US TSYS: NONFARM PAYROLLS DISSAPOINTS/PBOC JOLTS CURRENCIES

US TSY SUMMARY: Tsys traded mildly higher into the bell, curves mixed; data

today was highlighted by nonfarm payrolls coming in lower than expected at +157k

vs +190 est., revisions made expectations; ISM non-manufacturing index came in

weaker than expected at 55.7 vs 58.6 exp.

- WTI fell this afternoon in react to Bbg headline "Saudi Arabia Is Said to Have

Pumped 10.3M B/D of Crude in July" -- a little less than June but "volume

produced was 10.29m b/d and the volume supplied to the market, including crude

drawn from stocks, was 10.38m b/d, one delegate says". Has since pared losses

West Texas crude (WTI -0.38, 68.58).

-CHINA: PBOC announces higher reserve requirement for FX forwards, from 0% to

20%

-DXY -.031 to 95.139; US$/Yen fell this morning to new lows, -.43 to 111.22

(111.87H/111.10L); equities higher (emini +9.50, 2,838.00); gold stronger (XAU

+6.00, 1213.81); Tsy cash/ylds: 2Y 99-30.5 (2.645%), 5Y 99-21.5 (2.819%), 10Y

99-09.5 (2.956%), 30Y 100-14(3.101%)

US TSY FUTURES CLOSE: Trading mildly higher near session highs, decent volume

(TYU 1.2M), Curves mixed; update:

* 2s10s -1.689, 30.356 (29.913L/31.979H);

* 2s30s -0.714, 44.577 (43.587L/45.376H);

* 5s30s +1.486, 27.677 (25.582L/28.215H);

Current futures levels:

* Sep Ultra bonds up 25/32 at 156-21 (155-23L/156-22H)

* Sep 30-yr Bond futures up 18/32 at 143-00 (142-09L/143-02H)

* Sep 10-yr futures up 09/32 at 119-19.5 (119-07.5L/119-20H)

* Sep 5-yr futures up 5.5/32 at 113-09.5 (113-02L/113-09.75H)

* Sep 2-yr futures up 1.25/32 at 105-24 (105-21.75L/105-24H)

US EURODOLLAR FUTURES CLOSE: Trading slightly higher at or near session highs,

moderate volume, Current White pack (Sep'18-Jun'19):

* Sep'18 +0.010 at 97.585

* Dec'18 +0.005 at 97.330

* Jun'19 +0.010 at 97.185

* Jun'19 +0.015 at 97.070

* Red pack (Sep'19-Jun'20) +0.035-0.025

* Green pack (Sep'20-Jun'21) +0.040-0.035

* Blue pack (Sep'21-Jun'21) +0.035

* Gold pack (Sep'22-Jun'22) +0.035-0.030

TECHNICALS: 

US DOLLAR LIBOR: Latest settles,

* O/N -0.0052 to 1.9150% (-0.0058/wk)

* 1 Month -0.0008 to 2.0793% (+0.0026/wk)

* 3 Month +0.0025 to 2.3430% (+0.0007/wk)

* 6 Month -0.0058 to 2.5247% (-0.0051/wk)

* 1 Year -0.0004 to 2.8273% (+0.0060/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.91% vs. 1.88% prior, $781B

* Broad General Collateral Rate (BGCR): 1.90% vs. 1.86% prior, $392B

* Tri-Party General Collateral Rate (TGCR): 1.90% vs. 1.86% prior, $381B

US SWAPS: US SWAPS: Spds still running mostly wider, holding narrow range w/

short end bucking move since well before the open. Moderate two-way flow

includes $500M 1Y receiver (2.662%), receiving 2s5s10s fly; curve flow: 4s5s and

5s10s flatteners, 3s4s, 3s5s and 5s10s steepeners. No notable deal-tied hedging.

Latest spd levels:

* 2Y  -0.25/22.06

* 5Y  +0.62/14.75

* 10Y +0.38/7.38

* 30Y +0.38/-4.38

PIPELINE: Corporate issuance remains muted

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

No new issuance Friday, $7.7B priced on week

-

$1.3B priced Thursday

08/02 $800M *Pacific Gas & Electricity, upsized: $500M 5Y +145, $300M 10Y +170

08/02 $500M *FS Energy & Power 5NC

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

- Aug 06 Jul ETI (108.94, --) 1000ET

- Aug 06 US Tsy $51B 13Wk bill auction 1130ET

- Aug 06 US Tsy $45B 26Wk bill auction 1130ET

- Aug 06 Jul Treasury STRIPS Holdings 1500ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 5,000 Green Dec 68 puts, 13.0 vs. 96.95/0.40%

* 5,000 Blue Dec 68 puts, 13.0 vs. 96.945/0.40%

* +10,000 short Dec 63/65/66/67 put condors, 2.5 vs. 96.87/0.05

* +4,000 short Oct 71 calls, 4.0

* -2,500 Dec 71/72 put spds, 2.75

* +2,500 Sep 76/77 put spds, 11.5

* 5,000 Short Sep 72/75 call sprd at 1 vs 9699.5/0.10%

* +7,000 Red Sep 62/65 3x1 put sprd at 0.5

* 4,000 Sep 76/78 2x1 put sprd at 18

* 3,000 Short Sep 71/73 call sprd at 2 vs 9698.5/0.18%

* -3,000 Short Sep 68/70 1x2 call sprd at 1.25

US TSY OPTIONS: Latest trade,

* 5,000 TYV 117/117.5 put spds, 3/64

* 2,500 TYU 117.5/118.5 put spds, 4/64 vs. 119-15.5 to -16

* +1,000 FVU 113 puts, 10/64vs. 113-04.75

* 1,314 FVZ 111/112/112.5 2x1x1 put trees, 0.5 net/2-legs over

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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