US TSYS: TSY YIELD RACE TO BOTTOM

US TSY SUMMARY: Tsys bid after the bell, but well off late session highs after

spurious chatter of a Fed Powell speaker blackout article made rounds; 30YY fell

to new all-time low of 1.9140% (1.9903% last); 10YY fell to 1.4732% (1.5370%

last). Rates pared moves soon after. 

- Focus remained on US/China trade and who would or wouldn't meet half way

(Trump repeating Navarro from Wed that US can't "meet China halfway". Fed

confirmed Chair Powell' speech: Challenges for Monetary Policy at Jackson Hole

next wk Friday 1000ET.

- Heavy flow included foreign and domestic real$ sellers into strength, real$

bought 5s, real$ bought long end w/program accts late, tight stops triggered

amid thin late session trade. Prop and fast$ sellers near highs, real$ and macro

fund interest in steepeners, large 10s/ultra-Bond steepener Block for second

consecutive session (+20,813 TYU 130-27 vs. -4,692 WNU 195-20, well through

196-00 post-time bid).

- The 2-Yr yield is down 8.1bps at 1.4957%, 5-Yr is down 6.5bps at 1.424%, 10-Yr

is down 5.2bps at 1.5269%, and 30-Yr is down 4.5bps at 1.9729%.

US TSY FUTURES CLOSE: Bid but well off late session highs after spurious chatter

of a Fed Powell speaker blackout article made the rounds, 30YY fell to new

all-time low of 1.9140% (1.9903% last); 10YY fell to 1.4732% (1.5370% last).

Rates pared moves soon after. Update:

* 3M10Y  +0.407, -36.539 (L: -43.242 / H: -32.586)

* 2Y10Y  +3.108, 3.118 (L: -1.339 / H: 3.726)

* 2Y30Y  +4.568, 48.451 (L: 40.412 / H: 49.593)

* 5Y30Y  +3.11, 55.825 (L: 48.941 / H: 57.272)

Current futures levels:

* Sep 2-Yr futures up 3.75/32  at 107-27.75 (L: 107-23 / H: 107-30.25)

* Sep 5-Yr futures up 8.25/32  at 119-12.5 (L: 119-00.25 / H: 119-20)

* Sep 10-Yr futures up 11.5/32  at 130-28 (L: 130-10 / H: 131-11)

* Sep 30-Yr futures up 18/32  at 165-15 (L: 164-17 / H: 166-30)

* Sep Ultra futures up 1-3/32  at 196-2 (L: 194-19 / H: 198-27)

US TSY FUTURES: *** Sep/Dec 5Y leads late roll volume. 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 41,300 from -7.62 to -6.88, -7.25 last, 10% complete;

* FVU/FVZ appr 62,400 from -13.5 to -12.75, -13.25 last, 8% complete;

* TYU/TYZ appr 13,400 from -20.0 to -18.75, -19.75 last, 5% complete;

* USU/USZ appr 1,700 from 25.25 to 25.5, 25.25 last, 3% complete;

* WNU/WNZ appr 16,400 from -29.75 to -26.25, -29.25 last, 4% complete

US EURODLR FUTURES CLOSE: Also well bid, but off top end of range after the

bell. Current White pack (Sep 19-Jun 20): 

* Sep 19 +0.040 at 98.035

* Dec 19 +0.065 at 98.260

* Mar 20 +0.070 at 98.525

* Jun 20 +0.080 at 98.650

* Red Pack (Sep 20-Jun 21) +0.070 to +0.080

* Green Pack (Sep 21-Jun 22) +0.060 to +0.070

* Blue Pack (Sep 22-Jun 23) +0.040 to +0.055

* Gold Pack (Sep 23-Jun 24) +0.035 to +0.040

US DOLLAR LIBOR: Latest settles

* O/N +0.0037 at 2.0958% (+0.0005/wk)

* 1 Month -0.0153 to 2.1820% (-0.0123/wk)

* 3 Month -0.0447 to 2.1237% (-0.0519/wk)

* 6 Month -0.0658 to 2.0140% (-0.0379/wk)

* 1 Year -0.0965 at 1.9325% (-0.0554/wk)

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

* Daily Effective Fed Funds Rate: 2.12%, volume: $60B

* Daily Overnight Bank Funding Rate: 2.10%, volume: $167B

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

* Secured Overnight Financing Rate (SOFR): 2.13%, $1.244T

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

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

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

16-Aug 0830 Jul housing starts (1.253m, 1.257m)

16-Aug 0830 Jul building permits (1.232m, 1.270m)

16-Aug 0830 Aug NY Fed Business Leaders Index (9.7, --)

16-Aug 1000 Aug Michigan sentiment index (p) (98.4, 97.0)

16-Aug 1000 Q2 Advance NSA Service Revenue

16-Aug 1000 Jul BLS state payrolls 

16-Aug 1100 Q3 St. Louis Fed Real GDP Nowcast

16-Aug 1115 Q3 NY Fed GDP Nowcast (1.58%, --)

PIPELINE: Only $300M priced Thursday, $22.575B for week

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

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

-

$1.75B priced Wednesday

08/14 $1.75B *Credit Suisse PerpNC7 6.375%

     Eurodollar/Tsy options:

Eurodollar options, Pit/screen: Aug options expire Fri

Block, 1234:52ET, total 20,000 March spd/package

* another 10,000 Mar 83/85 call spds 2.50 over Mar 80 puts vs. 98.52/0.25%

* +20,000 Sep 83 calls, 1.5 vs. 98.025/10% in pit

* +40,000 Green Sep 83 calls, 378.5 vs. 98.735/0.90%

* +10,000 Red Dec'20 96/97/98 call trees, 0.5

* -25,000 Mar 86/90 call spds, 9.0

* +7,500 Mar 85 calls, 22.5 vs. 98.495/0.05

* 5,000 Sep 78/80 2x1 put spds, 3.25

* -25,000 Sep 82 calls, 2.25

* total +40,000 Sep 78/80 2x1 put spds bought on screen, 3.25

Blocks, 1204-1206ET,

* 10,000 Mar 83/85 call spds 2.50 over Mar 80 puts vs. 98.52/0.25%

* 10,000 Dec 81/82 call spds 2.75 over Dec 78 puts vs. 98.25/0.30%

* some +30,000 Sep 78/80 2x1 put spds bought on screen, 3.25

* 5,000 Dec 77/78 1x2 put spds, 6.0

* -5,000 Sep 88 straddles, 15.0

* 5,000 Jun 85/90/91 broken call trees on screen earlier

* +10,000 Mar 90 calls, 8.0 vs. 98.48/0.20%

* 5,000 Aug/Sep 77/80 strangle spds, 6.0/Sep over

* 6,000 Red Jun 75 puts, 4.0

* 8,000 short Dec 86/88/91 call flys, 1.5

* 10,000 Blue Aug 86 puts, 1.5

Earlier screen trade includes

* over 25,000 Green Mar 76 puts, 1.0

* 8,000 Sep 77/82 call spds, 25- to 26.5

* 8,000 Sep 78/80 put spds vs. 82 calls, 2.5 net

* earlier Aug 86 put/87 call Block was a strangle sale, 3.5

Tsy options

* 9,600 FVV 120.5 calls, 21/64 vs. 119-13.75/0.34%

* +4,000 USU 175.5 calls, 2/64 on screen

Block, 0905:17ET,

* +13,395 TYU 129/130put spds, 15/64

* 2,000 USU 19 calls, 22/64 vs. 169-18

* +3,200 TYZ 134 calls, 36/64

Overnight trade highlights include

* 15,000 TYU 129/129.5 put spds, 5/64

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

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