US TSYS: RISK-OFF TAKES A SHORT BREAK

US TSY SUMMARY: Mostly lower after the bell, yld curves steeper with short end

outperforming. Overall a quiet end to another hectic mostly risk-off wk. Eyes on

next wk's July FOMC minutes, Jackson Hole symposium both on Wed; limited data:

existing home sales, leading index and new home sales. Equities firmer (EDU9

+37.75), gold lower (-11.06 at 1512.28).

- At odds with Pres Trump and advisor Navarro, speaking on CNN, Mn Fed President

Kashkari: "SIGNALS ON ECONOMY ARE MIXED RIGHT NOW", trade war "spooking

investment". Early risk-on tone, rates were trading little weaker but bounced

off lows into the NY session, muted react to latest round of data w/ futures

drifting steady/mixed. 

- Yld curves still steeper but scaling back some as intermediate to long end Tsy

futures inching off lows in late trade, lightest volume for the week (TYU just

over 1.2M), largely prop, fast$ accts squaring up for weekend. Sep/Dec roll

vlume remains modest but adding slightly to whole.

- The 2-Yr yield is down 1.1bps at 1.4845%, 5-Yr is down 0.2bps at 1.4218%,

10-Yr is up 2.4bps at 1.5504%, and 30-Yr is up 4.4bps at 2.0165%.

US TSY FUTURES CLOSE: Mostly lower after the bell, yld curves steeper with short

end outperforming. Overall a quiet end to another hectic mostly risk-off tone

week. Eyes on next week's July FOMC minutes and Jackson Hole symposium both on

Wednesday; limited data: existing home sales, leading index and new home sales).

Update:

* 3M10Y  +3.839, -32.171 (L: -39.823 / H: -29.138)

* 2Y10Y  +3.95, 6.26 (L: 1.84 / H: 6.588)

* 2Y30Y  +5.956, 52.87 (L: 46.65 / H: 52.87)

* 5Y30Y  +4.561, 59.297 (L: 54.713 / H: 59.364)

Current futures levels:

* Sep 2-Yr futures up 0.375/32 at 107-28.625 (L: 107-26.125 / H: 107-29.375)

* Sep 5-Yr futures up 0.5/32 at 119-14.5 (L: 119-06.25 / H: 119-17.25)

* Sep 10-Yr futures down 3.5/32 at 130-27 (L: 130-13 / H: 131-03)

* Sep 30-Yr futures down 14/32 at 165-9 (L: 164-09 / H: 166-06)

* Sep Ultra futures down 1-7/32 at 195-7 (L: 193-25 / H: 197-07)

US TSY FUTURES: *** Sep/Dec roll volume update. Still pretty slow to get going

but will pick up quickly ahead 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 24,000 from -8.12 to -7.62, -8.0 last, 12% complete;

* FVU/FVZ appr 17,100 from -14.0 to -13.25, -13.75 last, 9% complete;

* TYU/TYZ appr 18,600 from -20.75 to -19.5, -20.25 last, 5% complete;

* USU/USZ appr 4,600 from 25.5 to 26.25, 25.0 last, 3% complete;

* WNU/WNZ appr 2,600 from -1-0.75 to -30.0, -31 last, 7% complete;

US EURODLR FUTURES CLOSE: Steady to mixed after the bell, Whites-Reds recovering

late, accts covering shorts ahead weekend. Current White pack (Sep 19-Jun 20): 

* Sep 19 -0.020 at 98.015

* Dec 19 -0.005 at 98.255

* Mar 20 -0.005 at 98.525

* Jun 20 steady at 98.650

* Red Pack (Sep 20-Jun 21) -0.005 to steady

* Green Pack (Sep 21-Jun 22) -0.01 to steady

* Blue Pack (Sep 22-Jun 23) -0.03 to -0.015

* Gold Pack (Sep 23-Jun 24) -0.045 to -0.03

US DOLLAR LIBOR: Latest settles

* O/N +0.0027 at 2.0985% (+0.0032/wk)

* 1 Month -0.0099 to 2.1721% (-0.0222/wk)

* 3 Month +0.0121 to 2.1358% (-0.0398/wk)

* 6 Month +0.0027 to 2.0167% (-0.0352/wk)

* 1 Year +0.0125 at 1.9450% (-0.0429/wk)

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

* Daily Effective Fed Funds Rate: 2.13%, volume: $61B

* Daily Overnight Bank Funding Rate: 2.10%, volume: $171B

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

* Secured Overnight Financing Rate (SOFR): 2.18%, $1.218T

* Broad General Collateral Rate (BGCR): 2.17%, $529B

* Tri-Party General Collateral Rate (TGCR): 2.17%, $496B

OUTLOOK: *** US Data/speaker calendar (prior, estimate); Slow start to week

ahead:

19-Aug 1000 Q2 E-commerce retail sales

-

20-Aug 0830 Aug Philadelphia Fed Nonmfg Index (21.4, --)

20-Aug 0855 17-Aug Redbook retail sales m/m (-2.0%, --)

20-Aug 1600 VC Quarles, Utah Center for Neighborhood Stabilization

PIPELINE: Just over $22.5B priced on week

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

08/16 No new supply in the pipeline Friday

-

Only $300M priced Thursday

08/15 $300M *Kimco 30Y +185

     Eurodollar/Tsy options:

Eurodollar options, Pit/screen: Aug options expire Fri

* 10,000 Green Dec 90/91 call spds, 1.0 vs. 98.73/0.08%

Block, 1411-1416ET,

* total 20,000 short Dec 90 calls, 11.0

Block, 1409:15ET,

* 25,000 Mar 81/82 put spds, 4.0

* 12,500 Oct 85/86 call spds, 2.5

Getting creative with par-calls --

* +7,000 short Mar 90/92/93/96 call condors, 4.0

* +7,000 short Jun 91/93/96/100 call condors, 3.0, 7.0 total for double package

* -14,000 Mar 81/82 put spds 4.0 w/

* -14,000 Oct 82/85/86 1x call flys, 10.5, 14.5 total on double sale

* ongoing, over -20,000 Mar 97 calls vs. buying the Jun 100 calls, 0.0 to 0.25

db

* +10,000 Jun 100 calls, 1.5

* Update, over +40,000 Sep 83 calls, 1.0 vs. 97.99/0.25%

* +25,000 Sep 83 calls, 1.0 vs. 97.99/0.25%

* 9,000 short Oct 87/90 1x2 call spds, 1.5 earlier

* over +5,000 Jun 100 calls, 1.5

* +7,500 Sep 85/87 call spds, 0.5

* +30,000 Mar 77 puts, 1.5

Block, 0827:50ET,

* 10,000 Dec 80/83/86 call flys, 11.5

Overnight trade includes

* 15,000 short Sep 80/83 put spds, 2.0

* +6,500 Mar 92 calls, 5.5

* +6,000 Red Sep'20 97/98/100 call flys, 0.5

Note, desks say recent Dec 80/83/86 call fly block was a sale

Tsy options:

* appr 50,000 FVV 116.25 puts trade 1.5/64 on screen

* 1,150 TYZ 131.5 straddles, 2-45/64

* 1.150 USU 154/158 3x1 put spds, 0.0

* +30,000 FVX 115.5 puts, 2/64

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

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