US TSYS RISE: SOFTISH 2Q 2.6% GDP, WEAK US$/YEN, N.KOREA FEAR

     US TSYS SUMMARY: Treasuries ended Friday higher amid buying on less than

expected 2.6% 2Q GDP, black box buys then safe-haven bid as N.Korea reportedly

launched an ICBM missile into sea near Japan. Mkt saw light profit-taking but on

edge amid Japan/N.Korea news.

- Tsys began NY weaker then gained after GDP, and as black boxes did FX-tied

buying on weaker US$/yen, then light profit-taking as US$ rose. But market

overall had quiet summer Friday.

- However Tsys again saw FX-tied buying by black boxes as US dollar declined on

N.Korea missile news amid saw safe-haven buying.

- Tsy 10Y futures had 8:17am ET block buy of 5,000 TYU7 at 125-20; later Tsy

call buy of 5,000 TYU7 126.75 calls at '13 11:32am ET. Eurodlr Dec8 futures

bought at 98.24 for 9,000 contracts nr 9:04am ET. No high-grade corp bond

issuance. Tsys 2Y, 5Y tight RP. Fannie Mae priced $3B 3Y bnchmrk note: T+8.5bp

- US EURODLR OPTIONS: Large sales in Aug. put sprds, buys in Dec. put spreads

and Mar put flies.

**TSYS 3PM ET: 2Y 1.347%, 3Y 1.500%, 5Y 1.829%, 7Y 2.098%, 10Y 2.287%, 30Y

2.893%

     US TSY FUTURES CLOSE: Tsy futures trading higher, curve bull flattening as

the long-end outperforms, following lower than expect US flash Q2 GDP and mild

flight-to-quality bid after N.Korea missile launch. Current futures levels:

* Sep Ultra bonds up 30/32 at 164-18 (163-05L/164-22H)

* Sep 30-yr Bond futures up 19/32 at 153-06 (152-03L/153-07H)

* Sep 10-yr futures up 3.5/32 at 125-30 (125-17.5L/125-31.5H)

* Sep 5-yr futures up 1.5/32 at 118-04.75 (117-30.25L/118-05.75H)

* Sep 2-yr futures up 0.25/32 at 108-05.5 (108-04L/108-06H)

US EURODLR FUTURES CLOSE: Trading modestly higher, curve slightly flatter as

greens/blues outperform, having reversed earlier weakness in wake of softer than

expected US Q2 GDP estimate. Light selling seen in the long-end of the strip

during London session, gave way to decent buying in Red, Green and blue

contracts. Volume below 30-day avg. Current White pack

(Jun'17-Mar'18):

* Sep'17 +0.005 at 98.670

* Dec'17 +0.005 at 98.555

* Mar'18 +0.010 at 98.475

* Jun'18 +0.015 at 98.415

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

* Green pack (Sep'19-Jun'20) +0.015-0.020

* Blue pack (Sep'20-Jun'21) +0.025-0.030

* Gold pack (Sep'21-Jun'22) -0.020-0.025

US SWAPS: Spreads are slightly tighter into Friday's close, with the 30-yr just

about outperforming. Flows light in afternoon session. Latest spread levels:

* 2Y -0.14/23.925

* 5Y -0.25/7.00

* 10Y -0.44/-4.25

* 30Y -0.875/-34.00

US OUTLOOK

Data/speaker calendar (prior, estimate):

31-Jul * Jul ISM-Milwaukee Mfg Index 58.68/-- 09:00am ET

31-Jul ** Jul MNI Chicago PMI 65.7/61.0 09:45am ET

31-Jul ** Jun NAR pending home sales index 108.5/-- 10:00am ET

31-Jul ** Jul Dallas Fed manufacturing index 15.0/ -- 10:30am ET

31-Jul US Tsy $39B 13-week T-bill auction 11:30am ET

31-Jul US Tsy $33B 26-week T-bill auction 11:30am ET

31-Jul * Jun farm prices 2.1%/-- % 15:00pm ET

Eurodollar/Treasury option summary

Eurodollar Option flow included:

Blocks:

Pit/screen:

* -10k Front Aug 98.625 puts at 0.25 -- total of 35k now sold at 0.25

* +5k Front Dec 85/83 put spread vs Dec 86/87 call spread at 1.25

* +10k Front Mar 83/82/81 put fly vs Jun 83/82/81 put fly at flat

* +10k short Aug 81/85 strangle at 0.5

* -3k Green Oct 77/75 put spread at 2.5 vs DEZ9 at 97.995

* +4k Red Jun 90 calls at 3.5

* +3.5k Short Oct 80 puts at 2 vs EDZ8 at 98.225

* -3k Short Dec 82 straddle at 23.25

* -2.5k Green Sep 81/78 1x2 put spread at 6 vs EDU9 at 98.09

* -5k Front Sep 86 straddles at 6.5 vs EDU7 at 98.66

* -5k Front Aug 86 Puts at 0.25 vs EDU7 at 98.67

* 2.5k Green Oct 77/75 put spread at 2.5 vs EDZ9 at 97.995

* +4k Green Dec 77/Gold Dec 72 put spread at 0.5

* -7.5k Front Sep 86 straddles at 6.5 vs EDU7 at 98.66

* +2.5k Green Oct 77/75 put spread at 2

* -6.5k Green Dec 81/73 put spread at 19

* -5k Front Dec 86/87 call spread at 2.5

* -10k Green Oct 78/82 squash at 1 vs EDZ9 at 98.045

* -2.5k Green Aug 81/0 strangle at 9.5 vs EDU9 at 98.085

US Tsy option flow included:

* +5k TYU7 126.75 calls at '13

* +7,849 TYU7 127.50 calls at '05

* -2.5k TYU7 128.50 calls at '02

US Tsy future block recap:

* +5k TYU7 @ 125-20 at 0817:52ET

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

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