US TSYS: MKTS WALK BACK WK OPENER SLIGHTLY, RISK-OFF COOLS

     US TSY SUMMARY: Mkts walked back wk opener Tuesday, risk-Off cooled

slightly as equities regained some ground (EDU9 +52.0 in late trade) after Mon's

rout. Short end underperformed while bonds see-sawed off lows to near middle of

range, decent volume (TYU>2M), yld curves flatter/off steeper levels in first

half -- large TUU/TYU block underscored move.

- Short end under pressure all day as chances of 50bp cut at Sep FOMC cooled

- Heavy option and related hedging flow traded on day, bearish tone w/better

buyers downside puts, upside call sellers, though some ZIRP insurance hedging

persisted. Implied vols receded after surging Mon.

- Aside from pre-auction short sets, mkt took down decent amount of corporate

high-grade issuance, $13B Occidental Petroleum jumbo 10-tranche lead the days

supply, two-way rate locks/unwinds on day.

- Latest US Tsy $38B 3Y note auction (912828YA2) awarded 1.562% (1.857%

previous) vs. 1.563% WI, bid/cover 2.41 vs. 2.39 previous (3.05 avg).

- The 2-Yr yield is up 1.6bps at 1.5891%, 5-Yr is up 0.3bps at 1.5211%, 10-Yr is

up 0.5bps at 1.7124%, and 30-Yr is down 1.2bps at 2.2423%.

US TSY FUTURES CLOSE: Mkts walked back wk opener Tuesday, risk-Off cooled

slightly as equities regained some ground (EDU9 +47.0 in late trade) after Mon's

rout. Short end underperformed while bonds see-sawed off lows to near middle of

range, decent volume (TYU>2M), yld curves flatter/off steeper levels in first

half. Update:

* 3M10Y  -0.574, -31.055 (L: -35.467 / H: -26.137)

* 2Y10Y  -1.082, 12.142 (L: 11.18 / H: 16.637)

* 2Y30Y  -2.588, 65.318 (L: 63.644 / H: 72.186)

* 5Y30Y  -1.291, 72.34 (L: 71.106 / H: 75.838)

Current futures levels:

* Sep 2-Yr futures down 0.875/32 at 107-24.375 (L: 107-22.625 / H: 107-28.75)

* Sep 5-Yr futures up 0.5/32 at 119-1.75 (L: 118-25.5 / H: 119-10)

* Sep 10-Yr futures up 1.5/32 at 129-28.5 (L: 129-15 / H: 130-10.5)

* Sep 30-Yr futures up 19/32 at 161-10 (L: 160-01 / H: 161-31)

* Sep Ultra futures up 1-15/32 at 186-29 (L: 184-14 / H: 187-24)

US EURODLR FUTURES CLOSE: Finish mixed, short end lagged all session as

aggressive 50p rate cut odds cooled slightly. Current White pack (Sep 19-Jun

20): 

* Sep 19 -0.015 at 97.995

* Dec 19 -0.040 at 98.175

* Mar 20 -0.030 at 98.430

* Jun 20 -0.040 at 98.560

* Red Pack (Sep 20-Jun 21) -0.04 to -0.025

* Green Pack (Sep 21-Jun 22) -0.015 to steady

* Blue Pack (Sep 22-Jun 23) +0.005

* Gold Pack (Sep 23-Jun 24) -0.005 to +0.005

US DOLLAR LIBOR: Latest settles

* O/N -0.0080 at 2.0971% (-0.0072/wk)

* 1 Month -0.0103 to 2.2128% (-0.0158/wk)

* 3 Month -0.0220 to 2.1870% (-0.0523/wk)

* 6 Month -0.0347 to 2.0511% (-0.0818/wk)

* 1 Year -0.0426 at 1.9941% (-0.1217/wk)

US SWAPS: Spds wider by the bell, unwinding appr half Mon's sharp

collapse/inversion extension that leaked back into the short end. Short end

reversed earlier widening, making new all-time inverted low. Decent two-way flow

on net aside from rate locks and pre-auction short sets includes: rate and spd

paying in 2s, 3s, 4s, 5s and 10s earlier, receiving in 3s, 4s, 5s and 7s more

recently, 3s/4s/5s receiver fly in the mix. Latest spd levels (Net change/Mid

lvl):

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

Tue 1500    +0.92/0.20     +2.12/-5.22   +2.25/-9.90    +2.88/-38.97

1200        -0.55/-1.27    +0.97/-6.38   +1.17/-10.97   +1.42/-40.42

1100        +0.35/-0.38    +1.10/-6.25   +1.17/-10.97   +1.22/-40.62

0930        +0.91/0.18     +1.05/-6.30   +1.14/-10.94   +0.43/-41.42

Tue Open    +1.38/0.65     +1.32/-6.02   +1.40/-10.75   +0.65/-41.20

Mon 1530    -2.81/-0.25    -3.06/-6.50   -3.94/-11.69   -4.88/-42.38

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

* Daily Effective Fed Funds Rate: 2.13%, volume: $68B

* Daily Overnight Bank Funding Rate: 2.10%, volume: $183B

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

* Secured Overnight Financing Rate (SOFR): 2.13%, $1.253T

* Broad General Collateral Rate (BGCR): 2.12%, $514B

* Tri-Party General Collateral Rate (TGCR): 2.12%, $493B

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

07-Aug 0700 02-Aug MBA Mortgage Applications (-1.4%, --)

