US TSYS: POLICY TRIO IN REAR VIEW, NONFARM PAYROLLS NEXT UP

US TSY SUMMARY: Tsy trading slightly higher into the bell, volume slowed down in

the latter half of the day(TYU 1.18M), yld curves mixed; an unscheduled BOJ

buying ops supported the firming of TSY this morning, Italy and Greek yds vs.

Bunds moved wider supporting TSY, light data today with factory orders coming in

spot on and jobless claims in line with expectations; looking ahead tomorrow

non-farm payrolls leads headlines with a 190k est.

-US$/Yen climbing near session high after trading lower all day (JPY -0.02,

111.71, 111.74H/111.32L)

-Made new session highs late: Equities (+16.00, 2,826.75); DXY (+.498, 95.159) 

-West Texas Crude higher (WTI +1.29, 68.95) possibly tied to softening of

emissions; Gold falling (XAU -7.13, 1208.82)

-Modest flow volumes, two-way positioning ahead Fri's NFP, light deal-tied flow

in 5s-7s, rate paying in 10s.

-Tsy cash/ylds: 2Y 99-29.5 (2.661%), 5Y 99-17 (2.850%), 10Y 99-02.5 (2.982%),

30Y 100-04(3.118%).

US TSY FUTURES CLOSE: Trading slightly higher, decent volume (TYU 1.18M), middle

of the range, Curves mixed; update:

* 2s10s -0.432, 32.045 (30.336L/33.131H);

* 2s30s +0.402, 45.453 (42.869L/46.668H);

* 5s30s +1.235, 26.773 (24.755L/27.236H);

Current futures levels:

* Sep Ultra bonds up 05/32 at 155-28 (155-14L/156-14H)

* Sep 30-yr Bond futures up 07/32 at 142-14 (142-02L/142-25H)

* Sep 10-yr futures up 05/32 at 119-10.5 (119-03.5L/119-12H)

* Sep 5-yr futures up 3.75/32 at 113-04 (112-31.5L/113-04.25H)

* Sep 2-yr futures up 01.5/32 at 105-22.75 (105-21.25L/105-23H

US EURODOLLAR FUTURES CLOSE: Trading slightly higher, Reds and Greens leading

the strip, top of a tight range. Current White pack (Sep'18-Jun'19):

* Sep'18 +0.010 at 97.575

* Dec'18 +0.010 at 97.325

* Jun'19 +0.015 at 97.175

* Jun'19 +0.015 at 97.055

* Red pack (Sep'19-Jun'20) +0.025-0.015

* Green pack (Sep'20-Jun'21) +0.025-0.020

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

* Gold pack (Sep'22-Jun'22) +0.015 

TECHNICALS: 

US DOLLAR LIBOR: Latest settles,

* O/N -0.0046 to 1.9202% (-0.0006/wk)

* 1 Month -0.0020 to 2.0801% (+0.0034/wk)

* 3 Month -0.0077 to 2.3405% (-0.0018/wk)

* 6 Month -0.0031 to 2.5305% (+0.0007/wk)

* 1 Year -0.0044 to 2.8277% (+0.0064/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.88% vs. 1.93% prior, $786B

* Broad General Collateral Rate (BGCR): 1.86% vs. 1.91% prior, $396B

* Tri-Party General Collateral Rate (TGCR): 1.86% vs. 1.91% prior, $384B

US SWAPS: Choppy day on narrow range for US Swaps, spds mixed by the bell after

curve flipped from steeper to flatter by midday. Highlight flow includes two-way

in 3s and 5s, payers in 10s around 3.0618-3.0638% and 2s5s and 5s10s steepeners.

Mild deal-tied flow not expected to pick up until next week. Latest spd levels:

* 2Y  +0.12/22.00

* 5Y  +0.19/14.12

* 10Y -0.03/7.06

* 30Y -0.31/-4.75

PIPELINE: Corporate issuance remains muted on the week

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

08/02 $600M Pacific Gas & Electricity $300M 5Y, $300M 10Y

08/02 $500M DTE Energy 5Y +110a

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

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

- Aug 03 Jul nonfarm payrolls (213k, 190k) 0830ET

- Aug 03 Jul private payrolls (202k, 200k) 0830ET

- Aug 03 Jul unemployment rate (4.0%, 3.9%) 0830ET

- Aug 03 Jul average hourly earnings (0.2%, 0.3%) 0830ET

- Aug 03 Jul average workweek, all workers (34.5hrs, 34.5H) 0830ET

- Aug 03 Jun trade balance (-$43.1B, -$45.6B) 0830ET

- Aug 03 Jul Markit Services Index (final) (56.2, --) 0945ET

- Aug 03 Jul ISM Non-manufacturing Index (59.1, 58.5) 1000ET

- Aug 03 Q2 St. Louis Fed Real GDP Nowcast 1100ET

- Aug 03 Q2 NY Fed GDP Nowcast 1115ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 4,000 Short Oct 71 calls at 2 vs 9693.5/0.22%

* +20,000 Green Dec 68 calls vs. Blue Dec 71 calls, 10.0 net debit on

conditional bull curve steepener

* 20,000 short Dec 63/65/66/67 put condors, 2.5 net vs. 96.88/0.05%

* +5,000 long Blue Mar 57 puts, 5.5

* 2,000 long Blue Jun 56/61 5x2 put spds, 0.0

* appr 3,400 short Mar 68 straddles on screen at 39.5

* 4,000 Green Aug/Green Sep 70 calls at

UPDATE: Total -15,000 Green Oct 68 Straddle at 23

* 20,000 Green Sep 66/73 Strangle vs 9692/0.04% vs Short Sep 71 calls vs

9698/20% for net 1 , buying the short Sep calls

US TSY OPTIONS: Latest trade,

* +5,000 wk3 TY 117 puts, 1/64

* 1,800 wk1 TY 119.5 calls, 5/64 vs. 119-10.5/0.30%

* +1,250 FVU 113 straddles, 31/64 -- ongoing buyer on week

* -1,000 TYU 119.25 straddles, 52/64

* 1,000 FVU 113.75/114.25 call spds on screen

* 2,000 TYU 118 puts, 5/64 vs. 119-07/0.12%

* 1,000 TYU 119.5/120/120.5 call flys, 5/64

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

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