US TSYS: TSYS PARE LOSSES LATE AS US$EXTENDS SLUMP

US TSY SUMMARY: Tsys trade weaker by the bell but well off session lows, late

rebound as US$ extends losses, large $1.3B+ sell program in equities took

profits after making new all-time highs. Risk-on proves nascent w/global eq's

firmer, sovs vs. Bund tighter, US$ weaker after Pres Trump comments on Fed

policy/lack of accommodation, Yen/Euro manipulation complaints. Modest futures

volume (TYU>1M), yld curve mixed after early dead cat bounce. 

- Relative quiet continued ahead Wed's FOMC minutes, eco-summit start Thu's

night. Dallas Fed Kaplan essay notes flat curve = late in cycle. 

-  US$ index choppy/near lows, DXY -.639 to 95.261; US$/Yen +.35 to 110.42,

US$/Euro +.0093, 1.1574; equities firmer (emini +10.5, 2869.0 vs. 2874H); gold

firm (XAU +2.07, 1192.58); West Texas crude (WTI +0.92, 67.35). 

- Pick-up in Sep/Dec Tsy futures rolling helped bost overall volume; Sep Tsy

options expire Fri w/ongoing put replacement buying in Dec expirys. Mixed swap

flow on light flow, no significant deal-tied hedging.

- Tsy cash/ylds: 2Y 100-01 (2.604%), 5Y 100-03 (2.728%), 10Y 100-08 (2.844%),

30Y 99-29.5 (3.003%)

US TSY FUTURES CLOSE: Lower, near mid-range, light volume (TYU 1.09M), curves

mixed with 2's10s steeper as 2s30s and 5s30s fall flatter; update:

* 2s10s +0.455, 23.630 (22.710L/24.280H);

* 2s30s -0.485, 39.287 (38.811L/40.753H);

* 5s30s -1.300, 27.310 (27.072L/28.875H);

Current futures levels:

* Sep Ultra bonds down 18/32 at 159-07 (158-27L/159-26H)

* Sep 30-yr Bond futures down 13/32 at 145-02 (144-27L/145-17H)

* Sep 10-yr futures down 06/32 at 120-14 (120-12.5L/120-22H)

* Sep 5-yr futures down 03.75/32 at 113-22.5 (113-21.5L/113-26.75H)

* Sep 2-yr futures down 01/32 at 105-27 (105-26.75L/105-28.25H)

US TSY FUTURES: *** Roll from Sep to Dec futures volume update, first notice

date: August 31. September future's staggered expiration on September 19 for

10s, 30s and Ultras, and September 28 for 2s and 5s. Latest volume:

* TUU/TUZ appr 34.3k from 4.0-4.25; 4.0 last

* FVU/FVZ appr 26.6k from 7.75-8.0; 8.0 last

* TYU/TYZ appr 49k from 3.5-4.0; 4.0 last

* USU/USZ appr 12.8, 24.25 last

* WNU/WNZ appr 34.5k, 9.75 last

US TSY OPTIONS: *** Sep options expire Friday, latest open interest as of Mon's

settle below. Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) are

auto-exercised. Large 10Y call open interest may be problematic for longs,

watching for roll-outs.

*            Calls      Puts      Total  Nearest-the-Money Strike Totals

*Sep 30yr   388,638   325,157    713,795  144.50 w/ 15,454 (11,747c, 3,707p)

*                                         145.00 w/ 37,431 (27,547c, 9,884p)

*                                         145.50 w/ 24,244 (22,201c, 2,043P)

*Sep 10yr 1,154,814 1,106,618  2,261,432  120.00 w/ 193,095 (123,094c, 70,001p)

*                                         120.50 w/ 126,220 (106,079c, 20,141p)

*                                         121.00 w/ 146,399 (139,815c, 6,584p)

*Sep 5yr    377,478   804,773  1,182,251  113.50 w/ 87,392 (53,019c, 34,373p)

*                                         113.75 w/ 45,944 (27,870c, 18,074p)

*                                         114.00 w/ 53,352 (50,186c, 3,166p)

*Sep 2yr    203,112   100,866    303,978  105.88 w/ 29,413 (20,947c, 8,466p)

*                                         106.00 w/ 52,545 (49,605c, 2,940p)

US EURODOLLAR FUTURES CLOSE: Trading steady to mildly lower with the short end

outperforming. Current White pack (Sep'18-Jun'19):

* Sep'18 0.000 at 97.6475

* Dec'18 -0.005 at 97.405

* Jun'19 -0.010 at 97.260

* Jun'19 -0.010 at 97.155

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

* Green pack (Sep'20-Jun'21) -0.025-0.020

* Blue pack (Sep'21-Jun'21) -0.025-0.015

* Gold pack (Sep'22-Jun'22) -0.020-0.015

US DOLLAR LIBOR: Latest settles,

* O/N +0.0021 to 1.9196% (+0.0027/wk) 

* 1 Month -0.0012 to 2.0658% (-0.0036/wk) 

* 3 Month +0.0006 to 2.3102% (-0.0017/wk) 

