US TSYS: RIP NAFTA, RISK-ON

US TSY SUMMARY: Tsys trade weaker/just off session lows by the bell, light

volume if you take away all the roll-related spds ahead Dec taking lead Fri. 

- Risk-on, eq's gained as Trump admin annc new trade deal w/Mexico; still

negotiating w/Canada. Note auction: $36B 2Y stopped out, awarded a 2.655% rate

vs. 2.655 WI (2.657% previous) w/bid/cover 2.89 vs. 2.92 previous (2.84 avg).

Second leg Tsy supply Tue w/$37B 5yr auction; $17B 1Y11M FRN and $31B 7yr

auctions Wed.

- US$ index little weaker DXY -.362, 94.784, $/Eur firm +0.0056 1.1678, $/Yen

off -.16 111.08; equities new highs, emini +20, 2896.75; Gold firm (XAU +3.68,

1209.58); West Texas crude firm (WTI +0.15, 68.87). 

- Quiet start w/no lead-in from London closed for national bank holiday (U.S.

markets closed next Mon for Labor Day). No data today -- picks up Tue

w/inventory and trade gap numbers, Redbook retail sales, Case-Shiller Home Price

Index and Aug Cons Conf, 126.5 est vs. 127.4 prior).

- Tsy cash/ylds: 2Y 99-30.7 (2.641%), 5Y 100-00.75 (2.743%), 10Y 100-07.5

(2.846%), 30Y 100-02.5 (2.995%).

US TSY FUTURES CLOSE: Trading moderately, lower near the bottom of the range,

volume (TYU 1.50M), Curves steeper; update:

* 2s10s +1.307, 20.057 (18.301L/20.657H);

* 2s30s +1.249, 34.904 (33.085L/35.244H);

* 5s30s +0.655, 25.150 (24.124L/25.253H);

Current futures levels:

* Sep Ultra bonds down 18/32 at 159-14 (159-11L/160-16H)

* Sep 30-yr Bond futures down 14/32 at 145-05 (145-02L/145-29H)

* Sep 10-yr futures down 05/32 at 120-11.5 (120-10L/120-21H)

* Sep 5-yr futures down 2.5/32 at 113-19.75 (113-18.5L/113-24H)

* Sep 2-yr futures down 0.75/32 at 105-25 (105-24.75L/105-26.25H)

US TSY FUTURES: Late update, decent Sep to Dec futures roll volume ahead first

notice date: August 31. September future's staggered expiration on September 19

for 10s, 30s and Ultras, and September 28 for 2s and 5s. Latest volume:

* TUU/TUZ appr 565.2k from 3.75-4.25, 4.0 last; 

* FVU/FVZ appr 837.2k from 7.25-7.75, 7.5 last; 

* TYU/TYZ appr 530.6k from 3.5-3.75, 3.75 last;

* USU/USZ appr 191.5, 24.25 last;

* WNU/WNZ appr 185.5k, 10.0 last;

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 -0.03Y, real -0.03Y; Govt inflation-linked, -0.04Y

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

*US Tsys.................0.11........0.06........0.11

*Agencies................0.18........0.07........0.05

*Credit..................0.06........0.04........0.09

*Govt/Credit.............0.10........0.05........0.10

*MBS.....................0.06........0.05........0.06

*Aggregate...............0.09........0.05........0.09

*Long Govt/Credit........0.11........0.00........0.12

*Interm Credit...........0.06........0.04........0.07

*Interm Govt.............0.09........0.02........0.09

*Interm Govt/Cred........0.08........0.02........0.08

*High Yield..............0.04........0.01........0.08

US EURODOLLAR FUTURES CLOSE: Trading slightly lower across the strip near the

bottom of a tight range, parallel shift across reds through golds, light volume.

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

* Sep'18 -0.0075 at 97.6400

* Dec'18 -0.015 at 97.380

* Jun'19 -0.015 at 97.235

* Jun'19 -0.015 at 97.130

* Red pack (Sep'19-Jun'20) -0.025-0.020

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

* Blue pack (Sep'21-Jun'21) -0.025-0.020

* Gold pack (Sep'22-Jun'22) -0.025-0.020

US DOLLAR LIBOR: No settles today due to London bank holiday.

