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GILT SUMMARY

Sunak's Budget Faces Mounting Criticism

GLOBAL POLITICAL RISK

WHO Scraps Interim COVID Origin Rpt As Tensions Spike-WSJ

CORN TECHS

(K1) Remains Below The Feb Highs

SOY TECHS

(K1) Bullish Conditions Intact

     US TSY SUMMARY: Tsy traded higher by the bell with volume (TYU 1.7M),
curves flatter; disconnect continues between the 10YY as it remains lower
(-.0111, 2.9617) and US$/YEN remains higher (+.80, 111.84); US PCE, US Pers Inc,
Pers Spend, ECI all coming in line with expectations suggesting inf. is steady.
MNI/Chicago PMI much stronger than exp (65.5 JULY vs 62 Expected, 64.1 JUNE); US
Cons Conf stronger than exp (127.4 JULY vs 126 Exp); DXY stronger (+.144,
94.492); West Texas Crude (WTI -1.39, 68.74); Gold stronger (XAU +3.85, 1225.27)
-Headline out this morning "U.S., CHINA SAID TO SEEK RESTART OF TALKS TO DEFUSE
TRADE WAR"-BN led to risk on price action.
-Decent volume by midday belies rather muted trade since the open. Carry-over
support on narrow range, two-way flow after initial jump bid following BoJ
steady rate annc overnight. Deal-tied flow in the mix, Block buying Eurodollar
2Y bundles, Red packs, fast$ steepener unwinds, gamma hedging, position squaring
ahead Wed's FOMC (no rate change exp) and Fri's NFP (whisper +204k). 
- Tsy cash/ylds: 2Y 99-29 (2.669%), 5Y 99-18.75 (2.769%), 10Y 99-08 (2.962%),
30Y 100-25 (3.084%).
US TSY FUTURES CLOSE: Trading steady to higher in the middle of the range,
volume (TYU 1.7M), curves flatter, updates:
* 2s10s -1.521, 29.223 (27.433L/30.589H);
* 2s30s -2.577, 41.352 (39.679L/43.930H);
* 5s30s -1.924, 23.416 (22.474L/25.872H);
Current futures levels:
* Sep Ultra bonds up 19/32 at 156-28 (156-07L/157-19H)
* Sep 30-yr Bond futures up 11/32 at 142-31 (142-18L/143-16H)
* Sep 10-yr futures up 1.5/32 at 119-13.5 (119-11L/119-21H)
* Sep 5-yr futures Even 00/32 at 113-3.75 (113-03L/113-8.5H)
* Sep 2-yr futures up 0.25/32 at 105-22 (105-21.5L/105-23.5H)
MONTH-END EXTENSIONS: *** UPDATED Bloomberg-Barclays US month-end index
extensions compared to the average increase for the past year and the same time
in 2017. TIPS ext 0.11Y, real 0.14Y; Govt inflation-linked, 0.11Y
*.....................Projected...1Y Avg Incr..Last Jul
*US Tsys.................0.06........0.06........0.10
*Agencies................0.08........0.07........0.05
*Credit..................0.05........0.04........0.06
*Govt/Credit.............0.06........0.05........0.08
*MBS.....................0.07........0.05.......-0.04
*Aggregate...............0.06........0.05........0.04
*Long Govt/Credit........0.07........0.00........0.04
*Interm Credit...........0.06........0.04........0.03
*Interm Govt.............0.06........0.02........0.05
*Interm Govt/Cred........0.07........0.02........0.05
*High Yield..............0.07........0.01.......-0.03
US EURODOLLAR FUTURES CLOSE: Trading steady/mixed with the long end
outperforming the short end, tight range, Current White pack (Sep'18-Jun'19):
* Sep'18 -0.005 at 97.560
* Dec'18 -0.005 at 97.320
* Jun'19 -0.010 at 97.165
* Jun'19 -0.005 at 97.080
* Red pack (Sep'19-Jun'20) Even
* Green pack (Sep'20-Jun'21) +0.005-EVEN
* Blue pack (Sep'21-Jun'21) +0.010-0.005
* Gold pack (Sep'22-Jun'22) +0.010-0.005
US DOLLAR LIBOR: Latest settles,
* O/N -0.0007 to 1.9153% (+0.0037/wk)
