US TSYS: QUIET CURVE FLATTENING AHEAD JULY FOMC MINUTES

US TSY SUMMARY: Second consecutive quiet session -- no significant data to trade

off of, mkts ignored trial-balloon headlines from Trump re: possible tax breaks

for consumers and ever present calls for rate cuts from Fed even as economy

remains "very strong". Tsys instead tracked EGB moves earlier in react to Italy

headlines, Italian PM Conte anncd resignation late. Accts plying sidelines ahead

Wed's July FOMC minutes and Jackson Hole eco-symposium Friday.

- Session flow included better buying across the curve earlier from variety of

prop, fast- and real$ accts, carry-over buying in long end from bank portfolios,

swap-tied selling in 2s-5s largely deal-tied hedging. Large curve blocks

included: +11,771 TYU 130-19.5, post-time offer vs. -2,687 WNU 193-24, sale

through 193-29 post-time bid adding to couple larger steepener blocks last week.

Large 5s30s flattener: -17,246 FVU 119-13.5, sell through 119-14 post-time bid

vs. +4,001 USU, 165-08, buy-through 165-04 post-time offer.

- Tsy Sep/Dec roll volume starting to pick up inflating session volume. The 2-Yr

yield is down 3.9bps at 1.5062%, 5-Yr is down 5.7bps at 1.4198%, 10-Yr is down

5.9bps at 1.547%, and 30-Yr is down 5.5bps at 2.0328%.

US TSY FUTURES CLOSE: Well bid after the bell but off early morning highs on

modest late summer volume (TYU<1.2M), Tsy yld curves mixed. Update: 

* 3M10Y  -6.676, -36.76 (L: -38.306 / H: -32.199)

* 2Y10Y  -1.272, 4.628 (L: 3.395 / H: 7.191)

* 2Y30Y  -0.541, 53.474 (L: 51.025 / H: 55.737)

* 5Y30Y  +1.026, 61.902 (L: 59.323 / H: 63.468)

Current futures levels:

* Sep 2-Yr futures up 2.25/32 at 107-27.75 (L: 107-25 / H: 107-28.75)

* Sep 5-Yr futures up 6/32 at 119-14.25 (L: 119-06.25 / H: 119-16.5)

* Sep 10-Yr futures up 12.5/32 at 130-26.5 (L: 130-11.5 / H: 130-30.5)

* Sep 30-Yr futures up 28/32 at 165-4 (L: 164-04 / H: 165-13)

* Sep Ultra futures up 1-16/32 at 194-6 (L: 192-18 / H: 194-21)

US TSY FUTURES: *** 30Y roll lagging in latest Sep/Dec roll volume, first notice

date (Dec futures take lead) on August 30. Sep future's staggered expiration on

September 19 for 10s, 30s and Ultras, and September 30 for 2s and 5s. Update:

* TUU/TUZ appr 69,000 from -8.38 to -7.88, -8.38 last, 13% complete;

* FVU/FVZ appr 110,500 from -14.25 to -13.25, -13.75 last, 11% complete;

* TYU/TYZ appr 41,700 from -20.75 to -19.75, -20.5 last, 6% complete;

* USU/USZ appr 1,300 from 25.5 to 26.0, 25.5 last, 8% complete;

* WNU/WNZ appr 21,500 from -31.5 to -31.25, -31 last, 8% complete;

US EURODLR FUTURES CLOSE: Bid after the bell, front end of Whites lagging

balance of strip. Late buyers of Reds (EDU0-EDM1). Current White pack (Sep

19-Jun 20): 

* Sep 19 +0.003 at 97.988

* Dec 19 +0.025 at 98.230

* Mar 20 +0.040 at 98.510

* Jun 20 +0.045 at 98.630

* Red Pack (Sep 20-Jun 21) +0.040 to +0.045

* Green Pack (Sep 21-Jun 22) +0.045 to +0.050

* Blue Pack (Sep 22-Jun 23) +0.045 to +0.050

* Gold Pack (Sep 23-Jun 24) +0.055 to +0.065

US DOLLAR LIBOR: Latest settles

* O/N +0.0016 at 2.0970% (-0.0015/wk)

* 1 Month +0.0014 to 2.1700% (-0.0021/wk)