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

* Secured Overnight Financing Rate (SOFR): 1.95% vs. 1.94% prior, $773B

* Broad General Collateral Rate (BGCR): 1.94% vs. 1.92% prior, $427B

* Tri-Party General Collateral Rate (TGCR): 1.94% vs. 1.92% prior, $407B

US SWAPS: Spds mostly wider by the bell, off midday highs, spd curve flatter vs.

steeper Tsy yld curves. Muted overall volume on day, flow includes 3s5s7s

receiver fly and 2s7s flattener late, flatteners in 3s and 4s vs. 5s, 2s5s10s

and 3s5s10s receiver flys, rate paying in 2s (2.809%) earlier. Latest spd

levels:

* 2Y  +0.31/18.25

* 5Y  +0.12/13.62

* 10Y +0.06/7.81

* 30Y +0.00/-4.75

PIPELINE: Quiet start to the week

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

No new corporate issuance, expected to remain light this week

- 

No new issuance Friday, $3.75B last week

-

$1.25B Priced Thursday

08/23 $1.25B #JP Morgan 2NC1 FRN L+23

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

- Aug 28 Jul advance goods trade gap (-$67.9B, --) 0830ET

- Aug 28 Jul advance wholesale inventories 0830ET

- Aug 28 Jul advance retail inventories 0830ET

- Aug 28 25-Aug Redbook retail sales m/m (0.2%, --) 0855ET

- Aug 28 Jun Case-Shiller Home Price Index (0.2, --) 0900ET

- Aug 28 Aug Richmond Fed Mfg Index (20, --) 1000ET

- Aug 28 Aug Conference Board confidence (127.4, 126.8) 1000ET

- Aug 28 Aug Dallas Fed services index (21.1, --) 1030ET

- Aug 28 US TSY $37B 5Y NOTES Auction (9128284X5) 1300ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* 3,600 short Mar 70 straddles, 38.5

* 1,900 long Green Jun 70 straddles, 92.0

* 2,850 long Green Jun 60/80 strangles, 29.0

* over 2,000 Mar19 70/71/72 2x3x1 put flys

* +2,500 Green Sep 68/70 2x1 put spds, 2.0 vs. 97.03/0.10%

* -3,000 Dec 72/73 put spds 3.5 over the Dec 76 calls

* -2,000 Green Dec 70 straddles, 29.5

* -15,000 Dec 75/77 put spds vs. 78 calls, 21.5/package on screen

* +6,400 Mar 70/71 put sprd at 4 vs 9722.5/0.10%

* 3,000 short Dec 66/67/68 put trees, 2.0 vs. 97.095/0.28%

* 2,000 short Sep 71 straddles, 10.5

* +10,000 Mar 70/71 put sprd at 4 vs 9722.5/0.10%

Tsy options, Pit/screen:

* 4,200 TUV 105.75/106 call sprd at 30 vs 27.75/0.05%

* 1,800 TYV 119.25/120.25 3x1 put spds, 6/64 vs.

* 1,800 TYV 120.25/121.25 1x3 call spds, 6/64

* +2,000 TYV 119.75/120.25 put spds, 13/64 vs. 120-10/0.10% earlier

* -1,000 USV 145 calls, 50/64 vs. 144-22

* 1,050 USV 144 puts, 42/64 vs. 144-18

* +1,000 TYV 120 puts, 17/64

* ongoing -3,000 TYX 122 calls, 12/64, over -11,000 on day

* -1,500 TYV 120.5 straddles, 53/64

* -4,000 TYV 121 calls at 12 vs 16/0.28%

* +2,000 TYV 120.5/121.5/122.5 1x1x1 call flys, 21/64

* 1,000 TYV 120.5 calls, 22/64 vs. 120-11/0.44%

* +2,000 TYZ 119.5 puts, 30/64

* +2,500 TYV 119 puts, 3- to 4/64

* +4,000 TYV 120 puts, 14/64

* +4,500 TYZ 122 calls, 22/64

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

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