vs yen. 30Y mixed flows; better selling 3Y, 5Y,

7Y, 10Y. Then Tsys 30Y pre-auction shorts/sales done. Good 30Y auction: 2.818%

rate, strong 66.8% indirects bidders award, soft 5.38% directs, small 27.8% for

dealers. Some cited strong US buyers' demand, insurer bid, mild Jpn bid. 

- Risk-off rate payg in US swaps. Big US Eurodlr sale: 40K EDU'17 sold,98.675.

Jpn mkt close Fri.

- TSYS 3pm ET: 2Y 1.335%; 3Y 1.489%, 5Y 1.781%; 7Y 2.031%, 10Y 2.211%, 30Y

2.788%

US STOCKS: Stocks traded weaker, S&P 500 futures declined too, amid N.Korea

jitters.

DJIA was off 0.73% at 3:24pm ET at 21,886; S&P 500 index was off 1.00%.

US TSY FUTURES CLOSE: Mostly higher by the bell and gaining on the screen, long

end outperforming. Current futures levels: 

* Sep Ultra bonds up 1-0/32 at 167-28 (166-16L/167-29H) 

* Sep 30-yr Bond futures up 20/32 at 155-11 (154-13L/155-13H) 

* Sep 10-yr futures up 7/64 at 126-18 (126-06L/126-20H) 

* Sep 5-yr futures up 2.5/32 at 118-13.75 (118-08.5L/118-15.5H) 

* Sep 2-yr futures steady at 108-06.5 (108-05.75L/108-07.25H)

US SWAPS: Spds running steady to mildly tighter by the close, long and short end

leading compression. Rather quiet day for swaps, modest issuance weighing,

two-way deal-tied flow, while some spec-acct risk-off payer unwinds noted

despite carry-over strength in rates and safe-haven assets. OTC vol going out

mildly bid in the short to intermediates, longer vega steady, receivers bid over

again. Latest spread levels: 

* 2Y -0.53/25.44 

* 5Y +0.00/8.00 

* 10Y -0.12/-3.62 

* 30Y -0.50/-32.06

US EURODLR FUTURES CLOSE: Modestly higher across the strip, near highs w/long

end outperforming. Decent volume, large sale 40 Sep'17 98.675 earlier. Current

White pack (Jun'17-Mar'18): 

* Sep'17 +0.005 at 98.675 

* Dec'17 +0.000 at 98.545 

* Mar'18 +0.005 at 98.475 

* Jun'18 +0.005 at 98.415 

* Red pack (Sep'18-Jun'19) +0.015-0.020

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

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

* Gold pack (Sep'21-Jun'22) +0.025-0.030

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

- Aug 11 Jul CPI (0.0%, 0.2%) 0830ET

- Aug 11 Jul CPI Ex Food and Energy (0.1%, 0.2%) 0830ET

- Aug 11 Dal Fed Kaplan: Univ Tex/Arlngtn Accntg Dept CPE Day Q&A 0940ET

- Aug 11 Q3 St. Louis Fed Real GDP Nowcast 1100ET

- Aug 11 Q3 NY Fed GDP Nowcast (+2.0, --) 1115ET

- Aug 11 Minn Fed Kashkari Indpndt Comm Bankers Minn Cnv, Q&A 1130ET

Eurodollar/Treasury option summary

Eurodollar options,

Block:

0341ET

+10k E2Z 85c, 3.0 vs. 98.08/0.10%

0538ET

+10k EDV/EDX 87c strip, 1.0

1332ET, ongoing buyer

+15k EOZ 80/81p spds, 3.0

1404ET

10k EOX 81/82c spds, 8.5 vs.

10k EOX 82p, 8.0

Pit/screen:

+25k EDZ 85/86/87c flys, 1.25

9k EDQ/EDU 88c spds, cab

-8k EDZ 85 straddles, 13.0

+10k EOV/EOX 86c strip, 2.5 vs. 98.295/0.25%

+8k EOH 88c, 1.0

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

2k EOZ 77/80p spds, 2.0

-2k EOU 83 straddles, 11.0

-10k E2Z 75/77 3x1p spds, 0.5/3-leg ovr

+10k E2H 76/85 R/R, 0.0p ovr

+7.5k E2V 81p, 2.0-1.5

+5k E2Z 76/85 combo, 0.0

+4k E2Q 81p, 1.5

+2.5k E2H 75/77 2x1p spds, 0.5

6k E3Q 80c, 0.5 vs. 97.925/0.24%

-2.5k E3Q 78/80 1x2c spds, 7.0

2k E4Q 78c, cab

Tsy options

Pit/screen:

+12k TYZ 123+/129 R/R, 2-3c ovr

+3k TYZ 124+p, 31

+3k TYV 126+/127/127.25c trees, 8

-2.5k TYZ 124/128 R/R, 4c ovr

2.5k TYU 126+/127/127.25c trees

2.5k TYV 125/127 strangles, 43

1.1k TYV 122+/129+ R/R, c ovr

+1k TYU 127+c, 8

1k TYU 126p, 12

+10k wk2 TY 126p, 4

2k FVU/FVV 119 2x1c spds, 0.0

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

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