US TSYS: QUIET START TO WEEK AFTER SMOOTH G7

US TSY SUMMARY: Rates weaker across the board by the bell vs. sharply higher

levels early overnight (when everything but 30Y tapped new low yields for latest

cycle). Equities looking to settle modestly higher after recovering in early

London trade on heels of G7 summit that sounded more conciliatory re: US/China

trade tensions (but lacked real change).

- Tsys futures running at/near late session lows. Despite decent volume

(TYU>2.6M; 5Y>2M) driven by Sep/Dec rolls, trade rather muted. Yld curves mixed,

3M10Y and 2Y10Y new 12 year lows.

- Eurodollar futures lower across the strip, at/near late session lows, short

end underperforming/scaling back Fri's strong bid.

- Lack of corporate deal-tied hedging, while markets did see light pre-auction

short sets ahead week's 2-, 5- nad 7Y note auctions.

- The 2-Yr yield is up 0.8bps at 1.5412%, 5-Yr is up 0.5bps at 1.422%, 10-Yr is

up 0.3bps at 1.5384%, and 30-Yr is up 1.4bps at 2.0388%.

US TSY FUTURES CLOSE: Weaker across the board by the bell vs. sharply higher

levels early overnight (when everything but 30Y tapped new low yields for latest

cycle). Lvls running at/near late session lows. Despite decent volume (TYU>2.6M;

5Y>2M) driven by Sep/Dec rolls, trade rather muted. Yld curves mixed, 3M10Y and

2Y10Y new 12 year lows. Update: 

* 3M10Y  -1.875, -44.99 (L: -53.813 / H: -43.713)

* 2Y10Y  -0.833, -0.853 (L: -1.905 / H: 1.841)

* 2Y30Y  +0.22, 49.214 (L: 47.317 / H: 52.346)

* 5Y30Y  +0.584, 61.21 (L: 58.663 / H: 63.715)

Current futures levels:

* Sep 2-Yr futures down 1.625/32  at 107-24.125 (L: 107-23.5 / H: 107-30.625)

* Sep 5-Yr futures down 2.5/32  at 119-12 (L: 119-10.25 / H: 119-27.25)

* Sep 10-Yr futures down 3.5/32  at 130-27 (L: 130-24 / H: 131-19.5)

* Sep 30-Yr futures down 10/32  at 165-7 (L: 165-02 / H: 167-15)

* Sep Ultra futures down 18/32  at 194-8 (L: 194-03 / H: 197-28)

US TSY FUTURES: *** Late update, heaviest Sep/Dec roll volume yet. 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 979,000 from -8.88 to -8.12, -8.62 last; 47% complete

* FVU/FVZ appr 1,209,000 from -14.75 to -14.25, -14.75 last; 37% complete

* TYU/TYZ appr 994,300 from -21.5 to -21.0, -21.25 last; 35% complete

* UXYU/UXYZ appr 205,000 from -21.0 to -20.75, -20.75 last; 34% complete

* USU/USZ appr 228,100 from 24.75 to 26.0, 25.0 last; 40% complete

* WNU/WNZ appr 293,300 from -1-00.5 to -31.0, -1-00.25 last; 33% complete

US EURODLR FUTURES CLOSE: Lower across the strip, at/near late session lows,

short end underperforming/scaling back Fri's strong bid. Current White pack (Sep

19-Jun 20): 

* Sep 19 -0.033 at 97.948

* Dec 19 -0.045 at 98.175

* Mar 20 -0.035 at 98.455

* Jun 20 -0.035 at 98.580

* Red Pack (Sep 20-Jun 21) -0.035 to -0.025

* Green Pack (Sep 21-Jun 22) -0.02 to -0.015

* Blue Pack (Sep 22-Jun 23) -0.02

* Gold Pack (Sep 23-Jun 24) -0.02 to -0.015

MONTH-END EXTENSIONS: Preliminary Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2018; TIPS 0.12Y; Govt inflation-linked, 0.10Y

*.....................Projected...1Y Avg Incr..Last Year

*US Tsys.................0.12........0.08........0.11

*Agencies...............-0.02........0.07........0.18

*Credit..................0.07........0.09........0.06

*Govt/Credit.............0.09........0.09........0.10

*MBS.....................0.04........0.07........0.06

*Aggregate...............0.08........0.08........0.09

*Long Govt/Credit........0.12........0.10........0.11

*Interm Credit...........0.05........0.08........0.06

*Interm Govt.............0.09........0.08........0.09

*Interm Govt/Cred........0.08........0.08........0.08

*High Yield..............0.08........0.09........0.04

US DOLLAR LIBOR: Settles resume Tuesday

US SWAPS: Spds running mildly wider, long end inching off early narrows. Light

flow on net, receivers in 2s and 3s, payers in 5s (1.3589%), 4s5s7s receiver

fly. Deal-tied flow absent. Latest spd levels:

