US TSYS: THE CHOSEN ONE AND DOVES GO UN-FED

US TSY SUMMARY: After post-July minutes chop, Tsys extended session highs

briefly -- despite minutes that came off less dovish than hoped, underscoring

mid-cycle adjustment. Curves flatter while 2Y10Y nears inversion again. Equities

stubbornly held near session highs; gold weaker but still over 1502.0.

- Late Tsy futures blocks initially pushed long end lower after the bell w/

-2,605 WNZ 193-22, sell through 193-29 post-time bid, long end bouncing off lows

after +4,936 USZ 163-31, buy through 163-25 post-time offer.

- Algos kept getting triggered on this type of headline: "TRUMP SAYS U.S. WILL

`PROBABLY' MAKE A DEAL WITH CHINA" bbg Tsys reversed support after gradually

trading higher in long end (appr -50k TYU on move) Equities took in stride, held

narrow range near highs. Rate rebound resumed about 40 minutes later, prop and

fast$ bought shorts to intermediates. Focus back on Friday's Jackson Hole

economic symposium.

- The 2-Yr yield is up 5.9bps at 1.5713%, 5-Yr is up 3.4bps at 1.467%, 10-Yr is

up 2.4bps at 1.5791%, and 30-Yr is up 2.5bps at 2.062%.

US TSY FUTURES CLOSE: Weaker after the bell -- well off post-minutes highs.

Curves flatter while 2Y10Y nears inversion again -- all likely related to

minutes that came off less dovish than hoped, underscoring mid-cycle adjustment.

Update: 

* 3M10Y  -2.761, -39.44 (L: -42.391 / H: -36.534)

* 2Y10Y  -2.821, 1.124 (L: 0.242 / H: 6.4)

* 2Y30Y  -2.422, 49.896 (L: 47.505 / H: 55.099)

* 5Y30Y  -0.462, 59.839 (L: 57.299 / H: 61.738)

Current futures levels:

* Sep 2-Yr futures down 3.375/32  at 107-23.625 (L: 107-23.375 / H: 107-27.5)

* Sep 5-Yr futures down 6.5/32  at 119-5.75 (L: 119-05 / H: 119-13)

* Sep 10-Yr futures down 7.5/32  at 130-16 (L: 130-10.5 / H: 130-25.5)

* Sep 30-Yr futures down 14/32  at 164-18 (L: 163-31 / H: 165-15)

* Sep Ultra futures down 35/32  at 192-30 (L: 192-05 / H: 194-27)

US TSY FUTURES: *** Surge in Sep/Dec roll volume but still a long way to go

before 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 122,800 from -8.25 to -7.88, -8.12 last;

* FVU/FVZ appr 186,100 from -13.75 to -13.5, -13.75 last;

* TYU/TYZ appr 133,000 from -20.75 to -20.0, -20.25 last;

* USU/USZ appr 31,000 from 25.00 to 25.75, 25.0 last;

* WNU/WNZ appr 71,100 from -1-0.5 to -30.25, -31.75 last;

US EURODLR FUTURES CLOSE: Weaker after the bell, short end near late lows as

July FOMC minutes came off less dovish as hoped. Current White pack (Sep 19-Jun

20): 

* Sep 19 -0.035 at 97.953

* Dec 19 -0.055 at 98.175

* Mar 20 -0.065 at 98.435

* Jun 20 -0.060 at 98.560

* Red Pack (Sep 20-Jun 21) -0.05 to -0.04

* Green Pack (Sep 21-Jun 22) -0.035 to -0.03

* Blue Pack (Sep 22-Jun 23) -0.03 to -0.025

* Gold Pack (Sep 23-Jun 24) -0.03 to -0.025

US DOLLAR LIBOR: Latest settles

* O/N -0.0040 at 2.0930% (-0.0055/wk)

* 1 Month -0.0034 to 2.1666% (-0.0055/wk)

* 3 Month -0.0019 to 2.1476% (+0.0117/wk)

* 6 Month +0.0017 to 2.0253% (+0.0086/wk)

* 1 Year +0.0057 at 1.9542% (+0.0091/wk)

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

* Daily Effective Fed Funds Rate: 2.13%, volume: $55B

* Daily Overnight Bank Funding Rate: 2.10%, volume: $174B

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

* Secured Overnight Financing Rate (SOFR): 2.13%, $1.228T

* Broad General Collateral Rate (BGCR): 2.12%, $528B

* Tri-Party General Collateral Rate (TGCR): 2.12%, $498B

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

22-Aug 0830 17-Aug jobless claims (220k, 216k)

22-Aug 0945 Aug Markit Mfg Index (flash) (50.4, 50.5)