07-Aug 0930 Chicago Fed President Evans hosts a media breakfast in Chicago

07-Aug 1030 02-Aug crude oil stocks ex. SPR w/w

07-Aug 1100 Jul Kansas City Fed LMCI

07-Aug 1300 US Tsy $27B 10Y note auction (912828YB0)

07-Aug 1500 Jun consumer credit ($17.08B, $16.1B) 

PIPELINE: OXY jumbo tranche launched

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

08/06 $13B #Occidental $11-$13B est 10-tranche:

----- $500M 1.5Y +95, $500M 2NC1 +125, $1.5B 2Y +105, $1.5B 3NC1 +120, $2B 3Y

+120

----- $3B 5Y +140, $1B 7Y +160, $1.5B 10Y +185, $750M each 20Y +210 & 30Y +225 

08/06 $600M #PPG Ind WNG $300M 5Y +90, $300M 10Y +110

08/06 $550M *Public Srvc of Colorado WNG 30Y +100

08/06 $300M *UDR 12Y +130

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* +45,000 Mar 75 puts, 0.5

* +20,000 Mar 82/85 call spds 12.0 over -60,000 Mar 80 puts

Blocks, 1333-1351ET

* +12,500 Green Dec 77 puts, 1.0 vs. 98.62/0.05%

* 17,500 Green Dec 76/77 put strips, 1.5 -- adds to +20k in pit

* 20,000 Green Dec 76/77 put strip 1.5 vs. 98.635/0.10%

* +22,900 Dec 78/80 2x1 put spds, 0.5 adds to +17k on screen earlier at 0.75

* 6,000 Green Mar 83/87 strangles, 29.0

* -10,000 Dec 87/97 call spds, 15.25

* 9,250 Green Mar 76/85 1x2 call spds, 42.0 vs

* 18,500 Green Mar 77/85 1x2 call spds, 29.5

Blocks,

* 10,000 Dec 82/83 call spds, 4.0 vs. 98.17/0.11% at 1029:50ET

* 11,000 Dec 80 calls, 24.5 vs. 98.17/0.66% at 1028:22ET

* 20,000 short Sep 82/85 put spds 0.5 over short Sep 88 calls vs. 98.63/0.48%

* 10,250 Red Dec20 92/95 call spds 1.5 over Red Dec'20 77 puts vs. 98.625-.63

* 8,000 short Sep 85 calls, 19.5 vs. 98.63/0.40%

* +5,000 Red Dec 85/90 put over risk reversals, 8.0

* Update, -10,000 Dec 86 calls, 3.75

Block, 0950:30ET,

* +20,000 Red Dec'20 91/95 call spds, 3.5 over Red Dec'20 78 puts

Block, 0856:56ET,

* 40,000 Sep 82 calls, 1.5 vs. 97.99/0.12% vs.

* 20,000 Dec 87 calls, 2.75 vs. 97.175/0.12%

Block, 0849:12ET, blocked earlier on 1x ratio

* 16,000 Green Mar 85/87 call spds, 11.0 vs.

* 24,000 Green Mar 81 puts 4.0

* 10,000 Aug 80 calls, 4.0 on screen

* 5,000 Green Sep 86/87 strangles, 18.0

* 2,000 Green Mar 83 puts, 11.5

Overnight recap including Blocks

* 60,000 Oct 82/85 1x2 call spds, 2.75 vs. 98.205/0.05

* 90,000 Oct 83/85 call spds, 3.25 vs. 98.205/0.10%

* 90,000 Oct 86/87 call spds, 1.25 vs. 98.205/0.5%

* 20,000 Dec 80/81 call spds, 7.5-7.0 vs. 98.20/0.45% Vs.

* 30,000 Dec 78 puts, 4.0

* 15,000 Green Mar 85/86 call spds 4.0 over Green Mar 80 puts vs. 98.65/0.20%

* 5,000 Dec 80/81 call spds 5.0 over Dec 77 puts vs. 98.645/0.35%

Tsy options:

* -7,500 TYU 128.5/130 call spds, 54/64

* -4,000 TYV 130/131 call spds, 24/64 vs. 129-19/0.15%

* another -3,000 TYV 130/131 call spds 3/64 over TYX 132/133 call spds

* -2,000 TYU 126.5/128.5 put spds, 9/64 vs. 129-19/0.18%

* Update, -3,500 TYU 128/131 call over risk reversals, 7/64

* over 4,000 TYU 129/129.5 put spds, 14/64

* over 17,000 TYU 130 calls overnight from 52- to 28/64

Block recap:

* 5,000 USU 161.5/163 call spds, 10/64

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

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