US TSYS RISE: SAFE-HAVEN BID: MUELLER/GRAND JURY; FUTURES BUYS

     US TSYS SUMMARY: Treasuries rose higher still in late Thurs NY action as

Wall Street Journal said US special prosecutor Mueller has impaneled a grand

jury in his probe into alleged Russian interference in U.S. elections; cash

10-year note is at 2.223% yield at 4:13 p.m. ET. 

- Meanwhile the US dollar weakened vs. yen on such news, now at Y109.9700. The

US$/yen may see the first sub-Y110 close since June 14th, 2017, potentially.

- Treasuries ended 3pm ET Thu higher: late buys follow a daylong bid kicked off

by early futures-led buying, UK debt gain as BOE left rates steady, cut 2018 GDP

estimate to 1.6%. 

- Tsys futures bounce early after 7:37 am ET Block, 7,453 WNU, 166-20 (follows

Wed Block buy of 7,483 at 165-22, $2.16M DV01), time/sales at post time had mkt

166-27 bid/at -28, potential incorrect post time or price; maybe TBAC hedge

unwind? 

- Early NY block buys: About 40K TYU 10Y futrs buyer from 126-05 to -06.5,

further buys in 5Y futures (+20K), 30Y (7.5K), lift lg end up before 7:41am ET.

Then 5,000 TYU buying at 126-06, buy thru 126-05.5 offer at 9:30am ET post time.

- Late morning, real$ and hedge funds sell longer Tsys in apparent

profit-tkg/setup for 3/10/30Y auctns. And 2:03pm ET Tsy futr block for 4,010 WNU

Ultra bds buy thru 167-01 at print time. Tsy 10Y note had an O/N RP bid. 

- US DATA: -5,000 intl wkly jobless claims; 3% Jun US factry ords. 

- CORPS: Paiton Energy 13Y, 20Y; Captl One 5Y/FRN, Kinder Morgan 5.5Y/FRN, Ga.

Pwr 3Y. Deal-tied flow. 

- US TSY 3PM: 2Y 1.343%, 3Y 1.481%, 5Y 1.79%,7Y 2.048%, 10Y 2.228%, 30Y 2.806%.

US TSY FUTURES CLOSE: Finish strong, long end making new session highs in the

minutes ahead the close, off highs by the bell. Light overall volume, TYU failed

to break 1M futures, many sidelined ahead Fri's headline employ data. Current

futures levels:

* Sep Ultra bonds up 1-3/32 at 167-12 (165-30L/167-13H)

* Sep 30-yr Bond futures up 25/32 at 155-00 (153-31L/155-01H)

* Sep 10-yr futures up 8.5/32 at 126-12 (126-01L/126-12H)

* Sep 5-yr futures up 4.25/32 at 118-10.75 (118-05.25L/118-11.25H)

* Sep 2-yr futures up 1.5/32 at 108-06.25 (108-04.5L/108-06.5H)

US EURODLR FUTURES CLOSE: Finish firmer, at/near top end narrow range on modest

volume. Current White pack (Jun'17-Mar'18):

* Sep'17 +0.005 at 98.675

* Dec'17 +0.005 at 98.555

* Mar'18 +0.010 at 98.475

* Jun'18 +0.010 at 98.415

* Red pack (Sep'18-Jun'19) +0.015-0.020

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

* Blue pack (Sep'20-Jun'21) +0.030-0.035

* Gold pack (Sep'21-Jun'22) +0.030-0.035

US SWAPS: Spds running wider by the bell, spd curve steeper all day amid light

rate paying in 10s and 30s from prop accts, light deal tied flow w/ accts

sidelined ahead Fri's employ data. OTC vol sold off in last hour, gamma on

1-3M/10Y leading move. Latest spread levels:

* 2Y +0.31/24.44

* 5Y +0.50/7.62

* 10Y +0.50/-3.25

* 30Y +0.81/-31.69

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

- Aug 04 Jun trade balance (-$46.5B, -$44.1B) 0830ET

- Aug 04 Jul nonfarm payrolls (222k, 181k) 0830ET

- Aug 04 Jul private payrolls (187k, 185k) 0830ET

- Aug 04 Jul unemployment rate (4.4%, 4.3%) 0830ET

- Aug 04 Jul average hourly earnings (0.2%, 0.3%) 0830ET

- Aug 04 Jul average workweek, all workers (34.5hrs, 34.5hrs) 0830ET

- Aug 04 Q3 St. Louis Fed Real GDP Nowcast (--, --) 1100ET

- Aug 04 Q3 NY Fed GDP Nowcast (+1.9%, --) 1115ET

- Aug 04 Jul Treasury STRIPS Holdings 1500ET

Eurodollar/Treasury option summary

Eurodollar options,

Pit/screen:

15k E2Z 85c, 2.75

+/-5-6k EDZ 85p, 4.25-4.5

+5k EDZ 83/85p spds, 3.5

-3k EDV/EDF 85/86 strangle spds, 8.25cr

-2.5k EDZ 83/87 R/R, cab/p-ovr

2k EDZ 86/EOH 82 straddle spds, 18.0

+4k EDZ'18 77/82p spds, 14.5

+3k EDU'18 78/80p spds vs.

EDU 86p, 1.0db

10k EOU 82p, 2.0 vs. 98.335 vs.

10k E2U 80p, 3.0 vs. 98.125

+9k E2U 82c, 3.5

+2.5k E2Z 73/75/77p flys, 2.5

-2.5k E2Z 76/80p spds, 9.0 vs.

+E4Z 72/76p spds, 10.0

-6k E3U 80c, 6.5 vs. 97.95/0.40%

5k E3Z 67p, 0.5

-4k E3Q 78/E3U 78/E3H 77 straddle fly, 17.5

3k E3U 78 straddles, 19.0

2.25k E4Q 76p, 1.0

Tsy options

Pit/screen,

5k TYU 125p, 7

5k TYU 124/124.75p spds

+4k TYZ 124/128 R/R, 0.0c ovr

-2k TYU 126.2 straddles, 56

-1.5k TYU 125p, 6

1.2k TYU 126+c, 20

1k TYZ 126 straddles, 215

1k TYU 124+/125.25 2x1p spds, 5

-1k TYX 126 straddles, 156

1k TYZ 126 straddles, 215

3.5k FVU 117/117+/118p flys, 5

+3k FVU 118+c, 8.5

+2.5k FVU 119c, 2.52.4k FVZ 117p, 17.5

3.3k USU 155c vs.

USV 152p, 3net

1.5k USU 148/150+p spds, 5

--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com

[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]