* 3 Month -0.0020 to 2.1495% (+0.0136/wk)

* 6 Month -0.0055 to 2.0236% (+0.0069/wk)

* 1 Year -0.0049 at 1.9485% (+0.0034/wk)

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

* Daily Effective Fed Funds Rate: 2.13%, volume: $56B

* Daily Overnight Bank Funding Rate: 2.10%, volume: $175B

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

* Secured Overnight Financing Rate (SOFR): 2.11%, $1.241T

* Broad General Collateral Rate (BGCR): 2.10%, $528B

* Tri-Party General Collateral Rate (TGCR): 2.10%, $498B

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

21-Aug 0700 16-Aug MBA Mortgage Applications (21.7%, --)

21-Aug 1000 Jul existing home sales (5.27m, 5.40m)

21-Aug 1030 16-Aug crude oil stocks ex. SPR w/w

21-Aug 1400 Fed releases minutes of July 30-31 FOMC

21-Aug 1830 Mn Fed Pres Kashkari, How Economic Research Informs Policy

PIPELINE: Development Bank of Japan, BoNY Mellon, ERP priced 

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

08/20 $1.8B *Development Bank of Japan $800M 5Y +34.5, $1B 10Y +43.4

08/20 $1B *Bank of New York Mellon 3Y +52

08/20 $600M *ERP 10Y +100, upsized from $400M and launched

08/20 $Benchmark World Bank 5Y +13a

08/20 $Benchmark EBRD 3Y SOFR +26

08/20 $Benchmark BBVA 5Y +110

08/20 $1.5B *NWB (Nederlandse Waterschapbank NV) 2Y +1

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* +20,000 short Sep 85 puts, 4.0 

* -15,000 Dec 77 puts, 1.5 vs. 98.23/0.09%

* +15,000 Oct 83/Green Oct 90 call spd, 0.5 net db steepener

* +34,000 Oct 82 calls vs. -17,000 Dec 81 calls, even to cab cr

* -15,000 Dec 85 calls, 8.0 vs. 98.235/0.25%

* -10,000 Dec 82/85 1x2 call spds, 0.5

Block, 1125:30ET, adds to earlier Block

* 17,500 Dec 81/82 call spds, 6.0 vs. 98.23/0.12%

* 10,000 short Sep 91 calls, 1.5 vs. 98.70/0.10%

* -15,000 short Sep 85/88 call over risk reversals, 1.5 vs. 98.70/0.46%

* 10,000 Dec 80/85/90 call flys, 15.0

* -25,000 Jun 88 calls, 16.5 vs. 98.615/0.36%

* -5,000 Mar 96/97 call strip, 2.0

* 5,000 short Sep 91 calls, 1.5 vs. 98.70/0.10

* +7,500 Dec 77 puts, 1.5 vs. 98.245/0.05%

* -2,000 short Sep 86 straddles, 21.5

Block, 0656:34ET, likely sale/add -25k block Mon

* -15,000 Dec 81/82 call spds, 6.0 vs. 98.225/0.12%

Tsy options:

* 7,000 TYZ 115/115.5 put strip, cab-14

* 1,300 FVX 119.75 straddles, 1-20.5/64

* 1,000 TYZ 130 puts 38/64 over the TYU 131.75 calls

Blocks, 1104:13ET, scale buyer, adds to +42k block buy at 5/64 earlier

* +18,668 TYU 131.75 calls, 4/64

* BLOCK +42,000 TYU 131.75 calls, 5/64 after

* +17,000 TYU 131.75 calls, 4/64, screen volume >30,000

* 5,000 TYV 129.5 puts, 11/64

* -10,000 Jun 88 calls, 16.5 vs. 98.615/0.36%

* -5,000 Mar 96/97 call strip, 2.0

* 5,000 short Sep 91 calls, 1.5 vs. 98.70/0.10

* +2,000 TYZ 133.5/134 call strip, 63/64 vs. 131-07.5/0.48%

* message to acct and executing desk that Block sold 26,223 TYU at 1/64

recently...

paper willing and able to pay 2/64 on screen, w/over 15,000 trading 2/64 after

block

Latest Block, 0744:35ET,

* -26,223 TYU 132 calls, 1/64

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

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