US TSYS: RATE RALLY AS GOOD GDP MISSES INFLATED EXPECTATIONS

US TSY SUMMARY: Tsys finish higher/ off top end of range ahead next wk's policy

annc from Fed, BoE, BoJ; July NFP next Fri. Futures gained upward momentum

second half as US$ trades lower w/eq's caving on program selling, along w/crude,

potential month end cross asset flow. Note, VIX rallied but off session highs

(+1.29, 13.43, 14.26H).

- Ylds fell after Q2 adv GDP gained +4.1% -- but +4.4% (est) or higher expected

after Pres. Trump telegraphed since Sunday. GSP up from an upward revised +2.2%

(prev +2.0%) in Q1, as the GDP price index +3.0% vs +2.1% expected and +2.0% in

Q1.

-  US$ index reversed direction, DXY -.123 to 94.6662; US$/Yen weaker, -.22 to

111.01 (111.25H/110.80L); equities off lows (emini -23.5, 2819.5, 2808.75L);

gold steady (XAU +0.08, 1222.72); West Texas crude slides (WTI -0.77, 68.84).

- Decent first half trade, short cover/outright buying post data, two-way curve

flow, rather decent swap-tied flow w/spds forging wider amid heavier rate paying

in front end, heavier upside option trade. Tsy cash/ylds: 2Y 99-28.75 (2.673%),

5Y 99-17.25 (2.848%), 10Y 99-08 (2.962%), 30Y 100-21 (3.090%).

US TSY FUTURES CLOSE: Trading firmer, near middle session range, moderate volume

(TYU 1.12M), curves mixed, updates:

* 2s10s -1.043, 28.043 (27.267L/30.055H);

* 2s30s -0.478, 40.948 (39.226L/42.393H);

* 5s30s +0.068, 23.910 (22.709L/24.561H);

Current futures levels:

* Sep Ultra bonds up 10/32 at 156-23 (156-05L/157-05H)

* Sep 30-yr Bond futures up 09/32 at 142-31 (142-16L/143-08H)

* Sep 10-yr futures up 03/32 at 119-14 (119-08L/119-16.5H)

* Sep 5-yr futures up 1.5/32 at 113-04 (113-01L/113-5.25H)

* Sep 2-yr futures up 0.5/32 at 105-21.75 (105-20.75L/105-22H)

MONTH-END EXTENSIONS: *** UPDATED Bloomberg-Barclays US month-end index

extensions compared to the average increase for the past year and the same time

in 2017. TIPS ext 0.11Y, real 0.14Y; Govt inflation-linked, 0.11Y

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

*US Tsys.................0.06........0.06........0.10

*Agencies................0.08........0.07........0.05

*Credit..................0.05........0.04........0.06

*Govt/Credit.............0.06........0.05........0.08

*MBS.....................0.07........0.05.......-0.04

*Aggregate...............0.06........0.05........0.04

*Long Govt/Credit........0.07........0.00........0.04

*Interm Credit...........0.06........0.04........0.03

*Interm Govt.............0.06........0.02........0.05

*Interm Govt/Cred........0.07........0.02........0.05

*High Yield..............0.07........0.01.......-0.03

US EURODOLLAR FUTURES CLOSE: Trading steady/mixed in short end, slightly higher

out the strip. Current White pack (Sep'18-Jun'19):

* Sep'18 0.000 at 97.570

* Dec'18 0.000 at 97.330

* Jun'19 +0.005 at 97.175

* Jun'19 +0.000 at 97.055

* Red pack (Sep'19-Jun'20) EVEN

* Green pack (Sep'20-Jun'21) +0.010-0.005

* Blue pack (Sep'21-Jun'21) +0.015

* Gold pack (Sep'22-Jun'22) +0.015-0.010

US DOLLAR LIBOR: Latest settles,

* O/N -0.0056 to 1.9116% (-0.0019/wk)

* 1 Month +0.0051 to 2.0767% (+0.0077/wk)

* 3 Month +0.0035 to 2.3423% (+0.0008/wk)

* 6 Month +0.0012 to 2.5298% (+0.0056/wk)

* 1 Year +0.0047 to 2.8213% (+0.0197/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.90% vs. 1.87% prior, $784B

* Broad General Collateral Rate (BGCR): 1.89% vs. 1.86% prior, $387B

* Tri-Party General Collateral Rate (TGCR): 1.89% vs. 1.86% prior, $376B

US SWAPS: Spds have marched wider w/wings still outpacing intermediates since

the open on rather decent flow on the day though volume moderated late. Midday

flow includes nearly $1B nominal payer in 2s around 2.879-.88%, payer in 10s at

3.01575%, steepeners in 2s5s and 5s10s, mixed fly action: 2s8s9s receiving

belly, 3s4s5s paying bell. Earlier flow included $300M payer 1s (2.6689%),

receiver 2s (2.8775%), 2s10s and 5s7s flatteners, 2s3s steepener, 2s5s7s

fly/receiving belly. Latest spd levels:

* 2Y  +0.88/20.12

* 5Y  +0.38/12.25

* 10Y +0.94/5.88

* 30Y +1.19/-5.81

PIPELINE: $12.7B priced on week

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

No new issuance early Friday

-

$1.35B priced Thursday

07/26 $850M *Comerica 5Y +85

07/26 $500M *Industrial Bank of Korea 3Y FRN L+60

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

- Jul 30 Jun NAR pending home sales index (105.9, --) 1000ET

- Jul 30 Jul Dallas Fed manufacturing index (36.5, --) 1030ET

- Jul 30 Jun farm prices (1.7%, --) 1500ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* +8,000 Oct 71 puts at 0.5

Block, 10:34:55ET,

* +42,901 Dec 75/76 put sprd for net 11

* 17,750 Red Jun 61/65 3x1 put sprd at 0

* -6,000 Short Dec 70 Straddle at 30.5 vs 9692.5/0.12%

* -10,000 Red Sep 65/66 2x1 put sprd at 0.5

* 10,000 Green Dec 67 puts at 9 vs 9695/0.32%, adding to recent 20k block

Block, 0917:50ET, post-time bid

* 20,000 Green Dec 67 puts, 9.0 vs. 96.95/0.32%

* 4,500 Short Oct 65/67/70 put fly at 8 vs 9692.5/0.20%

Tsy options, Pit/screen:

* +8,000 FVU 114/114.5 call spds, 15/64

Block, 1148:04ET, position build 120 call (OI 298k)

* +30,600 TYU 120/121 call spds, 11/64 vs. 119-13.5/0.22%

* +15,000 TYU 122.5/123 call strips, 2/64

* +6,200 TUU 105.87 calls, 2.5/64

* 3,000 TYQ 119.5 calls, 1/64 -- August options expire today

* 1,000 TYU 117.5/118.5 put spds, 7/64

* 1,500 TYU 119.5 straddles, 57/64

* 1,000 wk2 TY 118/120.5 put over risk reversals, 1/64 vs. 119-08

* 1,500 TYV 115.5/117 put spds, 5/64

* 5,000 TYU 117.5/118.5 put spds, 6/64 vs. 119-16/0.15%

* 1,000 TYU 119.5 calls, 27/64

* +7,000 TYX 117/121 put over risk reversals, 1/64 vs. 119-00

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

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