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

1300        +0.12/-0.88    +0.12/-5.12   +0.19/-8.31    +0.38/-38.75

1115        +0.25/-0.75    +0.25/-5.00   +0.00/-8.50    +0.06/-39.06

0930        +0.44/-0.56    +0.12/-5.12   -0.25/-8.75    +0.00/-39.12

Mon Open    +0.56/-0.44    +0.06/-5.19   -0.38/-8.88    -0.12/-39.25

Fri 1500    -0.75/-1.06    -0.69/-5.38   -0.38/-8.75    -1.00/-39.75 

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

* Daily Effective Fed Funds Rate: 2.12%, volume: $68B

* Daily Overnight Bank Funding Rate: 2.10%, volume: $173B

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

* Secured Overnight Financing Rate (SOFR): 210%, $1.130T

* Broad General Collateral Rate (BGCR): 2.07%, $503B

* Tri-Party General Collateral Rate (TGCR): 2.07%, $481B

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

27-Aug 0855 24-Aug Redbook retail sales m/m (-1.7%, --)

27-Aug 0900 Jun FHFA Home Price Index (0.1%, 0.2%)

27-Aug 0900 Q2 FHFA Quarterly Home Prices (1.1%, 0.2%)

27-Aug 0900 Jun Case-Shiller Home Price Index (216.94, 218.02)

27-Aug 1000 Aug Richmond Fed Mfg Index (-12, -2)

27-Aug 1000 Aug Conference Board confidence (135.7, 129.0)

27-Aug 1030 Aug Dallas Fed services index (4.7, --)

27-Aug 1300 US Tsy $40B 2Y note auction (91288YC8)

PIPELINE: Limited issuance expected this week, appr $5B est

Texas Instruments 10Y priced

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

08/26 $750M *Texas Instruments 10Y +75

Chatter of coming issuance:

08/?? $Benchmark HSBC Bank Canada 

08/?? $Benchmark Export/Import Bank of India

08/?? $Benchmark Ontario Teachers Finance Trust

08/?? $Benchmark T-Mobile US

Eurodollar/Tsy options:

Eurodollar options, Pit/screen: 

* -19,750 Oct 82/85 call spds vs. +Dec 82 calls, 9.0 net/Dec over vs.

98.205/0.20

* +15,000 Mar 92 calls, 4.5 vs. 98.475/0.10%

* -5,000 Oct 80/short Sep 85 put strip, 6.25

* +4,000 Dec 82/83 call spds cab over Dec 78 puts

* +7,500 Oct/Dec 82 call spds, 4.75/Dec over

* +5,000 Jun 87 calls, 21.0

* +5,000 Red Sep 87 calls, 28.5

* +15,000 Green Dec 85 puts, 7.5 vs. 98.795/0.26%, adds to 10k Block

* +15,000 Mar 86/88 call spds, 7.0 vs. 98.505/0.14%

* +12,000 Dec 86/88/91 call flys, 1.5 on screen

* -15,000 Oct 80 puts, 3.75 vs. 98.205/0.22%

* Update, over +20,000 Mar 92 calls, 5.0-5.5

* Update, total +50,000 Jan 87/90 call spds, 5.5 vs.

* Update, total -50,000 Jan 81/82 put spds 4.0 

Block, 1015:1ET,

* +10,000 Green Dec 85 puts, 7.5 vs. 98.795/0.26%

* Update, over 26,000 (pit/screen) Sep 81/82/83 call flys on screen, .75

* -24,000 Mar 81/82 put spds, 4.0 vs. 98.48/0.10%

* Update, total +22,000 Green Dec 80 puts, 1.5

* +20,000 Dec 86/88/91 call flys, 1.25-1.5

* +25,000 Green Dec 80 puts, 1.5 vs. 98.755/0.05%

Overnight Blocks

* total 10,000 Green Mar 88/93 call spds 12.0-11.5 over Green Mar 82 put

Tsy options

* 4,200 FVV 118.75/119 put spds, 3/64

* +2,000 TYV/TYZ 132 calls, 34/64 vs. 131-24

Block, 0831-0911ET, adds to 4,200 in pit

* total 40,000 FVV 119 puts, 7.5/64 vs. 120-00 to -00.2/0.18%

* 2,350 TYV 131 calls, 1-6/64  vs. 131-20

* 2,000 TYZ 126/129 put spds, 19/64

* 1,000 TYV/TYX 131 put spds, 20/64 vs. 131-18

* 5,800 USV 158/160.5/162.5 put trees, 25/64

Overnight recap:

* +20,000 TYV 119.5 puts, 12/64

* Block -10,000 TYV 131.5/133 2x3 call spds, 44/64

* Block -10,000 USV 171 calls vs. +20,000 USV 160.5/162.5 put spds, 1/64

net/call over

* Block +10,000 FVV 118.5/118.75/119 1x1x2 put trees, 6/64 net

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

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