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USDCAD TECHS

Impulsive Rally Extends

US TSYS

Late Eurodollar/SOFR/Treasury Option Roundup

EURJPY TECHS

Price Is Below The 50-Day EMA

US

Late Corporate Credit Update

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US TSY SUMMARY: Tsys trades weaker by the bell, near low end moderate range on
heavy volume -- inflated due to massive Sep/Dec roll volume ahead Fri's first
notice, expect heavy volume to carry over into Wed.
- US$ index soft but off lows DXY -.077, 94.702, $/Eur firm +0.0017 1.1695,
$/Yen +.16 111.25; equities mildly higher (emini +1.5, 2900.0); Gold reversing
direction (XAU -10.60, 1200.76); West Texas crude mildly lower (WTI -0.20,
68.67). 
- Data picked up, but little react to jump in Aug Cons Conf 133.5 vs. 126.5 est
(127.4 prior). Second leg Tsy supply Tue w/$37B 5yr auction on the screws --
awarded 2.765% rate vs. 2.765% WI (awarded 2.815% in July; 2.521% avg) w/
bid/cover 2.49 vs. 2.61 previous (2.50 avg).
- While eq's didn't react strongly, rates traded w/risk-on tone as trade
tensions continued to cool day after US/Mexico trade negotiations. Canada's
Trudeau says progress on autos, looks forward to deal "if good for Canada" a
line from Trump's playbook. Tsy cash/ylds: 2Y 99-29.2 (2.665%), 5Y 99-28
(2.775%), 10Y 100-06 (2.882%), 30Y 99-11.5 (3.032%).
US TSY FUTURES CLOSE: Trading lower near the bottom of the range, rollover
continues to inflate volume (TYU 2.95M), Curves steeper; update:
* 2s10s +1.624, 21.681 (18.904L/22.266H);
* 2s30s +1.983, 36.808 (33.956L/37.693H);
* 5s30s +0.910, 25.980 (24.828L/26.723H);
Current futures levels:
* Sep Ultra bonds down 1-00/32 at 158-13 (158-08L/159-16H)
* Sep 30-yr Bond futures down 22/32 at 144-14 (144-10L/145-05H)
* Sep 10-yr futures down 08/32 at 120-03 (120-03L/120-13H)
* Sep 5-yr futures down 4.5/32 at 113-15 (113-15L/113-20.25H)
* Sep 2-yr futures down 01/32 at 105-24 (105-23.75L/105-25.25H)
US TSY FUTURES: Late update, Late update, huge jump in Sep to Dec futures roll
volume ahead first notice date: August 31. September future's staggered
expiration on September 19 for 10s, 30s and Ultras, and September 28 for 2s and
5s. Latest volume:
* TUU/TUZ appr 769.0k, 4.0 last; 56% complete, +9.3% from Mon
* FVU/FVZ appr 1.69M, 7.5 last; 62.3% complete, +18.7%
* TYU/TYZ appr 1.84M, 4.0 last; 56.5% complete, +23.3%
* USU/USZ appr 221.9, 24 last; 57.4% complete, +12.8
* WNU/WNZ appr 230.9k, 9.5 last; 73.3% complete, +15.8%
MONTH-END EXTENSIONS: *** Updated Bloomberg-Barclays US month-end index
extensions compared to the average increase for the past year and the same time
in 2017. TIPS ext -0.03Y, real -0.03Y; Govt inflation-linked, -0.04Y
*.....................Projected...1Y Avg Incr..Last Aug
*US Tsys.................0.11........0.06........0.11
*Agencies................0.18........0.07........0.05
*Credit..................0.06........0.04........0.09
*Govt/Credit.............0.10........0.05........0.10
*MBS.....................0.06........0.05........0.06
*Aggregate...............0.09........0.05........0.09
*Long Govt/Credit........0.11........0.00........0.12
*Interm Credit...........0.06........0.04........0.07
*Interm Govt.............0.09........0.02........0.09
*Interm Govt/Cred........0.08........0.02........0.08
