US TSYS: US$/YEN VS 10YY DECOUPLE; CURVES BEAR FLATTEN

     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$]