* 6 Month +0.0042 to 2.5128% (+0.0020/wk) 

* 1 Year -0.0053 to 2.8077% (-0.0053/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.90% vs. 1.90% prior, $778B

* Broad General Collateral Rate (BGCR): 1.89% vs. 1.90% prior, $413B

* Tri-Party General Collateral Rate (TGCR): 1.89% vs. 1.90% prior, $398B

US SWAPS: Spds hold tighter across the curve by the bell, spd curve steepening

out late after 5-30s lead narrowing early in second half. Flow remains light:

flatteners in 2s vs. 3s and 5s, 2s3s5s receiver fly after two-way flow in 3s-5s

earlier. Little/no deal-tied hedging. Latest spd levels:

* 2Y  -0.56/19.56

* 5Y  -0.62/14.00

* 10Y -0.44/7.06

* 30Y -0.25/-6.38

PIPELINE: $2B ABN Amro 3Y priced late, issuance quiet otherwise

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

08/21 $2B *ABN AMRO Bank $1B 3Y +75, $1B 3Y FRN L+57

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

- Aug 22 17-Aug MBA Mortgage Applications (-2.0%, --) 0700ET

- Aug 22 Jul existing home sales (5.38m, 5.41m) 1000ET

- Aug 22 Q1 QCEW employment 1000ET

- Aug 22 17-Aug crude oil stocks ex. SPR w/w (6.8m bbl, --) 1030ET

- Aug 22 Federal Reserve minutes from Jul 31-Aug 1 FOMC 1400ET

- Aug 22 Aug Treasury Allotments (p) 1500ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* 4,000 Short Sep 71/72 call sprd at 2.5 vs 9709.5/0.26%

* 6,000 short Oct 68/70/71 put flys, 3.5 vs. 97.015/0.10%

* 4,000 short Mar 66/68 put spds, 7.0

* 4,000 short Mar 65/67 put spds, 5.5

* 8,000 short Sep 70 puts, 2.0

* Update, appr -20,000 Dec 70/71/72/73 put condors, 4.0 (appr 20k bought and

blocked at 4.5 Mon)

Re latest Block: Mar 72/73 call spd sold 1.0 over the 70/71 put spds

Block, 129:01ET,

* 10,000 Mar 70/71 put spds, 3.5

* 10,000 Mar 72/73 call spds, 4.5

* 8,000 Dec 70/71/72/73 Put Condor at 4

* 5,000 Short Mar 67/68 put sprd at 20 vs 9703.5/0.62%

* -5,000 Mar 68 puts at 1

* +10,000 Jun 66/67 2x1 put sprd at 0.5 vs 9712/0.10%, adds to recent 10k for

20k all day

* +10,000 Jun 66/67 2x1 put sprd at 0.5 vs 9712/0.10%

* +5,000 Mar 70/71/72 put fly at 2

* -5,000 Dec 73/75/76 1x3x2 call fly at net 0, wings over

* 5,000 Dec 72 puts at 1.75

* +5,000 Short Oct 72 calls at 3.5 vs 9705/0.24%

Block, 08:46:58ET,

* 10,000 Nov 72 puts at 1.25

* +5,000 Dec 71/72 put sprd at 1.5 vs 9739/0.10%

* +10,000 Red Sep 66/68 put sprd at 7 vs 9709/0.17%

* -7,000 Dec 70/71/72/73 Put Condor at 4

* -20,000 Sep 71 puts, 7.5

* +8,500 short Dec 68/70/71 put flys 0.5 over  short Jan 77 calls

* 4,000 short Oct 67 puts, 1.0

Tsy options, Pit/screen:

* appr +75,000 FVZ 107 puts, cab-7 -- follow through from Mon's OTM put buys to

replace soon to expire Sep option

* over -5,000 USX 143 puts, 1-2/64, adds to >7.5k sold Monday

* -2,000 TYU 120/121 Risk Reversal at 0 vs 15/0.22%

* -1,700 USX 143 puts at 102

* +1,500 TYU 121 calls at 2 vs 13.5/0.17%

* +20,000 TUU 106.12 calls at CAB-7

* +7,000 TUU 106 calls at 0.5

* -5,000 TYV 121.5 calls at 9

* over 3,000 TYV 120.5 straddles, 1-0/64

* -1,000 FVV 113.5 straddles, 39/64

* 1,000 USV 145/147 1x2 call spds, 14/64

* 1,000 TYV 119/122 risk reversals, 0.0

* 13,000 USU 143 puts at 1

* -2,500 TYV 122 calls, 6/64 vs. 120-14.5/0.10%

* 2,300 TYU 120 puts, 2/64 vs. 120-16

* -1,600 TYX 119/122 call over risk reversals, 2/64

* -1,500 TYU TYV 120.5 straddles, 1-0/64

* 2,500 wk5 FV 113.7/114/114.2 call trees, 1/64

* small sale FVU 113.75 straddles, 15.5/64

* -2,000 USV 140 puts, 5/64 earlier

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

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