*High Yield..............0.04........0.01........0.08
US EURODOLLAR FUTURES CLOSE: Trading mixed with EDU8 slightly higher and the
rest of the strip lower, light volume. Current White pack (Sep'18-Jun'19):
* Sep'18 +0.0025 at 97.6425
* Dec'18 -0.010 at 97.370
* Jun'19 -0.015 at 97.215
* Jun'19 -0.020 at 97.105
* Red pack (Sep'19-Jun'20) -0.025-0.020
* Green pack (Sep'20-Jun'21) -0.035-0.025
* Blue pack (Sep'21-Jun'21) -0.040-0.030
* Gold pack (Sep'22-Jun'22) -0.035
US DOLLAR LIBOR: Latest settles,
* O/N -0.0040 to 1.9148% (+0.0019 last wk)
* 1 Month +0.0021 to 2.0748% (+0.0033 last wk)
* 3 Month -0.0025 to 2.3147% (+0.0053 last wk)
* 6 Month +0.0052 to 2.5282% (+0.0122 last wk)
* 1 Year  +0.0081 to 2.8281% (+0.0070 last wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 1.95% vs. 1.95% prior, $814B
* Broad General Collateral Rate (BGCR): 1.94% vs. 1.94% prior, $441B
* Tri-Party General Collateral Rate (TGCR): 1.94% vs. 1.94% prior, $414B
US SWAPS: Spds mostly tighter by the bell, spd curve flattened out w/short end
bouncing wider ahead midday while spds out the curve inched tighter early in
second half. Spd volume still rather muted, however. In-line with front end
rebound: 2Y rate payer at 2.840%, 2-way in 10s, 5s7s10s payer fly. Early 2-way
flow in short end, paying 5s on rate and spd. Latest spd levels:
* 2Y  +0.19/17.62
* 5Y  -0.25/13.31
* 10Y -0.44/7.19
* 30Y -0.62/-5.38
PIPELINE: No new corporate issuance Monday, expected to remain light this week
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
08/28 $Benchmark Oesterreichische Kontrollbank (OKB) 3Y +6a
08/28 Talk of Development Bank of Japan 5Y, 10Y Wednesday
OUTLOOK: *** Data/speaker calendar (prior, estimate): 
- Aug 29 24-Aug MBA Mortgage Applications (4.2%, --) 0700ET 
- Aug 29 Q2 GDP (2nd) (4.1%, 4.0%) 0830ET 
- Aug 29 Q2 GDP Price Index (3.0%, 3.0%) 0830ET 
- Aug 29 Jul NAR pending home sales index (106.9, --) 1000ET 
- Aug 29 24-Aug crude oil stocks ex. SPR w/w (-5.84m bbl, --) 1030ET 
- Aug 29 US TSY $17B 1Y-11M FRN NOTE Auction (9128284Y53) 1130ET 
- Aug 29 US TSY $31B 7Y NOTE Auction (9128284Z0) 1300ET 
- Aug 29 Jul farm prices (0.1%, --) 1500ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/Screen:
* 20,000 Dec 81/82 put sprd, on screen
* -10,000 Mar 68/70 put sprd at 1.75
* -5,000 short Nov 68/71 strangle 10.0 over the  short Sep 71c
* +10,000 Long Green Mar 55/58 5x2 put sprd at 1
* +10,000 Red Mar 60/62 2x1 put sprd at 1
* 4,000 Jun 65/66 2x1 put sprd at 0 vs 9714.5/0.05%
* +10,000 Dec 71/72/75/76 call condor at 9
* 10,000 Front Jan/Short Dec 70 put sprd for net 10
* +6,250 Green Dec 72/73 1x2 call sprd at 2
* -10,000 Green Dec 68/70 2x1 put sprd at 2.5
* 9,000 Short Sep 70/71 Strangle at 4.5
* 5,000 Green Dec 67/68/70 put tree at 1
* 5,000 Dec 76/77 call sprd at 0.5
* -5,000 Oct 73 puts at 4
* -5,000 Sep 76 puts at 0.75
Tsy Options, Pit/screen:
Block, 1243:08ET, still offered
* +15,300 TYV 119.5 puts, 13/64 w/
* +4,430 120-00 -- appr 28% delta
* -10,000 TUV 105.375 puts at 0.5
* 5,500 TYX 120.5/121/122 call tree at 0
* just over 2,000 FVV 114/114.25 call spds, 4.5/64
* 5,000 wk5 TY 120.2/120.5/120.7 call trees, 4/64 vs. 120-12.5
* +5,000 (pit/screen) wk5 120.5/121 call spds, 3- to 4/64
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]

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