22-Aug 0945 Aug Markit Services Index (flash) (53, 52.8)

22-Aug 1000 Jul leading indicators (-0.3%, 0.3%)

22-Aug 1030 16-Aug natural gas stocks w/w

22-Aug 1100 Aug Kansas City Fed Mfg Index (-1, 1)

22-Aug 1830 Mn Fed Pres Kashkari, Too Big To Fail, Where Do We Go From Here

22-Aug 1630 21-Aug Fed weekly securities holdings

PIPELINE: World Bank 5Y and EBRD both priced

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

08/21 $3.5B *World Bank 5Y +13

08/21 $600M *EBRD 3Y SOFR +26, upsized from $500M

----- Canada issuance:

08/21 C$500M Quebec 10Y +65.5

08/21 C$300M Nova Scotia 30Y bond +88.5

Canadian Issuance recap since July

08/19 C$1B *Goldman Sachs 3NC2 +65

08/19 C$600M *Province of Ontario 30Y +82

08/14 C$4.25B *Canada Housing Trust No.1 C$2B 5Y FRN, C$2.25B 10Y

08/14 C$400M *Daimler Canada Finance 4Y +129

07/25 C$1.75B *Bank of Montreal 5Y Sr +92

07/24 C$500M *Export Bank of Canada 5Y +31.5

07/18 C$1.5B *RBC 10NC5 +132

07/18 C$800 *EIB 5Y +3

07/18 C$1.1B *Scotia Capital NHA MBS +46

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* -24,000 Mar 81 puts 1.0 over 12,000 Mar 85/90 call spds

* +15,000 Oct 82 calls, 10.0

* -4,000 Oct 82 straddles, 24.5

* +12,000 Sep 80/81 call spds 1.5 over -18,000 Sep 78 puts

* +5,000 Dec 82/87 call spds 1.0 over Oct 82 calls

* -20,000 Oct 82/Dec 85 call spds, 2.75

* -3,500 Green Mar 87 straddles, 44.5

* -2,000 Green Dec 87 straddles, 36.5

* -10,000 Oct/Dec 82 1x2 call spd vs. Oct 81/82 1x2 call spd, net cab cr/package

* +10,000 short Aug/Blue Sep 86 put spds, 0.0 steepener

* -20,000 Oct 82/Dec 85 call spds, 2.75

Repeating latest block:

* -10,000 Oct 82 calls, 9.5 vs.

* +10,000 Dec 82/83/85 call trees, 3.0 vs.

* 2,500 EDZ9 98.195

Block, 1048:02ET,

* -10,000 Oct 82 calls, 9.5 vs.

* +10,000 Dec 82/83/85 call trees, 3.0 vs.

* 2,500 EDZ9 98.195

* +10,000 Mar 85/88 1x2 call spds, 2.0

* -5,000 short Sep 83 puts, 1.5

* 5,000 Oct/Dec 82 call spds, 4.5

* 5,000 Oct 81/82 1x2 call spds, 4.25

* 4,000 Sep 78 puts, 1.5

* 3,000 Mar 86/90 1x2 call spds, 2.0

* Update, +8,000 Dec 83 calls 9.5 over Dec 76/77 put spds

* +10,000 Oct 82/Dec 81 2x1 call spd, 0.0 -- adds to 50k x 25k overnight screen

trade

* 3,000 Dec 82 straddles, 32.5

Salient overnight trade

* over 73,000 Oct 82 calls, 11.0 (+50k vs. -25k EDZ 81 calls, 0.0 net)

* over 25,000 Dec 81 calls, vs. 50k Oct 82c

* over 13,000 Dec 82 calls, as Oct/Dec 82 call spd, 4.5

* 10,000 short Sep 85 puts, 4.0

Tsy options:

* 1,500 TYV 131 calls, 62/64 vs. 131-12

* 1,000 TYU 129.5/131.75 call over risk reversals

* +2,500 USV 170/176 call spds, 22/64

* -4,000 TYU 130/131 call over risk reversals, 0.0

Sub-cab options seeing some action; implied vol

firming off lows as underlying bounces

* +13,000 TYZ 116 puts, cab-7

* 2,000 USZ 220 (yes 220) calls, cab-7

* +10,000 FVU 119 puts, 5/64 on screen, total volume near 27k

* Another +26,330 on Block screen at 5.5/64, 0934:38ET

Salient overnight trade

* +20,000 TYV 129/130 2x1 put spds, 5

* -15,000 TYV 131/132 call spds, 25/64 BLOCK

* +7,000 TYV 133/134 1x2 call spds, 0.0

* +8,000 TYU 129.5/129.75/130 put trees, 2

* +24,000 FVV 118.5/119.25 2x1 put spds, 7-7.5

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

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