* 1 Month -0.0002 to 2.0813% (+0.0046/wk)
* 3 Month +0.0054 to 2.3485% (+0.0062/wk)
* 6 Month +0.0000 to 2.5305% (+0.0007/wk)
* 1 Year +0.0066 to 2.8278% (+0.0065/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): steady at 1.88%, $768B
* Broad General Collateral Rate (BGCR): 1.86% vs. 1.87% prior, $391B
* Tri-Party General Collateral Rate (TGCR): 1.86% vs. 1.87% prior, $380B
US SWAPS: Spds hold mostly wider/spd curve flattening lead by long end for much
of session. flow rather light in second half, includes steepeners in 3s vs. 5s
and 7s, deal-tied flow in 5s. Spd curve inched steeper following decent two-way
in short end earlier, >$500M payer in 2s (2.88%) after by scale steepeners in
2s10s and 2s 5s flattener, two-way in 9s. Latest spd levels:
* 2Y  -0.06/21.19
* 5Y  +0.06/12.81
* 10Y +0.38/6.62
* 30Y +0.94/-4.25
PIPELINE: $2.35B AMEX Launches, Northern Trust priced
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
07/31 $2.35B #American Express $1.85B 5Y fix +87.5, $500M 5Y FRN L+75
07/31 $500M *Northern Trust 10Y +70
07/31 $350M #AEP Transmission 30Y +110
07/31 $500M FS Energy & Power 5NCL
OUTLOOK: *** Data/speaker calendar (prior, estimate)
- Aug 01 Jul NA-made light vehicle sales SAAR (10.3m, --) 
- Aug 01 27-Jul MBA Mortgage Applications (-0.2%, --) 0700ET
- Aug 01 Jul ADP private payrolls (177k, --) 0815ET
- Aug 01 Jul Markit Mfg Index (final) (55.5, --) 0945ET
- Aug 01 Jul ISM Manufacturing Index (60.2, 59.5) 1000ET
- Aug 01 Jun construction spending (0.4%, 0.2%) 1000ET
- Aug 01 Aug help-wanted online ratio (1.18, --) 1000ET
- Aug 01 27-Jul crude oil stocks ex. SPR w/w (6.15m bbl, --) 1030ET
- Aug 01 FOMC policy meeting day two, Announcement 1400ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/Screen:
* -9,000 Long Green Jun 60/70/80 Iron Fly at 62
* +8,000 Short Sep 70/71 call sprd at 3.5 vs 9698/0.18%
* +5,000 Blue Dec 62/63/73/75 call condor, 10.5
* +10,000 Green Dec 65 puts 1.5 over Green Dec 72/73 call spds
Block, 13:24:47ET,
* -10,000 Green Oct 67 puts at 4.5 vs 9693.5/0.27%
* +10,000 Green Dec 65 puts at 1.5 over Green Dec 72/73 call sprd
* 5,000 Short Dec 67/68 put sprd at 5
* +5,000 Short Oct 67/68 put sprd at 4 vs 9693/0.18%
* +10,000 short Dec 67/68 put spds 1.75 over Dec 71/72 put spds
* 5,000 Short Mar 66/Blue Mar 67 puts at 6 vs 9693/0.10%
* -5,000 Short Dec 68/70 Strangle at 22.5
* -5,000 Dec 73/76 put sprd at 20 vs 9733.5/0.30%
Tsy options, Pit/screen:
* +2,000 FVU 113.25/113.5/113.75 call flys, 2/64
* 4,300 TYU 120.5/122 call spds vs. TYV 120/121.5 call spds, 11/64 net/roll
out/down
* +8,500 FVU 114.25 calls, 1.5/64
* 1,000 TYU 119.5 straddles, 53/64
* Update, over +5,000 FVU 113.25 straddles, 32.5/64
* screen seller over 23,000 TYU 119 puts at 15/64 includes buy of over 2,000 TYU
118.5/119/119.5 put flys 6/64
* Update, over +3,500 FVU 113.25 straddles, 32.5/64
* +3,000 TYU 118/118.5 2x1 put spds,
* 1,000 TYU 119.5 calls, 27/64 vs. 119-16//0.50%
* total 2,500 USU 139.5/142.5/145.5 3x1 iron flys in pieces, 1-0/64, adds to 4k
Mon from 59- to 60/64
* 1,850 FVU 113.25 straddles, 32.5/64
* 1,000 TYU 118/119 put spds, 11/64
* 1,300 USU 139.5/142.5/145.5 3x1 iron flys in pieces, 1-0/64
* 500 USU 139/146 strangles, 43/64
* 1,550 TYZ 119.5 straddles, 2-1/64
* 1,700 USU 144.5 calls, 25/64 screen
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: M$U$$$,M$$FI$,MN$FI$,MN$FX$]