US TSYS LOWER: HEAVY US$ CORPORATE BOND SUPPLY,OK 7Y TSY AUCTN

     US TSYS SUMMARY: US Treasuries prices ended Thurs lower, but off session

los, amid heavy US$ high-grade corporate bond supply and a reasonably good $28B

7Y note auction. AT&T sold a $22.5B seven-part debt deal, which has launched so

far; pricing later Thurs. 

- Tsy 7Y auction tailed a small bit to 2.126% rate, but drew strong 67.7%

indirects, good 11.54% directs, only small 20.62% for dealers. - Tsys bounced

off earlier session lows around 12:58pm ET amid large 10Y Tsy futures block:

apparent buy done for 10k TYU7 at 125-24+, as was trading 125-24/24+ at post

time. Also were two Tsy futures blocks: 10K FVU7 5Y at 118-02 at 1:5pm ET,

same-time 7K TYU7 at 125-23+. 

- Tsys had earlier pre-auction short set/sales, apparent rate-lock hedging amid

busy high-grade corporate bond issuance: AT&T deal, BNZ $650M 5.25Y, Amex

two-part debt deal and BNZ 5.25Y debt deal. - There was buying of about 10,000

10Y Tsy futures around 125-25/255 near 9:50am ET. Followed weaker NY Tsys open

after overnight 2Y trading flows, morning pre-auction shorts/sales auction and

cash sales in 2Y Tsy to 10Y Tsys. RP: 5Y traded tight, 2Y demand waned though;

others quiet. 

- US swaps ended mixed; Eurodlr futures steady/slightly lower. 

- Economists raised GDP estimate to 2.7% for Friday 8:30am ET report after

digesting durable goods and trade data. 

- TSYS 3pm ET: 2Y 1.355%, 3Y 1.505%, 5Y 1.844%, 7Y 2.110%, 10Y 2.309%, 30Y

2.926%

US TSY FUTURES CLOSE: Tsy futures trading lower, but off session lows due to

large 10k TYU7 block buy just before 7-yr Tsy auction. 2-way flow then seen with

further 5-yr and 10-yr blocks seen. Curve steeper as the long-end underperforms.

Current futures levels: 

* Sep Ultra bonds down 1-01/32 at 163-19 (163-04L/165-00H) 

* Sep 30-yr Bond futures down 20/32 at 152-17 (152-03L/153-13H) 

* Sep 10-yr futures down 6.5/32 at 125-26 (125-21L/126-01.5H) 

* Sep 5-yr futures down 3.5/32 at 118-02.75 (117-31.75L/118-06H) 

* Sep 2-yr futures down 0.5/32 at 108-05 (108-04L/108-05.5H)

US EURODLR FUTURES CLOSE: Trading steady to slightly lower, curve bear-

steepening volume below 30-day average. Light selling seen in the long-end of

the strip during London session, but then some modest buying towards end of NY

session. Current White pack (Jun'17-Mar'18): 

* Sep'17 unch at 98.6650 

* Dec'17 -0.005 at 98.550 

* Mar'18 -0.010 at 98.465 

* Jun'18 -0.010 at 98.400 

* Red pack (Sep'18-Jun'19) -0.010 

* Green pack (Sep'19-Jun'20) -0.010-0.015 

* Blue pack (Sep'20-Jun'21) -0.020 

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

US SWAPS: Spreads are mixed, little changed with the exception of the 2-yr which

is modestly wider with 2-way flow seen overnight. Latest spread levels: 

* 2Y +1.00/24.425 

* 5Y -0.38/7.00 

* 10Y +0.25/-3.75 

* 30Y -0.375/-33.375

US OUTLOOK: US economic data/speaker calendar (prior, estimate):

- Jul 28 *** Q2 GDP (adv) 1.4%/2.7% 8:30am ET

- Jul 28 *** Q2 GDP Price Index 1.9%/1.3% 8:30am ET

- Jul 28 ** Q2 ECI 0.8%/0.6% 8:30am ET

- Jul 28 *** Jul Michigan sentiment index (f) 93.1/93.2 10am ET

- Jul 28 ** Q3 St. Louis Fed Real GDP Nowcast --/-- % 11 a.m. ET

- Jul 28 ** Q3 NY Fed GDP Nowcast --/-- % 11:15 a.m. ET

- Jul 28 MinnFed Kashkari:Guided Q/A Woddbury/StPaul ChCmm Minn Q/A 1:20pm ET

Eurodollar/Treasury option summary

Eurodollar Option flow included:

Blocks:

Pit/screen:

* +3k Short Aug 81/85 strangle at 0.5

* +7.5k Front Dec 82/81 put sprd vs Dec 86/87 call spread at 2.5 vs EDZ7 at

98.585

* +50k Front Sep 86 Puts at 1.5 vs EDU7 at 98.665

* +5k Front Dec 85/83 put spread at 3.25

* -7k Front Nov 85/86 strangle vs Front Mar 83/86 strangle at 5

* -5k Green Mar 70 puts at 1.5 vs EDH20 at 97.94

* +6k Front Mar 83/81 put spread vs EDH8 at 98.445

* +4k Blue Aug 78/77 put spread at 4 vs EDU20 at 97.87

* +5k Short Aug 81/85 strangle at 0.5

* -5k Blur Mar 80/83 call spread at 3.5 vs EDH21 at 97.74

* -2k Short Mar 82 straddle vs Blue Sep 78 straddle at 13

* +1.5k Green Sep 81 Straddle at 17.5

* -2k Front Sep 86 straddle at 6.5 vs EDU7 at 98.66

* -5k Front Sep 86 straddle at 6.5 vs EDU7 at 98.66

* -10k Front Sep 86 puts at 2 vs EDU7 at 98.645

* +2.5k Front Dec 85/83/82 put fly at 2.75 vs EDZ7 at 98.535

* +2.5k Green Oct 77/75 put spread at 2.5 vs Dec19 at 97.995

* +9k Green Sep 78 puts vs Gold Sep 73 puts at 0.5 vs Sep19 at 98.09 & Sep21 at

97.685

US Tsy option flow included:

* 1.12k TYU7 126.50/127.50 2x1 call spread at 24

* 1.54k 10-yr note 4-week (4MN7) 126/126.25 call spread at '02

US Tsy future block recap:

* -13k FVU7 @ 118-04.25 at 2216ET

* +3k USU7 @ 153-09 at 2216ET

* -3,012 UXYU7 @ 135-01+ at 0444ET

* +3.35k FVU7 @ 118-02.75 at 0616:24ET

* +4.3k TYU7 @ 125-27+ at 0616:23ET

* +10k TYU7 @ 125-24+ at 1242ET

* 10k FVU7 @ 118-02 at 1359ET

* 7k TYU7 @ 125-23+ at 1359ET

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

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